Euribor
Encyclopedia
The Euro Interbank Offered Rate (Euribor) is a daily reference rate
based on the averaged interest rate
s at which Eurozone
bank
s offer to lend unsecured funds
to other banks in the euro
wholesale
money market
(or interbank market
).
s, short term interest rate futures contract
s and interest rate swap
s, 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.
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.
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.
, 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.
Reference rate
A reference rate is a rate that determines pay-offs in a financial contract and that is outside the control of the parties to the contract. It is often some form of LIBOR rate, but it can take many forms, such as a consumer price index, a house price index or an unemployment rate...
based on the averaged interest rate
Interest rate
An interest rate is the rate at which interest is paid by a borrower for the use of money that they borrow from a lender. For example, a small company borrows capital from a bank to buy new assets for their business, and in return the lender receives interest at a predetermined interest rate for...
s at which Eurozone
Eurozone
The eurozone , officially called the euro area, is an economic and monetary union of seventeen European Union member states that have adopted the euro as their common currency and sole legal tender...
bank
Bank
A bank is a financial institution that serves as a financial intermediary. The term "bank" may refer to one of several related types of entities:...
s offer to lend unsecured funds
Funding
Funding is the act of providing resources, usually in form of money , or other values such as effort or time , for a project, a person, a business or any other private or public institutions...
to other banks in the euro
Euro
The euro is the official currency of the eurozone: 17 of the 27 member states of the European Union. It is also the currency used by the Institutions of the European Union. The eurozone consists of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg,...
wholesale
Wholesale
Wholesaling, jobbing, or distributing is defined as the sale of goods or merchandise to retailers, to industrial, commercial, institutional, or other professional business users, or to other wholesalers and related subordinated services...
money market
Money market
The money market is a component of the financial markets for assets involved in short-term borrowing and lending with original maturities of one year or shorter time frames. Trading in the money markets involves Treasury bills, commercial paper, bankers' acceptances, certificates of deposit,...
(or interbank market
Interbank market
The interbank market is the top-level foreign exchange market where banks exchange different currencies. The banks can either deal with one another directly, or through electronic brokering platforms. The Electronic Broking Services and Thomson Reuters Dealing 3000 Xtra are the two competitors in...
).
Scope
Euribors are used as a reference rate for euro-denominated forward rate agreementForward rate agreement
In finance, a forward rate agreement is a forward contract, an over-the-counter contract between parties that determines the rate of interest, or the currency exchange rate, to be paid or received on an obligation beginning at a future start date. The contract will determine the rates to be used...
s, short term interest rate futures contract
Futures contract
In finance, a futures contract is a standardized contract between two parties to exchange a specified asset of standardized quantity and quality for a price agreed today with delivery occurring at a specified future date, the delivery date. The contracts are traded on a futures exchange...
s and interest rate swap
Interest rate swap
An interest rate swap is a popular and highly liquid financial derivative instrument in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate or from one floating rate to another...
s, in very much the same way as LIBORs are commonly used for Sterling
Pound sterling
The pound sterling , commonly called the pound, is the official currency of the United Kingdom, its Crown Dependencies and the British Overseas Territories of South Georgia and the South Sandwich Islands, British Antarctic Territory and Tristan da Cunha. It is subdivided into 100 pence...
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
Helibor
Helibor was a reference rate that was used in 1987–1998 on the Finnish interbank market. It was calculated each day as an average of the interest rates at which the banks offered to lend unsecured, Finnish markka nominated funds to each other.Helibor was quoted for 1, 2, 3, 6, 9 and 12 month...
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
London
London is the capital city of :England and the :United Kingdom, the largest metropolitan area in the United Kingdom, and the largest urban zone in the European Union by most measures. Located on the River Thames, London has been a major settlement for two millennia, its history going back to its...
by 16 major banks.
Technical features
- Official reference: EURIBOR Technical features
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
Central European Time
Central European Time , used in most parts of the European Union, is a standard time that is 1 hour ahead of Coordinated Universal Time . The time offset from UTC can be written as +01:00...
) on each day that the Trans-European Automated Real-Time Gross-Settlement Express Transfer system (TARGET
TARGET
TARGET was an interbank payment system for the real-time processing of cross-border transfers throughout the European Union. It included 16 national real-time gross settlement systems and the ECB payment mechanism...
) is open. At 11:00 a.m. (CET), Reuters
Reuters
Reuters is a news agency headquartered in New York City. Until 2008 the Reuters news agency formed part of a British independent company, Reuters Group plc, which was also a provider of financial market data...
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
Truncated mean
A truncated mean or trimmed mean is a statistical measure of central tendency, much like the mean and median. It involves the calculation of the mean after discarding given parts of a probability distribution or sample at the high and low end, and typically discarding an equal amount of both.For...
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.
Banks that contribute to the creation of the EURIBOR
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:- 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.
| Country | Banks |
|---|---|
| Austria | Erste Group Bank AG RZB Raiffeisen Zentralbank Österreich AG |
| Belgium | Dexia Bank KBC KBC KBC may refer to:* Kachemak Bay Campus, a campus of Kenai Peninsula College, a unit of the University of Alaska Anchorage* Kenmore Baptist Church, a church located in Kenmore, Queensland, Australia... |
| Finland | Nordea Nordea Nordea Bank AB is a Stockholm-based financial services group operating in Northern Europe. The bank is the result of the successive mergers and acquisitions of the Swedish, Finnish, Danish and Norwegian banks of Nordbanken, Merita Bank, Unibank and Kreditkassen that took place between 1997 and 2000... Pohjola |
| France | Banque Postale BNP-Paribas HSBC France Société Générale Société Générale Société Générale S.A. is a large European Bank and a major Financial Services company that has a substantial global presence. Its registered office is on Boulevard Haussmann in the 9th arrondissement of Paris, while its head office is in the Tours Société Générale in the business district of La... Natixis Natixis Natixis is a French corporate and investment bank created in November 2006 from the merger of the asset management and investment banking operations of Natexis Banque Populaire and IXIS .... Crédit Agricole Crédit Agricole Crédit Agricole S.A. is the largest retail banking group in France, second largest in Europe and the eighth largest in the world by Tier 1 capital according to The Banker magazine. It is also part of the CAC 40 stock market index.... s.a. Crédit Industriel et Commercial Crédit Industriel et Commercial Crédit Industriel et Commercial is a financial services group in France, founded in 1859 With its parent-company, Crédit Mutuel it is the fourth largest bank in the country... CIC |
| Germany | Landesbank Berlin Bayerische Landesbank Girozentrale Deutsche Bank Deutsche Bank Deutsche Bank AG is a global financial service company with its headquarters in Frankfurt, Germany. It employs more than 100,000 people in over 70 countries, and has a large presence in Europe, the Americas, Asia Pacific and the emerging markets... WestLB AG Commerzbank DZ Bank Deutsche Genossenschaftsbank Norddeutsche Landesbank Girozentrale Landesbank Baden-Württemberg Girozentrale Landesbank Hessen Thüringen Girozentrale |
| Greece | National Bank of Greece National Bank of Greece The National Bank of Greece is the oldest and largest commercial banking group in Greece. The group has a particularly strong presence in Southeastern Europe and the Eastern Mediterranean... |
| Ireland | AIB Group Bank of Ireland Bank of Ireland The Bank of Ireland is a commercial bank operation in Ireland, which is one of the 'Big Four' in both parts of the island.Historically the premier banking organisation in Ireland, the Bank occupies a unique position in Irish banking history... |
| Italy | Intesa Sanpaolo Intesa Sanpaolo Intesa Sanpaolo is a banking group resulting from the merger between Banca Intesa and Sanpaolo IMI based in Turin, Italy. It has clear leadership in the Italian market and a minor but growing international presence focused on Central-Eastern Europe, the Middle East and North Africa Intesa Sanpaolo... Monte dei Paschi di Siena Monte dei Paschi di Siena Banca Monte dei Paschi di Siena S.p.A. is the oldest surviving bank in the world. Founded in 1472 by the Magistrate of the city state of Siena, Italy, as a mount of piety, it has been operating ever since. Today it consists of approximately 3,000 branches, 33,000 employees and 4.5 million... Unicredit UniCredit UniCredit SpA is an Italy-based, pan-European banking organization, with aprox 40 million customers and operations in 22 countries.- Geography :... |
| Luxembourg | Banque et Caisse d'Épargne de l'État Banque et Caisse d'Épargne de l'État In Luxemburgish Spuerkeess, in French Banque et Caisse d'Épargne de l'État , is a Luxembourgish bank, established and owned by the Luxembourgish government... |
| Netherlands | ING Bank RBS N.V. Rabobank Rabobank Rabobank is a financial services provider with offices worldwide. Their main location is in the Netherlands. They are a global leader in Food and Agri financing and in sustainability-oriented banking... |
| 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 Barclays Capital Barclays Capital is a global British investment bank. It is the investment banking division of Barclays plc which has a balance sheet of over £1.2 trillion . Barclays Capital provides financing and risk management services to large companies, institutions and government clients. It is a primary... Den Danske Bank Svenska Handelsbanken |
| International Banks | UBS (Luxembourg) S.A. Citibank Citibank Citibank, a major international bank, is the consumer banking arm of financial services giant Citigroup. Citibank was founded in 1812 as the City Bank of New York, later First National City Bank of New York... J.P. Morgan Chase & Co Bank of Tokyo Mitsubishi |
Interest rate swaps
Interest rate swapsInterest rate swap
An interest rate swap is a popular and highly liquid financial derivative instrument in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate or from one floating rate to another...
based on short Euribors currently trade on the interbank market
Interbank market
The interbank market is the top-level foreign exchange market where banks exchange different currencies. The banks can either deal with one another directly, or through electronic brokering platforms. The Electronic Broking Services and Thomson Reuters Dealing 3000 Xtra are the two competitors in...
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
Yield curve
In finance, the yield curve is the relation between the interest rate and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S...
shifted by x basis points in order to equal the bond's actual market price.
Eonia
The other widely used reference rate in the euro-zone is EoniaEonia
Eonia is an effective overnight interest rate computed as a weighted average of all overnight unsecured lending transactions in the interbank market. It has been initiated within the euro area by the contributing panel banks.It is one of the two benchmarks for the money and capital markets in the...
, also published by the European Banking Federation
European Banking Federation
The European Banking Federation is an organization of the European banking sector, representing interest of over 5000 European banks in 31 countries with combined assets of over 30,000 billion Euro and around 2.4 million employees...
, which is the daily average of overnight rates for unsecured interbank lending in the euro-zone, i.e. like the federal funds rate
Federal funds rate
In the United States, the federal funds rate is the interest rate at which depository institutions actively trade balances held at the Federal Reserve, called federal funds, with each other, usually overnight, on an uncollateralized basis. Institutions with surplus balances in their accounts lend...
in the US.
The banks contributing to Eonia are the same as the Panel Banks contributing to Euribor.
See also
- EuroEuroThe euro is the official currency of the eurozone: 17 of the 27 member states of the European Union. It is also the currency used by the Institutions of the European Union. The eurozone consists of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg,...
- European Banking FederationEuropean Banking FederationThe European Banking Federation is an organization of the European banking sector, representing interest of over 5000 European banks in 31 countries with combined assets of over 30,000 billion Euro and around 2.4 million employees...
- Prime ratePrime ratePrime rate or prime lending rate is a term applied in many countries to a reference interest rate used by banks. The term originally indicated the rate of interest at which banks lent to favored customers, i.e., those with high credibility, though this is no longer always the case...
- federal funds rateFederal funds rateIn the United States, the federal funds rate is the interest rate at which depository institutions actively trade balances held at the Federal Reserve, called federal funds, with each other, usually overnight, on an uncollateralized basis. Institutions with surplus balances in their accounts lend...
- EONIAEoniaEonia is an effective overnight interest rate computed as a weighted average of all overnight unsecured lending transactions in the interbank market. It has been initiated within the euro area by the contributing panel banks.It is one of the two benchmarks for the money and capital markets in the...
- SONIASONIASONIA is the acronym for Sterling OverNight Index Average, the reference rate for overnight unsecured transactions in the Sterling market...
- SARONSARONSARON is an overnight interest rates average referencing the Swiss Franc interbank repo market. It was launched by the Swiss National Bank in cooperation with SIX Swiss Exchange. Since 25 August 2009, SARON has replaced the previously used repo overnight index...
- MUTANMutan rateThe Mutan interest rate is the Uncollateralised Overnight Call Rate in Japan. It is the reference rate for JPY overnight unsecured transactions in the Japanese market....
- LIBOR
External links
- European Central Bank
- Euribor homepage
- Euribor Page on Wikinvest
- Euribor Rate, Daily Update (Bank of Finland)
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.