中文摘要
随着伦敦银行间同业拆借利率（LIBOR）被基于无风险利率（RFR）的替代参考利率所取代，这两套基准框架之间的根本差异给银行带来了重大风险。我们利用英国金融行为监管局（FCA）宣布逐步淘汰LIBOR这一事件，基于银行对LIBOR的依赖程度进行双重差分分析，结果表明LIBOR退出导致银行贷款利率差扩大。这一结果意味着银行倾向于将转换成本转嫁给借款人，以补偿LIBOR向RFR过渡所带来的风险。若已在使用多个基准利率、属于关系型贷款，以及在竞争性环境中经营的银行中，这一效应会减弱。我们进一步发现，LIBOR退出导致贷款条款中抵押品和契约要求增加。在FCA公告之后，银行倾向于通过参考替代利率来减少对LIBOR的依赖。
Abstract
With the London Interbank Offered Rate (LIBOR) being replaced by risk-free rate (RFR)-based alternative reference rates, the fundamental differences between the two benchmarking frameworks impose significant risks on banks. Exploiting the Financial Conduct Authority (FCA)’s announcement of the phase-out of LIBOR, we conduct a difference-in-differences analysis based on banks’ reliance on LIBOR and show that LIBOR discontinuation entails higher interest rate spread of bank loans. The result implies that banks tend to compensate for the LIBOR-to-RFR risks by passing on the transition costs to borrowers. This effect is attenuated if multiple benchmarks are already in use, for relationship lending, and among banks operating in a competitive environment. We further find that LIBOR discontinuation leads to more collateral and covenant requirements in loan terms. After the FCA announcement, banks are inclined to switch away from LIBOR dependence by referencing alternative rates.