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Euribor-EBF Newsletter- 3rd edition


target dates

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On 14 December 2000, the Governing Council of the European Central Bank (ECB) has decided that, from 2002 until further notice, the Trans-European Automated Real-time Gross settlement Express Transfer (TARGET) system will be closed, in addition to Saturdays and Sundays, on the following days:
  • New Year's Day
  • Good Friday (Catholic/Protestant)
  • Easter Monday (Catholic/Protestant)
  • 1 May (Labour Day)
  • Christmas Day
  • 26 December

For further information, please visit the Website of the ECB.

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EURIBOR-EBF » EURIBOR® » FAQs

FAQs

Where can I find current and historical Euribor® rates?
Publication of the rates is done by THOMSON REUTERS. Daily Euribor® rates can be found on THOMSON REUTERS: EURIBOR01/EURIBOR365. Historical data for Euribor® can be found on THOMSON REUTERS: EURIBORRECAP01 - EURIBORRECAP08 (this is for a period going back one month). Such Euribor® historical data is also posted on this Website. Should you have further questions regarding these historical data, please contact THOMSON REUTERS in London (Fixings hotline number : tel: 44-207-542-9230  - fax 44-207-542-3294 - ).

Under which market convention are Euribor® rates quoted ?
1)Which is the market convention under which the Euribor® rates are quoted, i.e. what happens if a specific maturity falls on a non-business day?
If the maturity date of a trade falls on a non-business day, the maturity date shall be moved to the next business day.

2) Are there any exceptions to the above rule?
The exception to this will be the “end-end” quotes or quotes for 1,2,3 ... months where the value date of the trade falls at month-end. If the corresponding maturity date falls on a non-business day, the maturity date will be brought back to the last business day of that month.

A “1 week” quote, or 2 and 3 weeks, will always be for a period of seven days or more (or 14 or 21 resp). If the maturity date falls on a non-business day, the maturity date should be moved to the next business day, regardless of what calendar month it falls in. Anything less than this should not be termed 1,2 or 3 weeks but becomes a “broken-dated short date” quote.

3)What is the current market convention used for quotes at the end of the month, i.e. is the Euribor® 1 month quote for 28 February intended for a M/M depo maturing on 28 March or on 31 March (assuming obviously they are business days)?

In line with 2) above the maturity date for this will be 31 March and not 28 March.

What was the date of first quotation of Euribor® ?
The first Euribor® was published on 30 December 1998 for value 4 January 1999. The next Euribor® was published on 31 December 1998 for value 5 January 1999, and so on.

What happens to existing contracts referenced on domestic rates that have disappeared after the introduction of the euro?In most countries where domestic reference rates have been replaced by Euribor®, national legislation and convention have been adapted to facilitate the changeover, so that Euribor® legally replace domestic reference rates. Please refer to the Legacy Transactions for further information.

What will happen in case of non-availability of some Euribor® data from Panel Banks?
Under normal conditions, at least 50% of the Panel Banks must quote to establish Euribor®. In the highly unlikely event that less than 50% of Panel Banks are able to quote, THOMSON REUTERS will establish Euribor® as soon as it can collect quotes from at least 12 panel banks in at least 3 different countries. Please refer to the Euribor® Technical Features for further information.

Who is the legal sponsor of Euribor® ?
The sponsors of Euribor® are Euribor® EBF and Euribor® ACI. Both Euribor® EBF and Euribor® ACI are Belgian "international non-profit associations", established pursuant to the Act of October 25, 1919 concerning the "Granting of Legal Personality" to International Associations with a Scientific Purpose (as amended).

What is the applicable Business Day Convention?
All market participants should use the "Modified Following Business Day Convention", where if the maturity date of a Euribor® rate falls on a day that is not a "Business Day" the maturity date shall be in the first following day that is a Business Day, unless that day falls in the next calendar month, in which case the maturity date will be the first preceding day that is a Business Day.

Who should I contact in case I have other questions on Euribor® ?
Please e-mail your questions to the Euribor EBF Secretariat.