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The European Money Markets Institute has published a feedback summary report on its March 2018 consultation on a hybrid determination methodology for the Euro Interbank Offered Rate (Euribor). EMMI is the administrator for Euribor, a major euro interest reference rate for unsecured interbank short-term lending and borrowing. Euribor was classed as a critical benchmark of systemic importance for financial stability by the European Commission in 2016.
EMMI consulted on: (i) introducing a three-level "hybrid" methodology for calculating Euribor; (ii) producing an overnight tenor for Euribor following the implementation of the hybrid methodology; (iii) discontinuing the calculation of three of the eight tenors; (iv) clarifying Euribor's underlying interest; (v) ceasing the publication of individual Panel Banks' submissions; and (vi) simplifying the publication process.
EMMI has confirmed that Euribor's underlying interest will become "a measure of the rate at which wholesale funds in euro could be borrowed by credit institutions in the EU and EFTA countries in the unsecured money market". In addition, from December 3, 2018, EMMI will cease to publish individual Panel Bank's submissions and will only calculate and publish Euribor on an Act/360 day count basis. EMMI will consider which indicators and publication frequency will provide transparency on the benchmark's determination. EMMI announced on June 7, 2018 that three of the tenors - the two week, two month and nine month tenors - would be discontinued from December 3, 2018. The feedback from stakeholders to EMMI proposals indicated that there is insufficient interest to warrant producing an overnight tenor for Euribor and EMMI does not intend to proceed with it.
EMMI is currently testing the proposed methodology under live conditions, which will continue until August 2018. It intends to consult on the parameters of the methodology in Q3 2018. EMMI will provide further updates before the launch of the revised Euribor, which must take place in Q4 2019 at the latest to comply with the transitional period in the EU Benchmarks Regulation.
View the feedback summary report.
View details of EMMI's proposals.
View details of EMMI's announcement on discontinuing three of the tenors.