Can Euribor be fixed?

Figures & data

Figure 1. Euribor performance for 3-month and 12-month terms, evolution of the panel banks, and range and standard deviation of quotes for 3-month 12-month terms (2004-2018).

Source: Own elaboration on EMMI (2019).

Table 1. Percentage of quotes above high cut-off point (TOP), within computation range (IN) and below low cut-off point (BOTTOM) over the study period.

	3 months tenor			12 months tenor
	TOP	IN	BOTTOM	TOP	IN	BOTTOM
ABN AMRO	54%	32%	14%	43%	44%	13%
ALLIED IRISH BANKS	55%	28%	17%	58%	36%	6%
B. MONTE DEI PASCHI	20%	73%	7%	16%	80%	4%
B. NAZIONALE LAVORO	11%	20%	69%	19%	34%	47%
BANCO SANTANDER	17%	59%	24%	25%	63%	12%
BANK OF IRELAND	7%	63%	30%	7%	70%	23%
BANK OF TOKYO	28%	38%	34%	24%	34%	42%
BANQUE D EPARGNE	11%	56%	33%	8%	68%	24%
BARCLAYS ***	11%	33%	56%	26%	42%	32%
BAYERNLB	6%	41%	53%	25%	47%	28%
BBVA	35%	54%	11%	29%	63%	8%
BELFIUS	39%	45%	16%	21%	71%	8%
BNP PARIBAS	17%	27%	56%	21%	38%	41%
CAIXABANK	2%	89%	9%	2%	95%	3%
C. G. DE DEPOSITOS	54%	26%	20%	53%	29%	18%
CAPITA	24%	34%	42%	19%	49%	32%
CECABANK	30%	51%	19%	34%	55%	11%
CITIBANK	14%	34%	52%	22%	44%	34%
COMMERZBANK	9%	68%	23%	7%	77%	16%
CREDIT AGRICOLE***	37%	36%	27%	30%	38%	32%
CREDIT INDUSTRIEL	34%	33%	33%	27%	45%	28%
DANSKE BANK	12%	52%	36%	27%	46%	27%
DEUTSCHE BANK***	42%	21%	37%	41%	31%	28%
DRESDNER BANK	12%	42%	46%	10%	47%	43%
DZ BANK	30%	33%	37%	20%	42%	38%
ERSTE BANK	77%	18%	5%	61%	32%	7%
FORTIS	53%	34%	13%	42%	36%	22%
HELABA	30%	50%	20%	28%	59%	13%
HSBC***	29%	47%	24%	22%	60%	18%
HVB	7%	24%	69%	10%	33%	57%
ING	12%	64%	24%	8%	67%	25%
INTESA SANPAOLO	11%	69%	20%	9%	72%	19%
JP MORGAN CHASE***	16%	27%	57%	10%	32%	58%
KBC GROUP	33%	55%	12%	19%	67%	14%
LA BANQUE POSTALE	12%	47%	41%	11%	62%	27%
LBB	6%	66%	28%	5%	72%	23%
LBBW	8%	54%	38%	6%	57%	37%
NATEXIS	63%	22%	15%	48%	36%	16%
N. BANK OF GREECE	37%	49%	14%	37%	52%	11%
NATIXIS	28%	55%	17%	26%	64%	10%
N. LANDESBANK	15%	48%	37%	8%	48%	44%
NORDEA BANK	6%	59%	35%	7%	63%	30%
POHJOLA	2%	94%	4%	0%	98%	2%
RABOBANK	12%	36%	52%	5%	40%	55%
R. ZENTRALBANK	8%	56%	36%	10%	62%	28%
R. B. OF SCOTLAND***	8%	81%	11%	33%	67%	0%
SANP	22%	37%	41%	19%	61%	20%
SOCIETE GENERALE***	53%	30%	17%	39%	27%	34%
S. HANDELSBANKEN	27%	65%	8%	23%	70%	7%
UBS	23%	30%	47%	15%	40%	45%
UNICREDIT	26%	60%	14%	16%	73%	11%
WESTLB	33%	48%	19%	29%	54%	17%

***Banks convicted of manipulation.

Source: Prepared by the authors.

Figure 2. Comparison of the contribution behaviour of the banks of the panel in the manipulation period (2007-2013).

Source: Own elaboration on EMMI (2019).

Table 2. Percentage of quotes in the top-3 values (TOP), non-extreme values (IN) and bottom-3 values (BOTTOM).

	3 months tenor			12 months tenor
	TOP-3	IN	BOTTOM-3	TOP-3	IN	BOTTOM-3
ABN AMRO	21%	73%	6%	22%	72%	6%
ALLIED IRISH BANKS	30%	62%	8%	33%	63%	4%
B. MONTE DEI PASCHI	8%	87%	5%	8%	90%	2%
B. NAZIONALE LAVORO	3%	61%	36%	9%	62%	29%
BANCO SANTANDER	5%	81%	14%	9%	83%	8%
BANK OF IRELAND	0%	85%	15%	1%	85%	14%
BANK OF TOKYO	24%	55%	21%	18%	59%	23%
BANQUE D EPARGNE	3%	81%	16%	4%	85%	11%
BARCLAYS ***	5%	52%	43%	14%	61%	25%
BAYERNLB	2%	63%	35%	10%	75%	15%
BBVA	29%	62%	9%	22%	72%	6%
BELFIUS	21%	67%	12%	9%	87%	4%
BNP PARIBAS	9%	46%	45%	11%	57%	32%
CAIXABANK	1%	91%	8%	0%	97%	3%
C. G. DE DEPOSITOS	42%	48%	10%	46%	44%	10%
CAPITA	3%	80%	17%	5%	80%	15%
CECABANK	15%	74%	11%	21%	73%	6%
CITIBANK	7%	63%	30%	14%	71%	15%
COMMERZBANK	2%	87%	11%	2%	90%	8%
CREDIT AGRICOLE***	20%	64%	16%	16%	61%	23%
CREDIT INDUSTRIEL	17%	68%	15%	15%	72%	13%
DANSKE BANK	6%	73%	21%	18%	66%	16%
DEUTSCHE BANK***	35%	37%	28%	36%	48%	16%
DRESDNER BANK	1%	77%	22%	3%	72%	25%
DZ BANK	15%	58%	27%	14%	62%	24%
ERSTE BANK	42%	57%	1%	29%	68%	3%
FORTIS	35%	60%	5%	23%	63%	14%
HELABA	8%	82%	10%	8%	87%	5%
HSBC***	17%	67%	16%	14%	74%	12%
HVB	1%	63%	36%	2%	62%	36%
ING	7%	81%	12%	4%	80%	16%
INTESA SANPAOLO	4%	86%	10%	3%	84%	13%
JP MORGAN CHASE***	5%	56%	39%	3%	58%	39%
KBC GROUP	10%	85%	5%	5%	87%	8%
LA BANQUE POSTALE	5%	74%	21%	3%	87%	10%
LBB	1%	86%	13%	1%	86%	13%
LBBW	2%	79%	19%	3%	72%	25%
NATEXIS	25%	69%	6%	23%	68%	9%
N. BANK OF GREECE	22%	71%	7%	23%	71%	6%
NATIXIS	16%	74%	10%	13%	82%	5%
N. LANDESBANK	4%	76%	20%	3%	67%	30%
NORDEA BANK	2%	78%	20%	2%	79%	19%
POHJOLA	0%	99%	1%	0%	100%	0%
RABOBANK	5%	63%	32%	2%	66%	32%
R. ZENTRALBANK	2%	82%	16%	3%	83%	14%
R. B. OF SCOTLAND***	1%	98%	1%	17%	83%	0%
SANP	3%	86%	11%	4%	91%	5%
SOCIETE GENERALE***	43%	47%	10%	29%	49%	22%
S. HANDELSBANKEN	8%	89%	3%	10%	87%	3%
UBS	15%	55%	30%	11%	57%	32%
UNICREDIT	13%	78%	9%	8%	86%	6%
WESTLB	13%	76%	11%	12%	77%	11%

***Banks convicted of manipulation.

Source: Prepared by the authors.

Table 3. Potential for manipulation of Euribor.

	Type	Total		Pre-crisis		Global finacial crisis		Sovereign debt crisis		Post-crisis
		3 months	12 months	3 months	12 months	3 months	12 months	3 months	12 months	3 months	12 months
Average 1 Bank	Upward	0.0016%	0.0022%	0.0004%	0.0005%	0.0024%	0.0026%	0.0021%	0.0027%	0.0015%	0.0027%
S. Deviation 1 Bank	Upward	0.0013%	0.0016%	0.0005%	0.0005%	0.0022%	0.0022%	0.0009%	0.0011%	0.0007%	0.0011%
Average 2 Banks	Upward	0.0033%	0.0044%	0.0009%	0.0011%	0.0047%	0.0051%	0.0042%	0.0055%	0.0036%	0.0057%
S. Deviation 2 Banks	Upward	0.0025%	0.003%	0.0005%	0.0005%	0.0042%	0.0042%	0.0015%	0.0019%	0.0012%	0.0019%
Average 3 Banks	Upward	0.0049%	0.0065%	0.0013%	0.0016%	0.0072%	0.0078%	0.0065%	0.0086%	0.005%	0.0077%
S. Deviation 3 Banks	Upward	0.0037%	0.0043%	0.0006%	0.0006%	0.0061%	0.0062%	0.0021%	0.0028%	0.0017%	0.0022%
Average 4 Banks	Upward	0.0064%	0.0083%	0.0019%	0.0022%	0.0095%	0.0102%	0.0086%	0.0113%	0.0059%	0.0091%
S. Deviation 4 Banks	Upward	0.0048%	0.0054%	0.0007%	0.0008%	0.0079%	0.008%	0.0028%	0.0037%	0.002%	0.0023%
Average 1 Bank	Downward	0.0016%	0.0023%	0.0004%	0.0005%	0.0024%	0.0026%	0.0021%	0.0027%	0.0015%	0.0032%
S. Deviation 1 Bank	Downward	0.0014%	0.0018%	0.0005%	0.0005%	0.0023%	0.0023%	0.0009%	0.0011%	0.0008%	0.0018%
Average 2 Banks	Downward	0.0034%	0.0048%	0.0008%	0.0011%	0.0049%	0.0054%	0.0044%	0.0054%	0.0037%	0.0068%
S. Deviation 2 Banks	Downward	0.0028%	0.0038%	0.0005%	0.0005%	0.0047%	0.0047%	0.0017%	0.002%	0.0016%	0.0039%
Average 3 Banks	Downward	0.005%	0.0071%	0.0013%	0.0016%	0.0074%	0.0085%	0.0067%	0.0083%	0.0049%	0.0096%
S. Deviation 3 Banks	Downward	0.0043%	0.0056%	0.0005%	0.0006%	0.0072%	0.0074%	0.0026%	0.003%	0.0022%	0.0056%
Average 4 Banks	Downward	0.0064%	0.009%	0.0017%	0.0021%	0.0099%	0.0114%	0.009%	0.0111%	0.0057%	0.0111%
S. Deviation 4 Banks	Downward	0.0057%	0.007%	0.0007%	0.0008%	0.0096%	0.0099%	0.0036%	0.0042%	0.0025%	0.0063%

Source: Own elaboration.

Figure 3. Potential for upward and downward manipulation, for 3-month and 12-month terms.

Source: Own elaboration.

Table 4. One sample t-test results.

Methodology	Banks	Tenor	Estimate	Statistic	P value
Upward	1	3M	0.0016	72.9635	0
Upward	2	3M	0.0033	80.6581	0
Upward	3	3M	0.0049	82.0118	0
Upward	4	3M	0.0064	81.9131	0
Downward	1	3M	0.0016	69.3092	0
Downward	2	3M	0.0034	74.6983	0
Downward	3	3M	0.005	72.9932	0
Downward	4	3M	0.0064	70.3447	0
Upward	1	12M	0.0022	85.3839	0
Upward	2	12M	0.0044	91.1976	0
Upward	3	12M	0.0065	93.362	0
Upward	4	12M	0.0083	93.6639	0
Downward	1	12M	0.0023	77.1912	0
Downward	2	12M	0.0048	78.1369	0
Downward	3	12M	0.0071	77.9689	0
Downward	4	12M	0.009	79.2543	0

Source: Own elaboration.

Table 5. Potential for manipulation of trimmed mean, median and mode.

	Type	Trimmed mean		Median		Mode
		3 months	12 months	3 months	12 months	3 months	12 months
Average 1 Bank	Upward	0.0016%	0.0022%	0.0007%	0.0007%	0.0001%	0.0001%
S. Deviation 1 Bank	Upward	0.0013%	0.0016%	0.0021%	0.0022%	0.0033%	0.0023%
Average 2 Banks	Upward	0.0033%	0.0044%	0.0013%	0.0015%	0.0001%	0.0003%
S. Deviation 2 Banks	Upward	0.0025%	0.003%	0.0033%	0.0033%	0.0039%	0.0064%
Average 3 Banks	Upward	0.0049%	0.0065%	0.0021%	0.0024%	0.0006%	0.0007%
S. Deviation 3 Banks	Upward	0.0037%	0.0043%	0.0041%	0.0042%	0.0077%	0.0091%
Average 4 Banks	Upward	0.0064%	0.0083%	0.003%	0.0038%	0.001%	0.0013%
S. Deviation 4 Banks	Upward	0.0048%	0.0054%	0.0048%	0.0049%	0.0084%	0.0114%
Average 1 Bank	Downward	0.0016%	0.0023%	0.0007%	0.0007%	0%	0%
S. Deviation 1 Bank	Downward	0.0014%	0.0018%	0.0021%	0.0023%	0.0005%	0.0005%
Average 2 Banks	Downward	0.0034%	0.0048%	0.0014%	0.0015%	0.0005%	0.0003%
S. Deviation 2 Banks	Downward	0.0028%	0.0038%	0.0032%	0.0034%	0.0122%	0.0106%
Average 3 Banks	Downward	0.005%	0.0071%	0.0022%	0.0025%	0.0011%	0.0006%
S. Deviation 3 Banks	Downward	0.0043%	0.0056%	0.0041%	0.0043%	0.0153%	0.0129%
Average 4 Banks	Downward	0.0064%	0.009%	0.0031%	0.0038%	0.0016%	0.0016%
S. Deviation 4 Banks	Downward	0.0057%	0.007%	0.0049%	0.0051%	0.0169%	0.0181%

Source: Own elaboration.

Table 6. Mean and standard deviation of differences between observed Euribor rates and rates computed with the median and the mode for 3-month and 12-month terms.

	Median				Mode
	Mean 3m	SD 3m	Mean 12m	SD 12m	Mean 3m	SD 3m	Mean 12m	SD 12m
Total	0.0026%	0.0023%	0.0028%	0.0025%	0.0041%	0.0074%	0.0045%	0.0076%
Pre-crisis	0.0028%	0.0015%	0.0026%	0.0016%	0.0031%	0.0017%	0.0030%	0.0020%
G. F. crisis	0.0035%	0.0039%	0.0037%	0.0041%	0.0084%	0.0152%	0.0089%	0.0151%
S. D. crisis	0.0026%	0.0020%	0.0031%	0.0023%	0.0042%	0.0044%	0.0051%	0.0053%
Post-crisis	0.0020%	0.0013%	0.0021%	0.0015%	0.0021%	0.0016%	0.0024%	0.0019%

Source: Own elaboration.

EMMI. (2019). Retrieved June 2019, from EMMI, Euribor, Rates, Data: https://www.emmi-benchmarks.eu/euribor-org/euribor-rates.html

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