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Vikram Parsani

The Chart at left is of the 3 month Euribor

The Euribor, or Euro Interbank Offered Rate, is the average interest rate at which term deposits are offered between prime banks in the EU wholesale money market or interbank market.^[1] Just like the LIBOR serves as a short-term reference rate for British Pound and U.S. Dollar denominated instruments, the Euribor is widely used as a reference rate for Euro denominated forward rate agreements, short-term interest rate futures contracts and interest rate swaps. It is quoted for spot value T+2 (for settlement 2 working days after the calculation date) and calculated on an actual/360 day count convention (with an exact day count over a 360-day year).^[1]

[edit] Calculation of the Euribor

A representative panel of prime banks in the European Union interbank market provide daily quotes of the rates that each panel bank believes one prime bank is quoting to another prime bank for term deposits with maturities ranging from one week to one year. The panel banks are required to directly input their data to Reuters no later than 10.45am (Central European Time) on each day that that the Trans-European Automated Real-Time Gross-Settlement Express Transfer (TARGET) system is open. At 11.00am, Reuters eliminates the highest and lowest 15% of all quotes collected, averages the remaining quotes, rounds the average to 3 decimal places and publishes this average as the Euribor. If more than 50% of the panel banks fail to provide their data by 11:00am, Reuters will delay calculating the Euribor until at least 50% of the panel banks have quoted.^[2]

[edit] Euribor Panel Banks

Euribor panel banks have the highest volume of business in EU money markets and are either banks located in the European Union or large international banks from non-EU countries but with important EU operations.^[3]

• Belgium: Dexia Bank, Fortis Bank, KBC

• Finland: Nordea

• Germany: Landesbank Berlin, Bayerische Landesbank Girozentrale, Deutsche Bank, Dresdner Bank, Landesbank Hessen - Thüringen Girozentrale, WestLB AG, Commerzbank, DZ Bank Deutsche Genossenschaftsbank, Landesbank Baden-Württemberg Girozentrale, Norddeutsche Landesbank Girozentrale

• Greece: National Bank of Greece

• Ireland: AIB Group, Bank of Ireland

• Italy: Banca IntesaBci, Monte dei Paschi di Siena, UCI Milan

• Luxembourg: Banque et Caisse d'Épargne de l'État

Netherlands: ABN Amro Bank, ING Bank, Rabobank

• Portugal: Caixa Geral De Depósitos (CGD)

• Spain: Banco Bilbao Vizcaya Argentaria, Banco Santander Central Hispano, Confederacion Española de Cajas de Ahorros

• Other EU Banks: Barclays Capital, Svenska Handelsbanken, Den Danske Bank

• International Banks: Bank of Tokyo - Mitsubishi, Citibank, J.P. Morgan Chase, UBS (Luxembourg) S.A.

[edit] Charts

[edit] References

1. ↑ ^{1.0 1.1} About Euribor, European Banking Federation (EBF)
2. ↑ Euribor Technical Features, European Banking Federation
3. ↑ Euribor Panel Banks, European Banking Federation (EBF)