- Euro Interbank Offered Rate
The Euro Interbank Offered Rate (or Euribor) is a daily
reference rate based on the averagedinterest rate s at whichbank s offer to lend unsecured funds to other banks in theeuro wholesalemoney market (orinterbank market ).cope
Euribor rates are used as a reference rate for euro-denominated
forward rate agreement s, short term interest ratefutures contract s andinterest rate swap s, in very much the same way asLIBOR rates are commonly used for Sterling andUS 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 or Frankfurt's FIBOR merged into Euribor on day on 1 January1999 .Technical features
:"Official reference: [http://www.euribor.org/html/content/euribor_tech.html 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 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.
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 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-couponyield 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 theEuropean Banking Federation , which is the daily average of "overnight" rates for unsecured interbank lending in the euro-zone, i.e. like thefederal funds rate in the US.ee also
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Euro
*Eonia
*European Banking Federation
*Prime rate External links
* [http://www.ecb.int/ European Central Bank]
* [http://www.euribor.org/ Euribor homepage]
** [http://www.euribor.org/html/content/euribor_data.html Euribor historical data (informative)]
* [http://www.moneyline.com/ Moneyline Telerate]
* [http://www.suomenpankki.fi/en/tilastot/korot/kuviot.htm Euribor Rate, Daily Update (Bank of Finland)]
* [http://www.euribor-rates.eu/current-euribor-rates.asp Current Euribor Rates and Charts]Euribor reference rates are published on the [http://www.moneyline.com/ Moneyline Telerate] pages 248-249 and 47860-66. Informative historical data can also be found at the [http://www.euribor.org/html/content/euribor_data.html Euribor homepage] .
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