Final results: Euribor Consultation Paper

06 March 2024

Final Results of EMMI Consultation Paper on Proposed Changes to Euribor® Methodology

The European Money Markets Institute (EMMI) has concluded its public consultation on proposed enhancements to the Euribor® benchmark’s methodology with resounding support from industry participants. The consultation, which aimed to refine the Euribor® hybrid methodology, garnered overwhelmingly positive responses and provided invaluable insights into the future of this critical benchmark.

The proposed enhancements to the Euribor® methodology, designed to ease the burden on contributing institutions and attract more banks to the panel, received widespread acclaim during the consultation process. The Euribor® benchmark plays a vital role in the global financial system, influencing a broad range of financial products and contracts.

Industry-wide Support for Reformulation and Eligibility Tests

Launched in October of the previous year, the consultation elicited praise for the redefinition of Level 2.3 components and the introduction of eligibility tests. Participants commended the changes, recognizing their potential to enhance the benchmark's accuracy and reliability.

According to EMMI, the redefinition of Level 2.3 encompasses various adjustments, including an expanded calculation starting point and a refined Market Adjustment Factor (MAF) to better reflect interest rate fluctuations and changes in perceived credit risks. Additionally, feedback from stakeholders prompted the introduction of an additional control parameter to address exceptionally adverse market conditions, leading to the discontinuation of Level 3 contributions under the previous methodology.

Implementation of the New Methodology

EMMI has announced its decision to implement the new methodology and associated governance framework in a phased manner. The migration of Panel Banks to the revised calculation methodology will occur gradually, and is expected to start around mid-May 2024 and spanning a six-month period. This approach aims to facilitate a smooth transition while minimizing disruptions to market participants.

Furthermore, EMMI will ensure that any public reports reliant on the Euribor® methodology undergo necessary adjustments to accommodate the changes.

Valuable Insights and Recommendations

While the widespread support for the proposed enhancements is encouraging, addressing concerns raised by market participants remains a priority to uphold the benchmark's robustness and integrity. The consultation process has proven instrumental in gathering diverse perspectives, refining the Euribor® methodology, and reinforcing its relevance and reliability in financial markets.

Download the official Euribor® Public Consultation Feedback