韓國(guó)央行-2025年推進(jìn)基準(zhǔn)利率改革計(jì)劃 Plan for Promoting the Benchmark Rate Reform in 2025 -2024

PRESSRELEASE

EmbargoeduntilDecember10,2024,at10a.mDecember10,2024

PlanforPromotingtheBenchmarkRateReformin2025

回TheplantoexpandtheuseoftheKoreaOvernightFinancingRepoRate (KOFR)inthederivativesmarketwillbeimplementedinearnestfrom2025.

ThetargetoftheKOFR-basedtransactionshareininterestrateswaptransactions:10%in2025→50%in2030

StartinginJuly2025,thetargetpercentageofKOFRutilizationwillbemanagedincollaborationwithmajormarketparticipantsintheinterestrateswapmarket.

CentralclearingofKOFR-basedinterestrateswapsthroughtheKoreaExchangeisexpectedtobegininOctober2025.

回TheissuanceofKOFR-basedfloatingratenotes(FRNs)willbeexpanded,mainlybythepublicfinancialinstitutionsandcommercialbanks.

10%oftheFRNstobeissuedin2025willbefundedonaKOFRbasisandwillbeexpandedfurther.

Publicfinancialinstitutions(KoreaDevelopmentBank,IndustrialBankofKorea,andExport-ImportBankofKorea)willissueabout1.8trillionwonofFRNsin2025andthecommercialbankingsectorwillalsoparticipateintheissuance.

TheBankofKoreaandFinancialServicesCommissionwillcontinuetomakesystemicandregulatoryimprovementstoactivateKOFR-basedFRNs.

回StatementbySoyoungKim,ViceChairmanoftheFinancialServicesCommission

“Weareworkingwithmarketparticipantstodevelopacommonplanthateveryonecanagreeon.Globalconsistencyisanimportantissueintermsofmanagingoperationalrisksacrossthefinancialsystem.WewillestablishamoreefficientreferenceratesystembypromotingthetransitiontotheKOFR-centricregimewithoutanysetbacksbasedontheplanwehaveprepared.”

回StatementbySangDaiRyoo,SeniorDeputyGovernoroftheBankofKorea

“TheactivationoftheKOFR-basedtransactionisnotonlyanimportantopportunityforthedomesticfinancialmarkettotakeafurtherleapforward,butalsoaverymeaningfultaskintermsofenhancingtheeffectivenessofmonetarypolicy.TheBankofKoreawillcontinuetoworkproactivelywithfinancialmarketparticipantstoensurethatthetransitiontotheKOFR-centricregimeproceedsswiftly.”

OnDecember10,theBankofKoreaandtheFinancialServicesCommissionheldthe5thBenchmarkRateandShort-TermFinancialMarketConsultationwithrelatedorganizations,suchastheFinancialSupervisoryService,theKoreaSecuritiesDepository,andtheKoreaExchange,aswellasacademicsandmarketexperts,todiscussthe“PlanforPromotingBenchmarkRateReformin2025.”

?TimeandPlace:December10,2024(Tue)10:00,BankofKorea

?Participatingorganizations:

BankofKorea(co-organizer),FinancialServicesCommission(co-organizer),FinancialSupervisoryService,KoreaSecuritiesDepository,

KoreaExchange,KoreaFederationofBanks,KoreaFinancialInvestmentAssociation,KoreaDevelopmentBank,IndustrialBankofKorea,KoreaCapitalMarketInstitute,KoreaInstituteofFinance,marketexperts(HanaBank,JPMorganChase&Co.)

ProgressofBenchmarkRateReformin2024

Thebenchmarkrateisaninterestratethatisusedtodeterminethevalueofmoneyorfinancialinstrumentstobepaidorexchangedasaresultofafinancialtransaction.Itisusedtodeterminetheprofitorlossoffinancialtransactions,evaluateinvestmentperformance,andgenerallyrepresentthecost1ofshort-termfinancingforfinancialInstitution.

Inmajorcountries,theglobalbenchmarkratereformprocess,triggeredbytheLIBORmanipulationcaseinJune2012,firmlyestablishedtheactualtransaction-basedrisk-freerate(RFR)asthebenchmarkrateforfinancialtransactionsfocusingonderivativestransactions.In2020,KoreaenactedtheActontheManagementofFinancialbenchmarksinaccordancewiththerecommendations2ofinternationalorganizationssuchastheFinancialStabilityBoard,andstartedcalculatingtheKoreaOvernightFinancingRepoRate(KOFR)asacriticalbenchmarkratein2021.However,theeffortsoftheKOFRactivationwentslowlyduetotheneedtoprioritizefinancialmarketstabilityduringthegloballiquidityreductionprocessthatbeganin2022.

1TheCDraterepresentsthecostincurredbybankswhenraisingfundsthroughtheissuanceofcertificatesofdeposit(CDs)andLIBORreflectsthecostofinterbankborrowing.However,theKOFRindicatesthecosts

associatedwithraisingfundsintherepomarket.

2TheFinancialStabilityBoardrecommendscalculatingrisk-freerates(RFRs)that1)arebasedonactualtransactionsand2)areisolatedfrombankcreditrisk.Theseratesareadvisedforuseasbenchmarkratesinderivativesmarkets.

※[Note]WhythetransitiontoKOFR-basedtransactionsisnecessary?

Currently,themajorityofinterestratederivativesandfloatingrateNotesisbasedontheCDrate

TheCDratedoesnotefficientlyreflectmarketconditionsbecauseitiscalculatedbasedonquotesbyprofessionaljudgmentratherthanactualtransactions,anditisincreasinglydivergingfromglobalstandards,whichhaverecommendedashifttoactualtransaction-basedbenchmarkratesinthewakeoftheLIBORcrisis.Assuch,itispossiblethatCDrate-basedtransactionsmaynotbeacceptedinternationallyatsomepointinthefuture.

→Inordertoenhanceglobalconsistencyandstabilityinfinancialtransactions,thereisaneedtopromoteKOFR,therisk-freereferencerate.

In2024,thegovernmentandtheBankofKoreabegandiscussionsonrevitalizingtheKOFRbasedonstablemarketconditionsandformedajointpublic-privateworkinggroupwhilestrengtheningcommunicationwithmarketparticipants.InAugust2024,thegovernmentandtheBankofKoreaannouncedtheprincipleoftransitioningtoaKOFR-centeredbenchmarkratesystem.Sincethen,theworkinggrouphasbeendiscussingthestrategyforactivatingKOFRandplanstoimplementthestrategyin2025basedontheresultsdiscussedsofar.

PlanforPromotingtheBenchmarkRateReformin2025

Derivativesmarket:Implementationofthestrategyto

expandKOFR-basedOvernightIndexSwap(OIS)transactions

Thederivativesmarket,especiallytheinterestrateswap(IRS)market,isakeymarketwheretheRFRismostwidelyused.InternationalorganizationsrecommendtheuseoftheRFRasthereferencerateforthederivativesmarket,andtheRFRisalsousedasthedominantreferenceratefortheIRSmarketinmajor

countries(SuchastheSecuredOvernightFinancingRate(SOFR)intheUnitedStates).However,inKorea,almostallinterestrateswapsarebasedontheCDrate,whichincludecreditrisk.Asaresult,reformingthecurrentpracticesofthederivativesmarketisthehighestprioritytasktopromotetheKOFR.

Thegovernment,theBankofKorea,otherrelatedorganizations,andmarketparticipantsagreedthatacertainportionofnewinterestrateswapderivativestransactionswillbeconcludedonaKOFRbasisstartingin2025inordertoexpandtheshareofKOFRinthederivativesmarket.Asaresult,the"KOFR-OIS3TradingPromotionPlan"willbeimplementedinJuly2025.Nextyear,about29financialInstitutionswithlargevolumesintheinterestrateswapmarketwillbethefirsttoparticipate,andtheyplantoconcludeatleast10%oftheirinterestrateswaptransactionsduringtheperiodfromJuly2025toJune2026basedontheKOFR.UndertheTradingPromotionplan,theKOFRtargetsharewillbeflexiblyincreasedaround10percentagepointsannually,andtherangeofparticipatingfinancialinstitutionswillbegraduallyexpanded.Asplanned,KOFRisexpectedtorepresentmorethan50%oftheinterestrateswapmarketby2030.

Thegovernment,theBankofKorea,theFinancialSupervisoryService,theKoreaExchange,andtheKoreaSecuritiesDepositoryplantoimplementanumberofsupportivepoliciestopromoteKOFR-OIS.First,acentralclearinginfrastructurewillbeestablishedtomakeiteasierformarketparticipantstoparticipateinKOFR-OIStransactions.TheKoreaExchangeiscurrentlydevelopingacentralclearingsystemforKOFR-OISandplanstolaunchthecentralclearingserviceinOctober2025.

3Overnightindexswapreferstoaninterestrateswapwherethebenchmarkrateisbasedontheovernightinterestrate.

※[Note]Conceptandnecessityforcentralclearingservice

“Centralclearingservice”referstoasysteminwhichacentralcounterpartyactsasacounterpartytoallparticipantstakingonandsettlingtransactionsinfinancialproductssuchasOTCderivatives,therebyensuringthefulfillmentofsettlementobligations.

Whencentralclearingisapplied,ithelpspreventthetransmissionofcounterpartyriskandmitigatetransactionriskbyreducingsettlementvolumesthroughmultilateralnetting.Additionally,whencalculatingabank'sBIScapitaladequacyratio,lowerriskweightsareappliedtointerestrateswaptransactions(20%minimumto2%).

Inaddition,theBankofKoreaplanstoreflectthetradingperformanceofKOFR-basedderivatives(futuresandswaps),bondsandloanswhenselectinginstitutionsforopenmarketoperationstosupporttheinitialliquidityandmarketformationofKOFR-linkedproducts.InJuly2025,theperformancefromDecember2024toJune2025willbeaggregatedandreflectedintheselectionofinstitutionsforopenmarketoperations(repurchaseagreementsandmonetarystabilizationbond).Startingin2026,theannualtradingperformanceofthepastyearwillbereflected.

Inordertoenhancethefinancialcommunity'sinterestintheKOFRandfacilitatethegradualtransitionfromtheCDratetotheKOFR,thecontingencyalternativeindicator4forOTCderivativescontractsbasedontheCDratewillalsobeunifiedintotheKOFR.ThefinancialinstitutionshaveexpresseddifficultiesinselectingalternativeindicatorsundertheActontheManagementofFinancialBenchmarksforindividualOTCderivativescontracts.Asaresult,thepublic-privateworkinggroupagreedtodesignatetheKOFRasa

4TheActontheManagementofFinancialBenchmarksrequiresthepre-selectionofacontingencyalternative

indicatorforcontractsusingcriticalbenchmarksthatmaybeusedintheeventsuchbenchmarksarediscontinuedorinterrupted.

contingencyalternativeindicatortotheCDrateasawhole,reflectingthefinancialsectors'opinions.ThesecontentswillsoonbenotifiedtotheInternationalSwapsandDerivativesAssociation(ISDA)tobereflectedinthestandardcontract.TheBankofKoreaandFinancialServicesCommissionwillcontinuetoprovidepromptsolutionstovariousdifficultiesthatmayariseintheprocessofpromotingtheKOFRthroughthejointpublic-privateworkinggroup.

Bondmarket:ExpandingKOFR-FRNfinancing(publicfinancialinstitutionsandcommercialbankingsector)

Currently,mostofthefloatingratelinkedfinancingoffinancialinstitutionsisbasedontheCDrate.Startingin2025,financialinstitutionswillutilizetheKOFRwhenraisingfundsthroughthebondmarket.Publicfinancialinstitutions(KoreaDevelopmentBank,IndustrialBankofKorea,andExport-ImportBankofKorea)andcommercialbanksplantoraisemorethan10%oftheirfundingthroughissuingKOFR-basedfloatingratenotes(KOFRFRNs),andtheshareofKOFRFRNswillgraduallyincreaseinthefuture.Asaresult,annualKOFRFRNissuanceisexpectedtoreacharoundKRW3trillionnextyearandKRW4-5trillioninthemid-tolong-term.

Discussionswillalsocontinuethroughajointpublic-privateworkinggrouptoensurethatKOFRFRNsareactivelyutilizedinthefinancialmarket.AsKOFRFRNshavedifferentcharacteristicsfromexistingFRNs,theworkinggroupwillcontinuetomonitoranddiscusswhetherthereareanyobstaclestothepromotionofKOFRFRNsinissuance,trading,orinvestment.

Attendeehighlights

Atthemeeting,SoyoungKim,ViceChairmanoftheFinancialServicesCommission,saidthattheeffortsofthegovernment,theBankofKorea,andotherrelatedorganizations,aswellastheactiveparticipationofthefinancialsector,haveputthebenchmarkratereformontrack,thattheyhavebeenworkingtogetherwithmarketparticipantstocreateacommonplanthateveryonecanagreeon,andthattheywillnowmoveforwardtochangemarketpracticesinaccordancewiththeagreedplan.ViceChairmanKimfurthersaidthatenhancingglobalconsistencybyjoiningthetrendofinternationalreformingbenchmarkratesisanimportantjobformanagingoperationalrisksinthefinancialsystem,andnotedthatthisreformingbenchmarkrateswillbeanopportunitytoenhancethesafetyoftheKoreanfinancialsystem.

SangDaiRyoo,SeniorDeputyGovernoroftheBankofKorea,

emphasizedthatthepromotionoftheKOFRisveryimportantnotonlyforthedevelopmentofthedomesticfinancialmarket,includingsecuringglobalconsistencyandstrengtheningthestabilityoffinancialtransactions,butalsoforenhancingtheeffectivenessofmonetarypolicy,becausetheKOFRistheinterestrateintheshort-termmoneymarketwherethetransmissionofmonetarypolicybeginsandcloselylinkedtotheBankofKoreaBaserate.HealsothankedtherelevantorganizationsthathavebeenworkingtogethertopromotetheKOFRsincetheestablishmentofthepublic-privateworkinggroupinMarch,andnotedthattheBankofKoreawillcontinuetoactivelyworkwiththepolicyauthoritiestoensurethattheeffortstotransitiontoaKOFR-centeredbenchmarkratesystemwillleadtovisibleresultsby2025.

AcademicandmarketexpertsevaluatedthatthetransitiontoaKOFR-centeredbenchmarkrateisachallengingtaskthatrequireschangingmarketpractices,butthegovernmentandtheBankofKoreahavetakenameaningfulfirststepasaresultoftheiractiveefforts,andrequestedthatthegovernment,theBankofKorea,andotherrelevantorganizationscontinuetopaycloseattentionandactivelyrespondtopracticalissuesasthemarketforKOFR-linkedproductsexpands.

[Exhibit1].

KOFR-OISPromotionPlan

InordertoactivateKOFR,financialinstitutionswithsignificantvolumesofCD-basedinterestrateswap(IRS)transactionsplantoutilizeKOFRforacertainpercentage(annualrecommendedratio)ofnewlyconcludeddomesticinterestrate-basedIRStransactions."

TheFinancialSupervisoryServicewillrecommendatargetpercentageofKOFRutilizationinIRSmarketeachyearintheformofadministrativeguidance

回Participants:FinancialInstitutionsthatareanyofthefollowing(additionalinstitutionsselectedannually):

Newparticipants:financialcompanieswithanotionalamountofIRSbasedontheCDrateofKRW25trillionormoreinthepreviousyear(12months).

Existingparticipants:financialfirmsthathavebeenpreviouslyselectedtoparticipate.

回TargetRatio:AllnewIRScontractswithdomesticinterestrate(CDrate,KOFR,otherdomesticinterestrate)shouldbeenteredintowithKOFR-basedIRS(OIS)atarateequaltoorhigherthantheannualizedtargetratioofKOFR-basedIRSduringthe12-month,advisoryperiod.

Annualrecommendationratio:10%inyear1→50%inyear5(+10%peachyear),flexiblyadjustedinconsiderationofmarketconditionsandannualperformance.

Additionaltargetforlong-termmaturity:Itisrecommendedthat20%ofKOFR-basedswaptransactionsenteredintoineachyearshouldhaveamaturityofmorethanoneyear.

Incentivesforlong-termmaturity:10%for“more