EURIBOR: Difference between revisions
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''Reference rates.'' | |||
(Euro Interbank Offered Rate). | (Euro Interbank Offered Rate). | ||
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* [[InterBank Offered Rate]] | * [[InterBank Offered Rate]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
* [[Reference rate]] | |||
* [[Reuters]] | * [[Reuters]] | ||
* [[TIBOR]] | * [[TIBOR]] | ||
[[Category:Manage_risks]] | [[Category:Manage_risks]] | ||
Revision as of 12:30, 17 August 2019
Reference rates.
(Euro Interbank Offered Rate).
Sponsored by the European Money Markets Institute (EMMI), EURIBOR® is a formal benchmark or reference interest rate launched in 1998.
It estimates the all-in, simple interest rate (including credit premium and liquidity premium) at which euro denominated interbank term deposits for spot value (T+2) are offered within the euro-zone by one prime bank to another prime bank in the period before 10.45 CET each business morning.
EURIBOR is calculated for periods ranging from one day to one year. It is quoted to three decimal places and on an actual/360 day-count.
Also written 'Euribor'.
EMMI continuously reviews the basis of EURIBOR, striving to improve it.
Contributing rate estimates
Since 2013, a panel of banks contribute to the Euribor. The panel is made up of:
- Banks from EU countries participating in the euro from the outset.
- Banks from EU countries not participating in the euro from the outset.
- Large international banks from non-EU countries but with important euro zone operations.
The banks submit their estimate, to two decimal places, of the rate "at which euro interbank term deposits are being offered within the Eurozone by one prime bank to another at 11 am Brussels time" ("the best price between the best banks").
This is similar to the question for LIBOR contributing banks prior to reform of LIBOR in 1998 to improve accountability of contributing banks for the submitted rate.
EMMI publishes a code of conduct for contributing banks.
Euribor calculation
In calculating the Euribor from the submitted rates, the highest and lowest 15% of submitted rates are ignored and the central 70% remaining is averaged and published to 3 decimal places.
Thomson Reuters is the screen service provider responsible for computing and also publishing Euribor.
The Euribor process is overseen by a Steering Committee.
