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Underlying of the month: The EURIBOR

Release date: 20 May 2014 | Eurex Exchange

Underlying of the month: The EURIBOR

The benchmark of the euro money market

The EuroInterbankOfferedRate (EURIBOR) is a daily reference rate. It indicates the rate at which euro interbank term deposits are offered between Eurozone prime banks and feature a term to maturity of one and three months. The EURIBOR is calculated and published by the European Banking Federation.

The EURIBOR is the most important reference in the European money market. Not only the interbank market but also numerous OTC derivatives contracts, such as interest rate swaps, use it as reference.

Three-Month EURIBOR futures and options at Eurex Exchange

Eurex originally launched its EURIBOR futures contract in 1998. Together with the futures and options on EUR-denominated government bonds with maturities from 2 to 30 years we cover the entire EUR-denominated yield curve. Once Eurex’ new margin method PRISMA will introduce margin offsets between Euribor and Fixed-Income products, participating customers can realize significant margin offsets and improve collateral management and capital efficiency.  

Recently, we have further built out our existing offering in options on EURIBOR futures by introducing new Mid-curve Options. Now, Eurex lists Euribor Options with expiries in the six nearest calendar months plus the next 6 subsequent quarterly months of the Mar, Jun, Sep, Dec cycle, as well as Midcurve Options (1y, 2y, 3y and 4y mid-curves) that have 4 quarterly expiries and 4 serial expiries per year.

By completing our offering in EURIBOR options, we provide a wide variety of hedging and trading opportunities. On the long end we are already in an excellent position with our highly liquid Bund, Bobl, Schatz, CONF, BTP and OAT product portfolio.

Euro Yield Curve based on German Government debt (Realtime yield as of 14 May 2014, source: Reuters)

Product facts

The minimum price change (tick size) of Eurex Exchange’s One to Four-Year EURIBOR Mid Curve Options (American style) is measured in points, and equals 0.005, which corresponds to a tick value of EUR 12.50. Trading hours are from 8:00 to 19:00 CET. The maturities available for the four new options cover the next six months and two subsequent quarterly months from the March, June, September and December cycles.

Product & Vendor codes:

One-Year Mid Curve Options on Three-Month EURIBOR Futures: OEM1

Bloomberg L.P.

0VH5 Comdty<GO>

thomsonreuters

0#FEM1+

CQG

OE1M

Two-Year Mid Curve Options on Three-Month EURIBOR Futures: OEM2

Bloomberg L.P.

2VH6 Comdty<GO>

thomsonreuters

0#FEM2+

CQG

OE2M

Three-Year Mid Curve Options on Three-Month EURIBOR Futures: OEM3

Bloomberg L.P.

3VH7 Comdty<GO>

thomsonreuters

0#FEM3+

CQG

OE3M

Four-Year Mid Curve Options on Three-Month EURIBOR Futures: OEM4

Bloomberg L.P.

4VH8 Comdty<GO>

thomsonreuters

0#FEM4+

CQG

OE4M

Further information