EURIBOR: Difference between revisions

From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson
m (Removed reference to months - reworded where necessary)
imported>Doug Williamson
(Layout.)
(4 intermediate revisions by the same user not shown)
Line 1: Line 1:
(Euro Interbank Offered Rate)
(Euro Interbank Offered Rate).


Sponsored by the European Banking Federation ([http://www.euribor-ebf.eu/ EBF]),  EURIBOR® is a formal benchmark or reference interest rate launched in 1998.
Sponsored by the European Banking Federation ([http://www.euribor-ebf.eu/ EBF]),  EURIBOR® is a formal benchmark or reference interest rate launched in 1998.
Line 6: Line 6:
   
   
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.
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.
__TOC__


==Contributing rate estimates==
==Contributing rate estimates==


Since 2013, the panel of banks contributing to Euribor is made up of 32 banks though it has been larger in the past.
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.


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.
The EBF publish a [http://www.euribor-ebf.eu/assets/files/Euribor_code_conduct.pdf code of conduct] for contributing banks.


The EBF publish a [http://www.euribor-ebf.eu/assets/files/Euribor_code_conduct.pdf code of conduct] for contributing banks


==Euribor calculation==
==Euribor calculation==
Line 27: Line 34:
* [[Benchmark]]
* [[Benchmark]]
* [[EONIA]]
* [[EONIA]]
* [[Euro LIBOR]]
* [[InterBank Offered Rate]]
* [[InterBank Offered Rate]]
* [[LIBOR]]
* [[LIBOR]]
* [[TIBOR]]
* [[TIBOR]]


[[Category:Interest_Rate_Risk]]
[[Category:Manage_risks]]

Revision as of 12:54, 4 December 2015

(Euro Interbank Offered Rate).

Sponsored by the European Banking Federation (EBF), 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.



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.

The EBF publish 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.


See also