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Transparency

Transparency Indicators 

The publication of the Euribor® Transparency Indicators Reports meets a requirement of the Benchmarks Regulation of the European Union and is also a recommendation under the IOSCO Principles.

After consulting the market, The European Money Markets Institute has decided to publish the following aggregated anonymised indicators on a monthly basis to provide transparency in the determination of Euribor®:

  • Use of each level of the hybrid methodology for Euribor®, broken down by tenor
  • Aggregate notional volumes of transactions used in the determination of Euribor® (Level 1 and Level 2.2)
  • Counterparty sectors’ share of volume used in the determination of Euribor® (Level 1 and Level 2.2), broken down by tenor

The Euribor® Transparency Indicators Reports are published every first business day of the month, with one month delay.

Click here to access the monthly Transparency Indicators Reports.

Intraday re-fixing & reported revisions

According to the IOSCO Principles for Financial Benchmarks, benchmark methodologies should include “procedures for dealing with error reports, including when a revision of a benchmark would be applicable”.

Given the criticality of Euribor®, any potential error could have a significant impact on financial contracts. Therefore, a transparent approach in handling errors is all the more paramount.

After consulting the market on intraday re-fixing, the Euribor® Intraday Re-fixing Policy was adopted in July 2016. Ever since its implementation, The European Money Markets Institute has published quarterly statistics on the revisions reported. These revisions can either relate to input data, or errors in the collection, calculation, or publication of the benchmark.

No reports were published between Q2 2019 and Q4 2019 due to the phase-in of the Panel Banks to the Hybrid Methodology for Euribor® over that period.

 

Documents

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Euribor® Reported Revisions Report

Euribor Transparency | September 2021

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Euribor® Intraday Refixing Policy

Euribor Transparency | March 2021

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List of Euribor® Reported Errors (Pre-Hybrid Methodology, Q3 2016 - Q1 2019)

Euribor Transparency | March 2019

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List of Euribor® 30/360 Reported Errors

Euribor Transparency | December 2018

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Feedback Consultation Euribor® Intraday Re-Fixing

Euribor Transparency | April 2016

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Stakeholders Consultation Euribor® Intraday Re-Fixing

Euribor Transparency | June 2015