EURIBOR: Difference between revisions
imported>Doug Williamson (Update.) |
imported>Doug Williamson (Update for proposed reforms. Source: The Treasurer, May 2017, p6.) |
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(Euro Interbank Offered Rate). | (Euro Interbank Offered Rate). | ||
Sponsored by the European | Sponsored by the European Money Markets Institute ([https://www.emmi-benchmarks.eu/ 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. | 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. | ||
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EMMI continuously reviews the basis of EURIBOR, striving to improve it. | |||
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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. | 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 [http://www.euribor-ebf.eu/assets/files/Euribor_code_conduct.pdf code of conduct] for contributing banks. | |||
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The Euribor process is overseen by a [http://www.euribor-ebf.eu/euribor-org/steering-committee.html Steering Committee]. | The Euribor process is overseen by a [http://www.euribor-ebf.eu/euribor-org/steering-committee.html Steering Committee]. | ||
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* [[EONIA]] | * [[EONIA]] | ||
* [[Euro LIBOR]] | * [[Euro LIBOR]] | ||
* [[European Money Markets Institute]] | |||
* [[InterBank Offered Rate]] | * [[InterBank Offered Rate]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
Revision as of 12:47, 6 May 2017
(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 September 2013, the panel of banks contributing to Euribor is made up of 32 banks though it has been larger in the past.
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.
