European Parliament Library

Fixing the Fixings :, What Road to a More Representative Money Market Benchmark?, V. Brousseau, Alexandre Chailloux, Alain Durré

Interest rate derivatives on major currencies, with notional outstanding amounts adding up to hundreds of trillions, are mostly indexed on Libor and Euribor benchmarks, as are hundreds of billions in loans to enterprises, mortgages and other retail loans to the real economy. Yet, the prevailing role of these benchmarks appears to be more a legacy from history rather than reflecting today?s structure of banks? funding. Building on earlier work (Brousseau, Chailloux, Durré, 2009), this paper discusses various options to move towards a new benchmarking system in the money market. It proposes a more ambitious benchmark design that would consist of a trade-weighted index that would systematically pool all short-term wholesale funding operations of banks per tenor
Table Of Contents
Cover; Contents; I. Introduction; Figure; Figure 1: Libor and Euribor Fixings for Short Short-term Maturities; Figure 2: Libor and Euribor Fixings for Medium Medium-term Maturities; II. Background and Review of the Literature; A. A Paradigm Shift; B. Towards the Thin End of the Wedge?; C. Facts and Figures; Figure 3: Wholesale Interbank Unsecured Operations; Figure 4: Short Short-term Wholesale Borrowing; Figure 5: Average Daily Turnover in Various Euro Area Money Market Segments; Figure 6: Maturity Breakdown for Average Daily Turnover in Euro Area Unsecured Lending
Literary Form
non fiction
Description based upon print version of record
Physical Description
1 online resource (23 p.)
Specific Material Designation
Form Of Item

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