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95-6+0&285(, 30-1/7 '2: >&5//.%-9/1-5+: 13&1/94/=5(, 7%&'+05(, + '&%+1-0+15(, $%/')70/1. @.A&4 $/32&'5+, $/ '-55(4 B-57- 4&=')5-%/'5(, %-36&0/1 $%&1(3+2 855 0%25 '/22. CDE $/ 3/30/:5+F 5- +F58 2010 ;/'- [1]. G/ 45&5+F 45/;+, -5-2+0+7/1, +4&55/ '&%+1-0+1(, - 0/65&&, 5&1&%5-: />&57- +, %+37/1, $%+1&2+
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LIBOR. C/;2-35/ /$%&'&2&5+F, '-55/4) 5- /H+>+-285/4 1&.-3-<0& British
Bankers Association, LIBOR – I0/ 3%&'5&191&J&55-: $%/>&505-: 30-17- $/ 4&=.-57/137+4 7%&'+0-4, $%&'/30-12:&4(4 .-57-4+, 1(30)$-F*+4+ 5- K/5'/537/4 4&=.-57/137/4 %(57& 3 $%&'2/=&5+&4 3%&'301 1 %-95(, 1-2F0-, + 5- %-95(& 3%/7+ – /0 1 '5: '/ 12 4&3:>&1. C0-17- H+73+%)&03: B%+0-537/< .-57/137/<
-33/>+->+&< 5-6+5-: 3 1985 ;/'- &=&'5&15/ 5- /35/1-5++ '-55(,, $%&'/30-12:&4(, +9.%-55(4+ .-57-4+.
30-5/12&55(< 4&,-5+94 %-36&0- LIBOR 32&')F*+<: )$/25/4/6&55(<
-;&50 B%+0-537/< .-57/137/< -33/>+->++ – -;&50301/ Thomson Reuters – 1 11:00
$/ 9-$-'5/&1%/$&<37/4) 1%&4&5+ /.91-5+1-&0 16 $&%1/72-335(, .-57/1, 1(.%-55(, 1 7-6&301& /35/15(, !"#$% $&#$"'( '&5&=5/;/ %(57- K/5'/5-, + 9-$%-J+1-&0 +, 7/0+%/17+ $%&'2/=&5+: $%/>&505(, 30-1/7 5- 30-5'-%05(& 3%/7+
/0 1 4&3:>- '/ 1 ;/'- 3/ 3$/0-. !2: 7-='/;/ $&%+/'- +9 16 $/2)6&55(, 30-1/7
101
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# 5-30/:*+< 4/4&50 /6&58 6-30/ /$+%-F03: 5- 30-17) LIBOR $%+ >&5//.%-9/1-5++ $/ 32&')F*+4 $%/')70-4:
− H/%1-%'5(& 7/50%-70( 5- $%/>&505(& 30-17+;
− H8F6&%35(& 7/50%-70( 5- 7%-07/3%/65(& $%/>&505(& 30-17+;
− $%/>&505(& 31/$(;
− 31/$( $/ +5H2:>++;
− 1&73&2+ 3 $2-1-F*&< 30-17/<;
− 3+5'+>+%/1-55(& 7%&'+0(;
− .+2-0&%-285(& 7%&'+0( 3 $2-1-F*&< 30-17/<;
− +$/0&65(& 7%&'+0(.
C2&')&0 /0'&285/ /04&0+08, 60/ 30-17- LIBOR 5& :12:&03: 31/./'5/< /0
7%&'+05/;/ %+37-, $/37/287) '-=& $&%1/72-35(& 7%&'+05(& +530+0)0( 3 %&<0+5;-4+ EEE /.2-'-F0, ,/08 + /6&58 5+97/<, 1&%/:05/308F '&H/20-.
OIS LIBOR-OIS !"#$%. L-334/0%+4 +530%)4&50 Overnight Indexed Swap
(OIS), 7/0/%(< $%&'30-12:&0 3/./< 72-33+6&37+< 31/$ $/ /.4&5) $2-0&=&< $/
H+73+%/1-55/< $%/>&505/< 30-17& 5- $2-0&=+ $/ $2-1-F*&< $%/>&505/< 30-17&,
$%+1:9-55/< 7 $).2+7)&4/< 30-17& /1&%5-<0. M32+ .(08 ./2&& 0/65(4, $%/>&505-:
30-17- $/ )7-9-55/4) 31/$) %-15:&03: 3%&'5&4) ;&/4&0%+6&37/4) 30-1/7 /1&%5-<0
5- 7-='(< '&58 $&%+/'- '&<301+: 3/;2-J&5+:. M32+ 1-2F0/< $/ 31/$) 1(30)$-&0
'/22-% CDE, 0/ $/' 30-17/< /1&%5-<0 $/5+4-&03: )6&05-: 30-17- NLC.
# 31:9+ 3 0&4, 60/ $%+ %&-2+9->++ 31/$- /.4&5- /35/15/;/ '/2;- 5& $%/+3,/'+0, %+37 '&H/20- :12:&03: /6&58 5&95-6+0&285(4, $/:12:&03: 1/94/=5/308 %-334/0%&08 3$%&' LIBOR-OIS, $%&'30-12:F*+< 3/./< %-95+>) 4&=') 95-6&5+&4
30-1/7 LIBOR + OIS. G/ 45&5+F I73-;2-1( NLC CDE E2-5- O%+53$&5-, '-55(<
3$%&' :12:&03: .-%/4&0%/4 .-57/137/< 3+30&4(, $/37/287) /5 /0%-=-&0 30&$&58
'/1&%+: .-57/1, $%&'/30-12:F*+, 7%&'+0, 7 .-57-4-9-&4*+7-4 [2]. C$%&' LIBOROIS 172F6-&0 1 3&.: %+37 2+71+'5/30+ .-57/137/< 3+30&4( + %+37 7/50%-;&50-.
!2: 5-;2:'5/30+ %-334/0%+4 $%+4&%. ?- %+3. 1 $%&'30-12&5- '+5-4+73$%&'- LIBOR-OIS. "-7 4/=5/ 9-4&0+08, 3 1997 $/ 2007 ;/' 95-6&5+& 3$%&'- .(2/ 30-.+285/ 5+97+4. ?/ )=& 3 2008 ;/'- 35-6-2- 1 31:9+ 3 7%+9+3/4 3).30-5'-%05(, +$/0&7, - 9-0&4 + 1 31:9+ 3 4+%/1(4 H+5-53/1(4 7%+9+3/4 3+30&45(&
%+37+ .-57/1 9-4&05/ )1&2+6+1-2+38, 60/ 5-;2:'5/ '&4/530%+%)&0 '+5-4+73$%&'- 1 2008–2010 ;/'-,. C2&')&0 /04&0+08, 60/ 5- '-55/& +94&5&5+& 3$%&'1 ./28J&< 30&$&5+ $/12+:2/ )1&2+6&5+& $%&4++ 9- %+37, 5&=&2+ $%&4++ 9- 2+71+'5/308, 60/ .)'&0 $/7-9-5/ '-2&&.
LIBOR-CD !"#$%. L-334/0%+4 '+5-4+7) '&$/9+05(, 3&%0+H+7-0/1 3%/7/4
5- 3 4&3:>-, 7/0/%-: $).2+7)&03: NLC CDE + /0%-=-&0 +94&5&5+& 30/+4/30+ '&$/9+0/1 1/ 1%&4&5+. ?- %(57& '&$/9+05(, 3&%0+H7-0/1 6-305(& 2+>- + 7/%$/%->++
33)=-F0 '&5&=5(& 3%&'301- .-57-4, 0-7+4 /.%-9/4, .-57+ +3$/289)F0 '-55(< %(5/7 '2: $/2)6&5+: 2+71+'5/30+ 9- 36&0 172-'6+7/1 [3]. P0-7, 3/$/30-12&5+& '+5-102
4+7+ '&$/9+05(, 3&%0+H+7-0/1 + 30-17+ LIBOR 5- /'+5 + 0/0 =& 3%/7 $/91/2:&0
3)'+08 / 0/4, 5-37/287/ .-57-4 5&/.,/'+4- 2+71+'5/308: &32+ %-95+>- 4&=')
LIBOR + 30-17/< '&$/9+0(, 3&%0H+7-0/1 ./28J-:, 0/ .-57+ 30%&4:03: $%+12&68 '&5&=5(& 3%&'301- +9-9- $%/.2&4 3 2+71+'5/308F; &32+ 3$%&' 5&95-6+0&285(<, 0/
) .-57/137/< 3+30&4( $%/.2&4 3 2+71+'5/308F 5&0.
8
7
6
5
4
3
2
1
0
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
L+3. 1. !+5-4+7- 3mLIBOR-3mOIS 3$%&'-
?- %+3. 2 $%/+22F30%+%/1-5- '+5-4+7- 3$%&'- 4&=') 30-17/< LIBOR
+ 30-17/< '&$/9+05/;/ 3&%0+H+7-0- 5- 3%/7 3 4&3:>-. "-7 4/=5/ 9-4&0+08, 3$%&'
/6&58 )97+<, 60/ $/91/2:&0 ;/1/%+08 / 0/4, 60/ 3&%8&95(, $%/.2&4 3 2+71+'5/308F .-57/137/< 3+30&4( CDE 5& .(2/. B2-;/'-%: I0/4), 4/=5/ 3'&2-08 1(1/'
/ 0/4, 60/ %-3J+%&5+& 3$%&'- LIBOR-OIS (34. %+3. 1) 31:9-5/ 5& 3 1/9%/3J+4+
%+37-4+ 2+71+'5/30+, - 3 1/9%/3J+4+ %+37-4+ 7/50%-;&50/1, 0.&. 3 %+37-4+ 5&$2-0&=&3$/3/.5/30+.
9
8
7
LIBOR-OIS $6"!+
6
LIBOR 3m
5
4
3
2
1
0
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
-1
L+3. 2. !+5-4+7- 3mLIBOR-3mCD 3$%&'103
AAA corp – T-Bills !"#$%. C)*&301)&0 &*& /'+5 +50&%&35(< $/7-9-0&28,
$/91/2:F*+< />&5+08 %+37+ I7/5/4+7+ 1 >&2/4. Q0/0 $/7-9-0&28 %-336+0(1-&03: 7-7 %-95+>- 4&=') 30-17/< $/ /.2+;->+:4 7/4$-5+< 3 %&<0+5;/4 EEE
+ 30-17/< $/ 0-7 5-9(1-&4(4 T-Bills, ;/3)'-%301&55(4 /.2+;->+:4 CDE 5/'+5 + 0/0 =& 3%/7. C4(32 '-55/;/ 3$%&'- 9-72F6-&03: 1 0/4, 60/ %-95+>- 4&=')
)32/15/ .&9%+37/1/< 30-17/< + 30-17/< '2: 7/4$-5++ 3 1(3/7+4 %&<0+5;/4, 5&9-1+3+4/ /0 '&<301)F*&< /0%-32+, $/91/2:&0 />&5+08 )%/1&58 %+37-, $%+3)*+<
I7/5/4+7& 1 >&2/4, - 5& /0'&285/ .-57/137/4) 3&70/%), 7-7 I0/ .(2/ 1 32)6-&
3 LIBOR-OIS. ?- %+3. 3 $%+1&'&5- '+5-4+7- 3$%&'- LIBOR-OIS + 3$%&'AAA corp – T-Bills. R/=5/ 9-4&0+08, 60/ 1 2006–2007 ;/'-, +, $/1&'&5+& 1&3843,/=&, /'5-7/ 5-6+5-: 3 2008 ;/'- ./2&& -;%&33+15(< %/30 '&4/530%+%)&0 3$%&'
AAA corp – T-Bills, 60/ $/91/2:&0 3'&2-08 1(1/', 60/ %+37+ I7/5/4+7+ 95-6+0&285/ $%&1(J-F0 %+37+ .-57/137/;/ 3&70/%- CDE.
7
6
AAA corp - T-Bills $6"!+
LIBOR-OIS $6"!+
5
4
3
2
1
07.2010
04.2010
01.2010
10.2009
07.2009
04.2009
01.2009
10.2008
07.2008
04.2008
01.2008
10.2007
07.2007
04.2007
01.2007
10.2006
07.2006
04.2006
01.2006
0
L+3. 3. !+5-4+7- LIBOR-OIS 3$%&'- + AAA corp – T-Bills 3$%&'-
# 7-6&301& 1(1/'- ,/0&2/38 .( &*& %-9 /04&0+08 +372F6+0&285)F 1-=5/308 30-17+ 4&=.-57/137/;/ 7%&'+0/1-5+: LIBOR '2: H+5-53/1(, -5-2+0+7/1
+ I7/5/4+7+ 1 >&2/4. R5/=&301/ 1-%+->+< $/7-9-0&2&< 3 I0/< .-9/1/< 30-17/<
$/91/2:F0 />&5+08 7%&'+05(& %+37+, %+37+ 2+71+'5/30+, %+37+ $2-0&=&3$/3/.5/30+, $%+3)*+& %-92+65(4 3+30&4-4: 5-6+5-: /0 /0'&285(, 7/4$-5+< + 9-7-56+1-: 4+%/1/< I7/5/4+7/<.
"%/4& 0/;/, .2-;/'-%: 0/4), 60/ 30-17- LIBOR :12:&03: /35/15/< $%+ >&5//.%-9/1-5++ H+5-53/1(, -70+1/1 + +94&5:&03: 1/ 1%&4&5+, $/:12:&03: 1/94/=5/308 +912&6&5+: $%+.(2+ $%+ .2-;/$%+:05/4 +94&5&5++ I0/< $%/>&505/<
30-17+. # 31:9+ 3 I0+4 H+5-53/1(& $%/')70(, .-9/1(4 -70+1/4 7/0/%(, :12:&03:
30-17- LIBOR, 4/;)0 .(08 +3$/289/1-5( 7-7 +530%)4&50 H+5-53/1/;/ %(57-,
- 0-7=& 7-7 3%&'301/ ,&'=+%/1-5+: $%/>&505(, %+37/1.
S-7+4 /.%-9/4, 9-'-6- $%/;5/9- 30-17+ LIBOR :12:&03: '/30-0/65/ -70)-285/<. B/2&& 0/;/, 11+') :%7/ 1(%-=&55(, 7/2&.-5+< H+5-53/1(, %(57/1,
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104
&" !'( ) *$#+*,#1. BIS Quarterly review, December 2010 [Q2&70%/55(< %&3)%3]. – URL:
http://www.bis.org/statistics/otcder/dt1920a.pdf
2. Daniel L. Thornton What the Libor-OIS spread says // Economic synopses. –
2009. – T 24.
3. Frisancho-Mariscal I., Howells P. Interest rate pass-through and risk / Center
for Global Finance, Bristol Business School. – Bristol, 2009.
4. Taylor J., Williams J. A black swan on money markets // NBER Working Paper. – 2008. – T 13943.
G/2)6&5/ 26.04.2011
V.P. Pervadchuk, D.E. Galkin
Perm state technical university
THE ROLE OF THE LIBOR INTERBANK RATE
IN THE WORLD ECONOMY
The article considers the role of the LIBOR interest rate in economy as well as
various modifications of indicators to assess credit, insolvency and liquidity risks. A snap
analysis of the global financial market with investigated instruments was carried out.
Keywords: LIBOR, LIBOR-OIS spread, LIBOR-CD spread, credit risks.