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Fixing the Fixings: What Road to a More Representative Money Market Benchmark?
Author:
V. Brousseaunull

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,
Alexandre Chailloux
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, and
Alain Durrénull

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Series:
IMF Working Papers
Volume/Issue:
Volume 2013: Issue 131
Language:
English
Publication Date:
29 May 2013
DOI:
https://doi.org/10.5089/9781484306772.001
ISBN:
9781484306772
ISSN:
1018-5941
Pages:
22
Keywords:
WP; derivative instrument; interest rate; market; bank; London interbank offered rate; Libor; Euribor; fixings; Unsecured Money Market; Benchmarking System; derivatives data; OTC interest rates derivative exposure; forward rate; Euribor-index interest rate swap; rate-referenced derivative products; rate-indexed derivatives contract; rate derivatives instruments; OTC derivative clearing houses; trading unit; market participant; index cash transaction; interest rate swap; Money markets; Interbank rates; Currencies; Options; Deposit rates; Global; Europe; North America; Northern Europe; Asia and Pacific
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2013: Issue 131