EURAXI: A Benchmark for Euro Credit Spreads
13 Pages Posted: 28 Jun 2023 Last revised: 19 Jul 2023
Date Written: June 26, 2023
Abstract
We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We propose a methodology which takes into account specific features of Euro-denominated wholesale funding markets. We discuss the role for hedge accounting and the advantages of using such a benchmark in the framework of current benchmark reforms and in stressed conditions. Finally, we discuss how our proposal aligns with international guidelines and regulations for market benchmarks.
Keywords: LIBOR, benchmark reform, credit risk, interbank markets, EURIBOR, debt markets
JEL Classification: G21, G28
Suggested Citation: Suggested Citation