Shearman & Sterling LLP | Financial Regulatory Developments Focus | European Money Markets Institute Announces Cessation of Three Euribor Tenors
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  • European Money Markets Institute Announces Cessation of Three Euribor Tenors
    06/07/2018
    The European Money Markets Institute has announced the planned cessation of three of the current tenors 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 published a consultation paper in March 2018 seeking views from stakeholders on a proposed hybrid determination methodology for Euribor that will transition Euribor away from a quote-based to a transaction-based methodology. As part of that consultation, EMMI sought feedback on whether to discontinue the calculation and publication of three of the eight tenors it publishes, due to low levels of activity underpinning the markets those tenors represent. The majority of respondents to the consultation supported the discontinuation of the two week, two month and nine month tenors and consequently EMMI will proceed with its proposal.

    To allow market participants adequate time to adjust to this change, including through appropriate contractual arrangements, the cessation of the three tenors will take effect from December 3, 2018.

    EMMI intends to issue a feedback paper on the other aspects of its consultation by the end of June 2018.

    View the announcement.

    View details of the March 2018 consultation on the Euribor Methodology.

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