Euribor

Euribor (Euro Interbank Offered Rate) is a daily reference rate based on the interest rates at which banks offer to lend unsecured funds to other banks in the euro wholesale (or "interbank") money market.

Scope

Euribor rates 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 LIBOR rates are used for US dollar-denominated instruments. They thus provide the basis for some of the world's most liquid and active interest rate markets.

A EUR LIBOR does exist, but mainly for continuity purposes in swap contracts dating back to pre-EMU times.

Domestic reference rates, like Paris' PIBOR or Frankfurt's FIBOR merged into Euribor on _1_January_1999_and_continuing on 1 January 1999.

Technical features

Euribor is determined (fixed) by the European Banking Federation (EBF) at about 11:00 each day, Central European Time, and is a filtered average of inter-bank deposit rates offered by a large panel of designated contributor banks (currently more than 50), for maturities ranging from one week to one year.

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.

The shorter rates, i.e. up to 6 months, are usually extremely reliable and tend to precisely reflect real market conditions at measurement time. The actual rate at which banks will lend to one another will, however, continue to vary throughout the day.

Euribor was first published on 30 December 1998 for value 4 January 1999.

Euribor-based derivatives

Euribor contracts

Euronext.liffe's Euribor futures contracts are based on three-month Euribor rates. They are the world's second most heavily traded short term interest rate futures contracts, behind the Chicago Mercantile Exchange's so-called Eurodollar contracts, which are based on three-month US dollar LIBOR rates.

Interest Rate Swaps

Interest rate swaps based on short Euribor rates currently trade on the interbank market for maturities up to 50 years. A "five year Euribor" rate will be in fact referring to the 5 year swap rate vs 3 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

The other widely used reference rate in the euro-zone is Eonia, also published by the EBF, 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.

External links

European Central Bank
Euribor homepage
- Euribor historical data (informative)
Moneyline Telerate
Euribor charts - updated charts on all Euribor rates updated daily (requires Macromedia Flash)

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.

Eurozone fiscal matters | Interest rates

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