2014年-EBA欧洲银行管理局_EBA-BS-2013-002-Annex-1--Euribor---Report--final_23页_1mb

Summary of the Report on the Administration and Management of Euribor

Core Content

This report provides an overview of the administration and management of the Euribor benchmark, focusing on the governance structure, oversight functions, calculation process, and issues related to submissions and fixings. It also highlights the weaknesses and insufficiencies identified during a review conducted by the EBA-ESMA team in October-November 2012, and outlines recommendations for improvement.

Main Organisational Structure

Euribor-EBF Organisation

• Euribor-EBF is a non-profit association under Belgian law, founded in 1999.
• It is a sister organisation of the European Banking Federation (EBF) and serves as the administrator of the Euribor benchmarks.
• It is responsible for the development and support of benchmark rates including EURIBOR, EONIA, EUREPO, and EONIA SWAP INDEX.
• It also supports initiatives like the STEP (Short-Term European Paper) program to enhance the integration of the European financial market.

Key Bodies

• General Assembly: Consists of 27 national associations, meets once or twice a year, and approves the budget, nominations to the Steering Committee and Board of Directors, and other strategic matters.
• Board of Directors: Composed of at least three members from national associations. It approves the strategy and meets twice a year.
• Steering Committee (SC): Oversees the rate-setting process, has 10 members (7 from EBF, 3 from ACI), and is responsible for reviewing panel bank applications and ensuring compliance with the Code of Conduct.
• Contributing firms and submitters: Panel banks are responsible for submitting quotes, and submitters must be involved in money market interbank operations, not derivatives desks.

Oversight Functions

Steering Committee Responsibilities

• The SC is responsible for governance, including reviewing panel bank compliance, managing panel composition, and ensuring the accuracy of submissions.
• It may issue warnings or suspend/remove banks from the panel for non-compliance.
• The SC has not implemented strong internal controls or conflict of interest management.

Euribor-EBF Staff

• The Secretariat handles operational tasks, including coordination of the SC meetings and management of the submission process.
• Despite its role, the Code of Conduct does not formally recognize the Secretariat's responsibilities, which can hinder effective intervention.

Thomson Reuters

• Acts as the calculation and publication agent for Euribor.
• Conducts sanity checks on submissions and provides reports on outliers and submission quality.
• There is no formal service level agreement covering quality controls.

Calculation Process and Methodology

Euribor Definition

• Euribor is the rate at which euro interbank term deposits are offered by one prime bank to another at 11:00 am Brussels time.
• It is quoted for spot value (two Target days) and on an actual/360-day basis.
• The rate is based on the panel banks' beliefs about what a prime bank would quote to another, not on their own positions.

Submission and Calculation

• Panel banks submit quotes daily by 10:45 am CET, and can correct them until 11:00 am.
• Thomson Reuters eliminates the highest and lowest 15% of quotes and averages the rest.
• The final rate is published by 11:15 am, with a priority on timely publication.
• If fewer than 50% of panel banks submit by 11:00 am, Thomson Reuters may delay the calculation until sufficient submissions are received.

Issues with Submissions and Fixings

Fat Finger Errors

• Anomalies and errors in submissions have been identified, including instances where banks submitted quotes with incorrect decimal points.
• These errors sometimes passed sanity checks and affected the final rate, leading to discrepancies in the Euribor calculation.
• Examples include a 44%-55.5% quote in 2004 and a 66% quote in 2006 by the same bank, and a 1.17% instead of 0.17% quote in 2012.

Other Submission Issues

• Some banks provided inconsistent quotes over time, which could be due to misinterpretation of the definitions or operational errors.
• The report highlights the need for better internal controls and oversight to prevent such errors.

Weaknesses and Insufficiencies

• The Code of Conduct lacks strong oversight mechanisms, such as requirements for internal controls and conflict of interest management.
• The Steering Committee members are primarily market practitioners, which may create conflicts of interest, especially since some are from panel banks.
• There is no formal framework for external audits or regular compliance checks.
• The General Assembly is dependent on the industry and has not been fully independent.
• The Secretariat lacks formal recognition in the Code of Conduct, limiting its ability to intervene effectively.
• The panel bank criteria are not clearly defined, leading to potential inconsistencies in panel composition and representation.

Recommendations

• Streamline the responsibilities of the General Assembly to focus on governance and strategic issues.
• Expand the Steering Committee membership to include a wider range of stakeholders, such as regulators, macro economists, and non-market practitioners.
• Introduce formal internal controls and conflict of interest management for panel banks.
• Implement a service level agreement between Euribor-EBF and Thomson Reuters to ensure quality and reliability of submissions.
• Enhance transparency and audit mechanisms to ensure the integrity of the rate-setting process.
• Develop clear contribution guidelines for panel banks to ensure consistency and accuracy in submissions.

Conclusion

The report highlights the need for improved governance, stronger oversight, and enhanced transparency in the administration of the Euribor benchmark. While the current process has some mechanisms in place, it lacks formal structures to ensure the independence and integrity of the rate-setting process. The recommendations aim to address these weaknesses and improve the reliability of Euribor as a benchmark.