EURIBOR: Definitions and conventions
THE EURIBOR FIXING
EURIBOR is the rate at which euro interbank term deposits are offered by one prime bank to another prime bank. The choice of banks quoting for EURIBOR is based on market criteria. These banks are of first class credit standing. They have been selected to ensure that the diversity of the euro money market is adequately reflected, thereby making EURIBOR an efficient and representative benchmark. EURIBOR is sponsored by the European Banking Federation (FBE), which represents the interests of 4 500 banks in 24 Member States of the European Union and in Iceland, Norway and Switzerland and by the Financial Markets Association (ACI).
At 11:00 a.m. (CET), Reuters will process the EURIBOR calculation. Reuters shall, for each maturity, eliminate the highest and lowest 15% of all the quotes collected. The remaining rates will be averaged and rounded to three decimal places.
Panel Banks contribute for one, two and three weeks and for twelve maturities from one to twelve months. EURIBOR is quoted for spot value (T+2) and on an act/360 day-count convention. It is displayed to three decimal places.
If the maturity date of a trade falls on a non-business day, the maturity date shall be moved to the next business day. 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.
Technical Documentation (compiled and edited), EURIBOR FBE ACI, Brussels, WWW.EURIBOR.ORG