KSD to Provide Comprehensive KOFR Basic Market Interest Rate Information Starting Next Year

The Korea Securities Depository (KSD) will provide comprehensive interest rate information for the KOFR underlying market and expand the securitized bond integrated information system starting next year to promote the Korean Overnight Financing Rate (KOFR).

Lee In-seok, Executive Director of the Korea Securities Depository
Photo by Korea Securities Depository

On the 14th, KSD held a press briefing in Yeouido and announced plans to provide comprehensive interest rate information for the repurchase agreement (RP) market, analyzed and processed to meet the demands of market participants and policy authorities.

The risk-free reference rate (RFR) refers to the theoretical interest rate expected from a risk-free investment, representing the average funding cost excluding credit and liquidity risks. KOFR is the Korean version of the RFR, and KSD has been responsible for calculating and disclosing KOFR since 2021.

Jung Jong-moon, head of the KOFR Secretariat at KSD, explained, "Over the past two years since the calculation and disclosure of KOFR, we have supported institutional requirements from the market to establish a system with global consistency. Next year, we will promote transparency in the RP market, which forms the foundation for KOFR activation, support continuous monitoring by policy authorities, and provide market-tailored information."

The KOFR underlying market comprehensive interest rate information service will provide various analytical data from multiple perspectives, including trends and volatility analysis of KOFR, call rates, negotiable certificates of deposit (CD), commercial paper (CP), and government bond yields; settlement size, interest rate levels, and buy-sell spread comparisons by counterparty for RP market participants; market inspection information such as RP market interest rate and trading volume fluctuations during domestic and international events like the Legoland incident; spreads by RP market participants, collateral securities, and maturities; KOFR interest rate trends and volatility; and spreads against KOFR by RP collateral securities and maturities.

KSD plans to select a related service provider around April next year, conduct a pilot operation of the service, and officially launch the KOFR underlying market comprehensive interest rate information service around November.

Additionally, ahead of the revised Asset Securitization Act enforcement in January next year, KSD plans to complete the expanded development of the securitized bond integrated information system within this month and open it in January. The scope of securitization information collection and disclosure will be expanded, non-registered securitization information management functions will be strengthened, and information related to a 5% equity holding by the underlying asset holders will be provided to supervisory authorities.

Lee In-seok, standing director of KSD, said, "We are making multifaceted efforts to activate KOFR and expect it to gradually become more active. Through the expanded development of the securitized bond integrated information system, we have prepared to fulfill its role as a platform."