Benchmark Determination Methodology for EURIBOR

EMMI anounced it successfully completed the 3rd annual review of the Euribor Benchmark Determination Methodology, unequivocally attesting the robustness, reliability, and resilience of their approach. This validation underscores EMMI’s commitment to maintaining high standards in their processes.
As a reminder, the EURIBOR Benchmark Determination Methodology includes contribution levels and eligibility criteria and offers guidelines for EURIBOR determination. It outlines panel composition, oversight responsibilities, and bank selection criteria, emphasizing a hierarchical approach with three contribution levels. Criteria for eligible transactions, counterparties, instruments, value dates, maturity windows, and notional volumes are specified. The calculation process involves data submission, rate rounding, outlier elimination, averaging, and final rate determination.
Level 1 contributions are solely transaction-based, while Level 2 and Level 3 contributions incorporate additional data sources and modeling techniques, reflecting a broader market perspective. Level 1 focuses on euro-denominated transactions executed on the prior TARGET day in wholesale unsecured money markets.
Noteworthy in the latest Version D0016D of the Benchmark Determination Methodology for EURIBOR, dated 16 November 2023, is the clarification introduced regarding the non-eligibility of transactions involving embedded options and the so-called evergreen deposits, full quote (page 9):
„Transactions with embedded options, including but not limited to transactions where the maturity date can be rolled over every day (so-called evergreen deposits), are NOT eligible.“
Apart from this clarification, EMMI’s Benchmark Determination Methodology remains steadfast, with no further changes, attesting to the soundness of EMMI’s practices.