Euribor

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Overview from 1999 until 2020 of the Euribor-12m (red), 3m (blue) and 1w (green) values EuriborChart12m3m1w.svg
Overview from 1999 until 2020 of the Euribor-12m (red), 3m (blue) and 1w (green) values
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Euro monetary policy
  Euro Zone inflation year/year
  M3 money supply increases
  Marginal Lending Facility
  Main Refinancing Operations
  Deposit Facility Rate
  Euribor

The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, [1] based on the averaged interest rates at which Eurozone banks borrow unsecured funds from counterparties in the euro wholesale money market (before only in the interbank market). Prior to 2015, the rate was published by the European Banking Federation. [2]

Contents

Domestic reference rates, like Paris's PIBOR, Frankfurt's FIBOR, and Helsinki's Helibor merged into Euribor on EMU day on 1 January 1999.

Euribor should be distinguished from the less commonly used "Euro LIBOR" rates set in London by 16 major banks. [3]

Fallback

The EU Benchmark Regulation (Regulation (EU) 2016/1011) requires entities that use a benchmark to have robust plans in place to manage the possibility of a benchmark undergoing substantial changes or ceasing to exist. Where feasible and appropriate, such plans should nominate one or more fallback rates.

To facilitate the drafting of such plans for entities using Euribor® rates, the European Money Markets Institute has developed Efterm, a forward-looking fallback rate based on available market data related to Dealer-to-Dealer and Dealer-to-Client OIS Swaps and futures that reference the European Central Bank's Euro Short-Term Rate (€STR).

Panel banks

Current banks

CountryBanks [4]
Austria Raiffeisen Bank International
Belgium Belfius
Finland OP Corporate Bank
France BNP-Paribas
France HSBC France
France Natixis
France Crédit Agricole
France Société Générale
Greece National Bank of Greece
Germany Deutsche Bank
Germany DZ Bank
Italy Intesa Sanpaolo
Italy UniCredit
Luxembourg Banque et Caisse d'Épargne de l'État
Netherlands ING Bank
Portugal Caixa Geral de Depósitos (CGD)
Spain Banco Bilbao Vizcaya Argentaria
Spain Banco Santander
Spain CECABANK  [ es ]
Spain CaixaBank
UK Barclays

Former banks

CountryBanksDate of exit
Italy Banco BPM 7 January 2019
UK JP Morgan International - London16 September 2016
Japan The Bank of Tokyo Mitsubishi 1 July 2016
Finland Pohjola Bank 13 May 2016
Finland Nordea 18 December 2015
Denmark Danske Bank 14 May 2015
Germany Commerzbank 1 October 2014
France La Banque Postale 11 April 2014
Belgium KBC Bank 1 April 2014
France Crédit Industriel et Commercial 31 March 2014
Italy UBI Banca 10 March 2014
Ireland Bank of Ireland 15 February 2014
Austria Erste Group 11 October 2013
Germany Norddeutsche Landesbank Girozentrale 29 June 2013
Ireland Allied Irish Bank 29 June 2013
Germany Landesbank Hessen-Thüringen Girozentrale 1 June 2013
Germany Landesbank Baden-Württemberg 1 June 2013
Germany LandesBank Berlin 1 May 2013
Germany UBS 28 March 2013
Sweden Handelsbanken 20 March 2013
Netherlands Rabobank 3 January 2013
Germany BayernLB 1 January 2013
Germany Deka Bank 30 November 2012
USA Citibank 21 September 2012

Euribor-based derivatives

Euribor futures

EUR Euribor futures are traded on Intercontinental Exchange (ICE) [5] and on Eurex. [6]

They were previously also traded on CurveGlobal, part of the London Stock Exchange Group, [7] which has closed down operations in January 2022.

Interest rate swaps

Interest rate swaps based on Euribor rates currently trade in money markets for maturities up to 50 years. A "five-year Euribor" will be in fact referring to the 5-year swap rate vs 6-month Euribor. "Euribor + x basis points", when talking about a bond, will mean that the bond's cash flows have to be discounted on the swaps' zero-coupon yield curve shifted by x basis points in order to equal the bond's actual market price.

€STR

The other widely used reference rate in the euro-zone is €STR, published by the European Central Bank.

See also

References

  1. ↑ "Home | The European Money Markets Institute (EMMI)".
  2. ↑ ""Euribor-EBF becomes EMMI", Retrieved 4 Feb 2017". Archived from the original on 5 February 2017. Retrieved 5 February 2017.
  3. ↑ "Euro LIBOR", Investopedia
  4. ↑ "Euribor® Panel Banks | the European Money Markets Institute (EMMI)".
  5. ↑ "Three Month Euribor Futures" . Retrieved 22 December 2019.
  6. ↑ "Three-Month EURIBOR Futures (FEU3)". Archived from the original on 22 December 2019. Retrieved 22 December 2019.
  7. ↑ "Our product offering". Archived from the original on 22 December 2019. Retrieved 22 December 2019.
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