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Euribor® Fallback Rates

The EU Benchmark Regulation (Regulation (EU) 2016/1011) requires supervised entities that use a benchmark to have robust written plans in place for the event that a benchmark materially changes or ceases to exist. Where feasible and appropriate, these plans should nominate one or more fallback rates. 

To facilitate the establishment of such written plans for Euribor® licensees, the European Money Markets Institute has developed a forward-looking fallback rate based on available market data on overnight index swaps and futures that reference the European Central Bank's Euro Short Term Rate (€STR). 


Forward-looking €STR-based term rate

Efterm® is a forward-looking €STR-based term benchmark calculated for five maturities, known as “tenors”: one week, and one, three, six and twelve months. 

It measures ‘the expected (i.e., forward-looking) average evolution of wholesale euro unsecured overnight borrowing costs of euro area banks over defined tenor periods. 

The European Money Markets Institute has appointed ICE Benchmark Administration Limited as a calculation agent for Efterm® and applies a waterfall methodology using dealer-to-client bid and offer prices and volumes obtained from Tradeweb’s Global Institutional Trading Platform or end-of-day settlement prices for ICE® 1-month €STR futures contracts. Tradeable bid and offer prices and volumes from regulated, electronic trading venues will also be used in the waterfall when available. 

Publication of rates

Efterm® is published every TARGET2 day, at or shortly after 11:15 CET for each of its tenors.

Intraday republication may happen no later than 13:30 CET in case of reported revisions to input data, or errors in the collection, calculation, or publication of the benchmark.


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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In no event shall The European Money Markets Institute or its third-party providers be liable for any damages, including without limitation direct or indirect, special, incidental, or consequential damages, losses of any nature of expenses arising in connection with the use or misuse of the Efterm® rates, any failure of performance, error, omission, interruption, defect, delay in operation or transmission, computer virus, line or system failure, unauthorized interception of information, or other security threats relating to the Efterm® rates, including but not limited to, lost profits or punitive or consequential damages, even if The European Money Markets Institute has been advised of the possibility of same. 

ICE Benchmark Administration Limited (IBA) is EMMI's calculation agent for Efterm®. Input data for Efterm® is provided “as is” by data providers. IBA, data providers and its and their affiliates owe no duty of care to users or recipients of Efterm® and will not be liable to users or recipients of Efterm® in relation to Efterm® or the input data in any way whatsoever, whether under tort, contract, misrepresentation, restitution, breach of statutory duty, or otherwise under any applicable law save for any liability which by law may not be excluded. None of IBA, any data providers, or any of its or their affiliates make any claim, prediction, warranty, or representation whatsoever, express or implied, in relation to Efterm®, the input data, or the appropriateness, suitability, or fitness of Efterm® or the input data for any particular purpose to which it might be put and all warranties and representations of any kind, express or implied, are excluded.