We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We propose a methodology which takes into account specific features of Euro-denominated wholesale funding markets. We discuss the role for hedge accounting and the advantages of using such a benchmark in the framework of current benchmark reforms and in stressed conditions. Finally, we discuss how our proposal aligns with international guidelines and regulations for market benchmarks.


Saroyan, Susanna and Cont, Rama, EURAXI: A Benchmark for Euro Credit Spreads (June 26, 2023). Available at SSRN: https://ssrn.com/abstract=4491834 or http://dx.doi.org/10.2139/ssrn.4491834
Go to Document