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By Volker SIELAFF, Wolfgang SCHLAFFER, Günther BLAHA and Arnd HEßELER, zeb consulting*
IBORs (e.g. LIBOR, EURIBOR ) and EONIA are key benchmark interest rate indices. They are currently used as base rates for approximately EUR 400 trillion in contracts (e.g. interbank money market transactions, loans to corporates and private individuals, term deposits, derivatives, bonds, securitized instruments and syndicated loans). Following the financial crisis, however, the funding behavior of banks shifted from unsecured towards secured transactions, leading to a decline in the number of transactions relevant for index calculation. Ultimately, a series of LIBOR scandals led to the start of the IBOR reform process.
Subsequently, the...
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