The Euro Interbank Offered Rate (Euribor) is a daily reference rate based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro wholesale money market (or interbank market).
Contents |
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.[1]
A representative panel of banks provide daily quotes of the rate, rounded to three 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 10:45 a.m. (CET) on each day that the Trans-European Automated Real-Time Gross-Settlement Express Transfer system (TARGET) is open. At 11:00 a.m. (CET), Reuters will process the Euribor calculation and instantaneously publish the reference rate on Reuters pages 248-249, which will be made available to all its subscribers and to other data vendors. 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.
The contributors to Euribor are the banks with the highest volume of business in the euro zone money markets. The panel of banks contributing to Euribor consists of 44 banks:
| Country | Banks |
|---|---|
| Austria | Erste Group Bank AG RZB Raiffeisen Zentralbank Österreich AG |
| Belgium | Dexia Bank KBC |
| Finland | Nordea Pohjola |
| France | Banque Postale BNP-Paribas HSBC France Société Générale Natixis Crédit Agricole s.a. Crédit Industriel et Commercial CIC |
| Germany | Landesbank Berlin Bayerische Landesbank Girozentrale Deutsche Bank WestLB AG Commerzbank DZ Bank Deutsche Genossenschaftsbank Norddeutsche Landesbank Girozentrale Landesbank Baden-Württemberg Girozentrale Landesbank Hessen Thüringen Girozentrale |
| Greece | National Bank of Greece |
| Ireland | AIB Group Bank of Ireland |
| Italy | Intesa Sanpaolo Monte dei Paschi di Siena Unicredit |
| Luxembourg | Banque et Caisse d'Épargne de l'État |
| Netherlands | ING Bank RBS N.V. Rabobank |
| Portugal | Caixa Geral De Depósitos (CGD) |
| Spain | Banco Bilbao Vizcaya Argentaria Banco Santander Central Hispano Confederacion Española de Cajas de Ahorros CaixaBank S.A. |
| Other EU Banks | Barclays Capital Den Danske Bank Svenska Handelsbanken |
| International Banks | UBS (Luxembourg) S.A. Citibank J.P. Morgan Chase & Co Bank of Tokyo Mitsubishi |
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.
The other widely used reference rate in the euro-zone is Eonia, also published by the European Banking Federation, which is the daily 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 are the same as the Panel Banks contributing to Euribor.
Euribor reference rates are published on the Moneyline Telerate pages 248-249 and 47860-66. Informative historical data can also be found at the Euribor homepage.
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||