The European Money Markets Institute

Consultation Paper: proposed changes to Euribor methodology

EMMI's commitment to maintaining the integrity and reliability of the Euribor benchmark has led to a comprehensive review of its methodology. The proposed changes are designed to address specific aspects of the benchmark while preserving its core characteristics. The consultation paper outlines EMMI's efforts to further enhance Euribor’s methodology and invites feedback from market participants, interested parties and stakeholders at large.

The key elements under consideration are:
1. Reformulation of Level 2.3
2. Discontinuation of Level 3

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EMMI enhancements to Efterm Methodology

The European Money Markets Institute (EMMI) has concluded its first annual review of the Efterm Methodology. The changes only affect level 3 of Efterm waterfall methodology and intend to mitigate month-end effect of future prices, use European Central Bank (ECB) key policy announcements as a guide to interest rates trajectory, and align the level 3 calculation to the underlying market spot starting convention.

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Official provider of rates

Administrator of critical benchmarks

The European Money Markets Institute is an international non-for-profit association working for the public good by facilitating the smooth functioning of euro money markets and fostering their further integration.

The European Money Markets Institute is an Authorised Administrator under the Benchmarks Regulation of the European Union. As such, we develop and administer critical benchmarks. We work continuously to enhance the governance framework of our benchmarks and their transparency, in order to preserve their high quality and integrity.

We act as a trusted partner with a strong sense of ethics.

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Dissemination of our benchmarks’ rates

The euro money market reference rate

Euribor®

Euribor® is the unsecured money market reference rate for the euro. The benchmark was declared a critical benchmark by the European Commission in 2016 because of its systemic importance for financial stability

The euro forward-looking term rate

Efterm®

Efterm® is a forward-looking €STR-based term rate. It is designed as a fallback rate to Euribor®



To protect their integrity and reliability, Euribor® and Efterm® benefit from:

  • A solid Governance Framework establishing the requirements and principles related to their provision and setting out effective control arrangements to ensure their integrity and reliability in all market circumstances
  • An independent Oversight Committee of market experts. They follow markets developments and exercise an unbiased oversight of all aspects related to the provision of the benchmarks, including their Governance Framework and methodology

As an Authorised Administrator, The European Money Markets Institute is duly supervised by the European Securities and Markets Authority (ESMA). ESMA substituted the Belgian Financial Services and Markets Authority (FSMA) on 1 January 2022.


Click here to read about ESMA’s Benchmark supervisory mandate.

Promoter of the STEP label

Initiative

STEP

To foster harmonised access to markets, The European Money Markets Institute promotes standards, practices, and labels like STEP - standing for Short-Term European Paper. With standardisation and transparency as a backbone, STEP establishes common practices and standards for the documentation of short-term paper programmes in Europe

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