Euribor

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Euribor-12m (red), 3m (blue), 1w (green) value between years 1998 and 2014

The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Banking Federation, 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).

Scope[edit]

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]

Technical features[edit]

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) 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 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.

Panel Banks[edit]

As of 1 September 2014 the panel of banks contributing to Euribor consists of 26 banks. At 20 September 2012, the panel of banks contributing to Euribor consisted of 44 banks:[2]

The contributors to Euribor are the banks with the highest volume of business in the euro zone money markets.[citation needed]

  • 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
20 September 2012 1 September 2014
Austria Erste Group Bank AG
RZB Raiffeisen Zentralbank Österreich AG
Belgium Belfius
KBC
Belfius
Finland Nordea
Pohjola
Nordea
Pohjola
France Banque Postale
BNP-Paribas
HSBC France
Société Générale
Natixis
Crédit Agricole s.a.
Crédit Industriel et Commercial CIC

BNP-Paribas
HSBC France

Natixis
Crédit Agricole s.a.

Société Générale
Germany Landesbank Berlin
Bayerische Landesbank Girozentrale
Deutsche Bank
Commerzbank
DZ Bank Deutsche
Genossenschaftsbank
Norddeutsche Landesbank Girozentrale
Landesbank Baden-Württemberg Girozentrale
Landesbank Hessen-Thüringen Girozentrale


Deutsche Bank
Commerzbank
DZ Bank Deutsche
Greece National Bank of Greece National Bank of Greece
Italy Intesa Sanpaolo
Monte dei Paschi di Siena
Unicredit
UBI Banca
Intesa Sanpaolo
Monte dei Paschi di Siena
Unicredit
Ireland Bank of Ireland
AIB
Luxembourg Banque et Caisse d'Épargne de l'État Banque et Caisse d'Épargne de l'État
Netherlands ING Bank
Rabobank
ING Bank
Portugal Caixa Geral de Depósitos (CGD) Caixa Geral de Depósitos (CGD)
Spain Banco Bilbao Vizcaya Argentaria
Banco Santander Central Hispano
Confederacion Española de Cajas de Ahorros
CaixaBank S.A.
Banco Bilbao Vizcaya Argentaria
Banco Santander
CECABANK
CaixaBank S.A.
Other EU banks Barclays
Den Danske Bank
Svenska Handelsbanken
Barclays
Den Danske Bank
Non-EU banks UBS (Luxembourg) S.A.
Citibank
J.P. Morgan Chase & Co
The Bank of Tokyo-Mitsubishi UFJ


London Branch of JP Morgan Chase Bank N.A.
The Bank of Tokyo-Mitsubishi UFJ

Interest rate swaps[edit]

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.

Eonia[edit]

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.

See also[edit]

References[edit]

External links[edit]

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.