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

Industry support

Launched in October 2023, the consultation redefined Level 2.3 components and the introduction of eligibility tests. The redefinition of Level 2.3 encompasses various adjustments, including an expanded calculation starting point and a refined market adjustment factor 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. This led to the discontinuation of Level 3 contributions under the previous methodology.

Implementation and Next Steps

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 (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.