本文的主要目的是透過市場上既有的報價資料，建立出SOFR期限結構，以了解其在LIBOR轉換過程上可能遇到的困境。在期限結構模型建構上，我們採用CME提供的利率期貨轉換出的升降息機率，以及SOFR本身的每日報價預估未來每日SOFR利率，再以FED建議方式複利計算出不同天期的利率曲線。研究結果發現，此模型所展出的期限結構，會受到FOMC會議決議不同所影響，且越長天期的利率曲線，其模擬結果與實際報價差距越大。然由於此模型使用的參數較易取得及使用，故我們認為在目前尚未有具公信力的機構提出SOFR期限結構計算方式下，本文可以提供實務界一個可行的SOFR估計方式。

The main purpose of this article is to establish a SOFR term structure based on the existing market data and understand the difficulties that it may encounter in the process of LIBOR transition. In the construction of the SOFR term structure, we use the probability about Fed Fund Rate cut or hike which converted from interest rate future provided by the CME and the daily quotations of SOFR. First, we forecast daily SOFR quotations and then compound it to get different tenor about term structure through the formula recommended by the FED. The result implies that the term structure construct by our model is highly affected by different conclusion in FOMC meeting. Also, the longer the tenor on rate curve, the greater the difference between the simulated result and the actual quotation. Because the parameters used in this model can be easily obtained, we believe that this article can provide a practical SOFR estimation under the circumstance that there are no credible institutions have proposed an estimation method about SOFR term structure.

1. 前言 1
2. 文獻回顧 3
2.1 現行LIBOR使用狀況 3
2.1.1 LIBOR的發展歷史 3
2.1.2 LIBOR的可靠性存疑 3
2.2 廢除LIBOR的進程與選擇替代利率困境 4
2.2.1 FED為推動LIBOR Transition而成立了ARRC 4
2.2.2 SOFR的報價來源及其衍生性商品 6
2.2.3 LIBOR轉換SOFR的困境 9
2.3 SOFR期限結構相關文獻研究 10
2.3.1 附買回利率推導SOFR期限結構 10
2.3.2 SOFR期貨推導SOFR期限結構 11
2.3.3 公開市場利率對SOFR影響 12
3. 研究方法 14
3.1 SOFR背景資料 14
3.1.1 SOFR歷史走勢 14
3.2 Federal Fund Effective Rate與SOFR的關聯 17
3.3 FED Watch預期升息機率 18
3.4 SOFR前瞻式利率期限結構模型 19
4. 實證結果 21
4.1 研究資料與區間 21
4.1.1 SOFR與CME FED Watch資料 21
4.2 2019上半年維持目標利率區間不變 22
4.3 2019下半年展開降息循環 24
5. 結論 26
參考文獻 28

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