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Beyond LIBOR: a primer on the new benchmark rates


  • Andreas Schrimpf
  • Vladyslav Sushko


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.

Suggested Citation

  • Andreas Schrimpf & Vladyslav Sushko, 2019. "Beyond LIBOR: a primer on the new benchmark rates," BIS Quarterly Review, Bank for International Settlements, March.
  • Handle: RePEc:bis:bisqtr:1903e

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    References listed on IDEAS

    1. Deborah Gefang & Gary Koop & Simon M. Potter, 2010. "Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis," Working Paper series 46_10, Rimini Centre for Economic Analysis.
    2. Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "Understanding liquidity and credit risks in the financial crisis," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 903-914.
    3. Thomas Keating & Marco Macchiavelli, 2017. "Interest on Reserves and Arbitrage in Post-Crisis Money Markets," Finance and Economics Discussion Series 2017-124, Board of Governors of the Federal Reserve System (U.S.).
    4. William Dudley, 2018. "The transition to a robust reference rate regime: remarks at Bank of England’s Markets Forum 2018, London, England," Speech 287, Federal Reserve Bank of New York.
    5. Robert N McCauley, 2001. "Benchmark tipping in the money and bond markets," BIS Quarterly Review, Bank for International Settlements, March.
    6. Darrell Duffie & Jeremy C. Stein, 2015. "Reforming LIBOR and Other Financial Market Benchmarks," Journal of Economic Perspectives, American Economic Association, vol. 29(2), pages 191-212, Spring.
    7. Bech, Morten & Monnet, Cyril, 2016. "A search-based model of the interbank money market and monetary policy implementation," Journal of Economic Theory, Elsevier, vol. 164(C), pages 32-67.
    8. Catherine Chen & Marco Cipriani & Gabriele La Spada & Philip Mulder & Neha Shah, 2017. "Money Market Funds and the New SEC Regulation," Liberty Street Economics 20170320, Federal Reserve Bank of New York.
    9. Jacob Gyntelberg & Philip Wooldridge, 2008. "Interbank rate fixings during the recent turmoil," BIS Quarterly Review, Bank for International Settlements, March.
    10. Robert N McCauley & Patrick McGuire, 2014. "Non-US banks' claims on the Federal Reserve," BIS Quarterly Review, Bank for International Settlements, March.
    11. François-Louis Michaud & Christian Upper, 2008. "What drives interbank rates? Evidence from the Libor panel," BIS Quarterly Review, Bank for International Settlements, March.
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    Blog mentions

    As found by, the blog aggregator for Economics research:
    1. Replacing LIBOR
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2019-08-26 12:22:06


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Robert N McCauley & Catherine R Schenk, 2020. "Central bank swaps then and now: swaps and dollar liquidity in the 1960s," BIS Working Papers 851, Bank for International Settlements.
    2. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020. "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    3. Ralf Fendel & Jan Heins & Oliver Mohr, 2020. "The Effect of the ECB’s Forward Guidance on Interest Rate Forecasts," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(8), pages 1-52, August.

    More about this item

    JEL classification:

    • D47 - Microeconomics - - Market Structure, Pricing, and Design - - - Market Design
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors


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