EURAXI: A Benchmark for Euro Credit Spreads

Abstract:

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.