Reformy referencyjnych stóp procentowych na wybranych rynkach finansowych

Dominik Kubacki

doi:10.26354/bb.2.2.91.2023

Published: 2023-07-28

Vol. 91 No. 2 (2023)

Reference interest rate reforms in selected financial markets

Dominik Kubacki

Section: Problems and Opinions

https://doi.org/10.26354/bb.2.2.91.2023

Abstract

The consequences of the financial crisis and in-depth analyses of financial market practices led, among other things, to the exposure of problems with the use of benchmark rates, particularly LIBOR. Criticism of the LIBOR calculation methodology inspired banking regulators to initiate a reform of this benchmark towards a move away from expert declarations by participating banks to a system based on actual transactions and liquid markets. The article outlines the origins of the LIBOR rate, its characteristics in selected countries and role in today's financial markets. It then shows the basic assumptions behind the reform of money market indices in the US, the UK, Switzerland, the euro area and Japan and compares them with the LIBOR rate.

A key conclusion of the analysis of the reforms of benchmark interest rate indices in the five currency areas is that there is no single common method for setting them and new risk-free (RFR)-type overnight indices that meet international IOSCO standards are now being used. The new RFRs allow for the calculation of forward reference rates beyond the overnight period, by calculating them on the basis of historically available O/N (backward-looking) rates.