Beyond LIBOR: A Primer on the New Benchmark Rates

24 Pages Posted: 7 Mar 2019

See all articles by Andreas Schrimpf

Andreas Schrimpf

Bank for International Settlements (BIS) - Monetary and Economic Department; CREATES - Aarhus University

Vladyslav Sushko

Bank for International Settlements (BIS) - Monetary and Economic Department

Date Written: March 5, 2019

Abstract

The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR benchmarks, and compares some of their key characteristics with those of existing benchmarks. While the new RFRs can serve as robust and credible overnight reference rates rooted in transactions in liquid markets, they do so at the expense of not capturing banks' marginal term funding costs. Hence, there is a possibility that, under the new normal, multiple rates may coexist, fulfilling different purposes and market needs.

JEL Classification: D47, E43, G21, G23

Suggested Citation

Schrimpf, Andreas and Schrimpf, Andreas and Sushko, Vladyslav, Beyond LIBOR: A Primer on the New Benchmark Rates (March 5, 2019). BIS Quarterly Review March 2019, Available at SSRN: https://ssrn.com/abstract=3348186

Andreas Schrimpf (Contact Author)

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

CREATES - Aarhus University ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Vladyslav Sushko

Bank for International Settlements (BIS) - Monetary and Economic Department ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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