The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, 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). Prior to 2015, the rate was published by the European Banking Federation.
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.
- Official reference: EURIBOR Technical features
A representative panel of banks provide daily quotes of the rate, rounded to two 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 11:00 a.m. (CET) on each day that the Trans-European Automated Real-Time Gross-Settlement Express Transfer system (TARGET) is open. At 11:02 a.m. (CET), GRSS (Global Rate Set Systems) will instantaneously publish the reference rate on Refinitiv (ex. Reuters), Bloomberg and a number of other information providers which will then be made available to all their subscribers. 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.
|Luxembourg||Banque et Caisse d'Épargne de l'État|
|Portugal||Caixa Geral de Depósitos (CGD)|
|Spain||Banco Bilbao Vizcaya Argentaria|
|Country||Banks||Date of exit|
|Greece||National Bank of Greece||28 May 2019|
|Italy||Banco BPM||7 January 2019|
|UK||JP Morgan International - London||16 September 2016|
|Japan||The Bank of Tokyo Mitsubishi||1 July 2016|
|Finland||Pohjola Bank||13 May 2016|
|Finland||Nordea||18 December 2015|
|Denmark||Danske Bank||14 May 2015|
|Germany||Commerzbank||1 October 2014|
|France||La Banque Postale||11 April 2014|
|Belgium||KBC Bank||1 April 2014|
|France||Crédit Industriel et Commercial||31 March 2014|
|Italy||UBI Banca||10 March 2014|
|Ireland||Bank of Ireland||15 February 2014|
|Austria||Erste Group||11 October 2013|
|Germany||Norddeutsche Landesbank Girozentrale||29 June 2013|
|Ireland||Allied Irish Bank||29 June 2013|
|Germany||Landesbank Hessen-Thüringen Girozentrale||1 June 2013|
|Germany||Landesbank Baden-Württemberg||1 June 2013|
|Germany||LandesBank Berlin||1 May 2013|
|Germany||UBS||28 March 2013|
|Sweden||Handelsbanken||20 March 2013|
|Austria||Raiffeisen Bank International||15 January 2013|
|Netherlands||Rabobank||3 January 2013|
|Germany||BayernLB||1 January 2013|
|Germany||Deka Bank||30 November 2012|
|USA||Citibank||21 September 2012|
Interest rate swaps
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 weighted 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 were the same as the Panel Banks contributing to Euribor. However "On 1st June 2013, the Eonia® and Euribor® respective panels of contributing banks have been differentiated."(EMMI website)
On Thursday, 29 May 2008, The Wall Street Journal (WSJ) released a controversial study suggesting that banks might have understated borrowing costs they reported for Libor during the 2008 credit crunch. Such under-reporting could have created an impression that banks could borrow from other banks more cheaply than they could in reality. It could also have made the banking system or specific contributing bank appear healthier than it was during the 2008 credit crunch. For example, the study found that rates at which one major bank (Citigroup) "said it could borrow dollars for three months were about 0.87 percentage point lower than the rate calculated using default-insurance data."
On 27 June 2012, Barclays Bank was fined $200m by the Commodity Futures Trading Commission, $160m by the United States Department of Justice and £59.5m by the Financial Services Authority for attempted manipulation of the Libor and Euribor rates.
- "Euribor-EBF becomes EMMI", Retrieved Feb 4, 2017.
- "Euro LIBOR", Investopedia
- "Three Month Euribor Futures". Retrieved 22 December 2019.
- "Our product offering". Retrieved 22 December 2019.
- "Three-Month EURIBOR Futures (FEU3)". Retrieved 22 December 2019.
- Mollenkamp, Carrick; Whitehouse, Mark (29 May 2008). "Study Casts Doubt on Key Rate". The Wall Street Journal. Archived from the original on 29 May 2008.
- "CFTC Orders Barclays to pay $200 Million Penalty for Attempted Manipulation of and False Reporting concerning LIBOR and Euribor Benchmark Interest Rates".
- "Barclays Bank PLC Admits Misconduct Related to Submissions for the London Interbank Offered Rate and the Euro Interbank Offered Rate and Agrees to Pay $160 Million Penalty". Archived from the original on 13 July 2012.
- "Barclays fined £59.5 million for significant failings in relation to LIBOR and EURIBOR". Archived from the original on 28 June 2012.
- Pollock, Ian (28 June 2012). "Libor scandal: Who might have lost?". BBC News. Archived from the original on 28 June 2012. Retrieved 28 June 2012.