Euribor
The Euro Interbank Offered Rate (trademarked as Euribor) is a daily reference rate, published by the European Money Markets Institute, 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.
Overview
The Euro Interbank Offered Rate (trademarked as Euribor) is a daily reference rate, published by the European Money Markets Institute, 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. 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.
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).
Euribor futures
EUR Euribor futures are traded on Intercontinental Exchange (ICE) and on Eurex. They were previously also traded on CurveGlobal, part of the London Stock Exchange Group, 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
€STR EONIA Euro European Banking Federation Federal funds rate LIBOR TONAR Prime rate ROBID SARON SONIA
External links
European Central Bank Euribor homepage Euribor historical data (informative) Euribor Rate, Daily Update (Bank of Finland) Euribor homepage (informative historical data can also be found here)
Wikipedia contributors · Euribor · revision 1373496214 · CC BY-SA 4.0 · Plain text extracted and formatting adapted; tags derived from linked topics.