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Challenges associated with the replacement of IBOR benchmark interest rates

Bron: Artikel Pierre Wernert and Bart van der Pijl, Zanders - 03 december 2018

Benchmark interest rates are an essential part of financial markets. These interest rates are used for numerous financial products, such as bonds, loans and derivatives, and in the construction of discount curves. This has applications in fair value calculations, hedge strategies, sensitivity analysis, treasury and risk management systems, and much more.

The currently used benchmark interest rates are based on a survey and are not compliant with the European Benchmark Regulation (BMR). The market is therefore in transition to a transaction-based reference interest rate. What are the main challenges of this transition and what are the possible ways forward?

Benchmark rates
The Interbank Offered Rate (IBOR) comprises a series of benchmark rates based on values submitted by a panel of banks. For example, LIBOR is based on data submitted by banks in London and EURIBOR is the benchmark based on data from Eurozone banks. It represents the average interest rate at which a panel of banks say they borrow funds from one another. Ever since the crisis there have been calls to adapt or replace the benchmark interest rate. The benchmark rate is based on professional judgment instead of transactional data and therefore can be (and has been) manipulated.

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