Overview from 2008 until 2020 of the Euribor-12m (red), 3m (blue), 1w (green) value
Euro Monetary policy
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  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 (or interbank market). Prior to 2015, the rate was published by the European Banking Federation.[2]

Scope

Euribors are used as a reference rate for euro-denominated forward rate agreements, short-term interest rate futures contracts and interest rate swaps, in very much the same way as LIBORs are commonly used for Sterling and US dollar-denominated instruments. They thus provide the basis for some of the world's most liquid and active interest rate markets.

Domestic reference rates, like Paris' 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]

Technical features

Official reference: EURIBOR Technical features

A representative panel of banks provide daily quotes of the rate, rounded to two decimal places, that each Panel Bank believes one prime bank is quoting to another prime bank for interbank term deposits within the Euro zone, for maturity ranging from one week to one year. Every Panel Bank is required to directly input its data no later than 11:00 a.m. (CET) on each day that the Trans-European Automated Real-Time Gross-Settlement Express Transfer system (TARGET) is open. At 11:02 a.m. (CET), GRSS (Global Rate Set Systems) will instantaneously publish the reference rate on Refinitiv (ex. Reuters), Bloomberg and a number of other information providers which will then be made available to all their subscribers. The published rate is a rounded, truncated mean of the quoted rates: the highest and lowest 15% of quotes are eliminated, the remainder are averaged and the result is rounded to 3 decimal places. Euribor rates are spot rates, i.e. for a start two working days after measurement day. Like US money-market rates, they are Actual/360, i.e. calculated with an exact daycount over a 360-day year. Euribor was first published on 30 December 1998 for value 4 January 1999.

Panel banks

Current banks

Country Banks[4]
Austria Raiffeisen Bank International
Belgium Belfius
France BNP-Paribas
France HSBC France
France Natixis
France Crédit Agricole
France Société Générale
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
Spain CaixaBank
UK Barclays

Former banks

Country Banks Date of exit
Greece National Bank of Greece 28 May 2019
Italy Banco BPM 7 January 2019
UK JP Morgan International - London 16 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 short Euribors currently trade on the interbank market 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.

Eonia

The other widely used reference rate in the euro-zone is Eonia, also published by the European Banking Federation, which is the daily weighted average of overnight rates for unsecured interbank lending in the euro-zone, i.e. like the federal funds rate in the US. The banks contributing to Eonia were the same as the Panel Banks contributing to Euribor. However, "On 1st June 2013, the Eonia and Euribor respective panels of contributing banks have been differentiated." (EMMI website)

See also

References

  1. ↑ "Home | The European Money Markets Institute (EMMI)".
  2. ↑ "Euribor-EBF becomes EMMI", Retrieved 4 Feb 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)". Retrieved 22 December 2019.
  7. ↑ "Our product offering". Retrieved 22 December 2019.
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