Why is Europe still using EURIBOR?
Why is Europe still using EURIBOR?
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MikaelBosnian · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: MikaelBosnian
Original post: https://quant.stackexchange.com/questions/85867
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
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With the IBOR->RFR transition, US is now using SOFR and UK is now using SONIA, as reference rates for derivatives and swaps.
In Europe, they have ESTRON ... but they also have EURIBOR. It seems EURIBOR is more popular, both for swaps, and also as a reference rate for FRNs.
Why? Why don't they just move to ESTRON so all three major markets are using RFR rates?
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Dimitri Vulis · External communityPost link
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Author: Dimitri Vulis
Original post: https://quant.stackexchange.com/a/85869
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Historically, there used to be Euro LIBOR (which few people used) and EURIBOR.
Regulators forced Euro (and other currencies) LIBOR to cease as a consequence of
https://grokipedia.com/page/Libor_scandal
.
However EURIBOR got reformed in 2019 to the regulators' satisfaction, so the regulators didn't force EURIBOR to cease.
https://grokipedia.com/page/Euribor
Even before Euro LIBOR ceased, most FRNs, IR swps, etc already referenced EURIBOR, rather than Euro LIBOR. So ceasing Euro LIBOR had less impact than ceasing other currencies' LIBORs.
There's not enough reason for new EUR trades and instruments to change now. EURIBOR continues to be published. Changing, e.g., to term €STR reset in advance, would incur more costs than benefits.
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Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: Dimitri Vulis Source score (net votes, not local likes): 4 Original post: https://quant.stackexchange.com/a/85869 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Historically, there used to be Euro LIBOR (which few people used) and EURIBOR. Regulators forced Euro (and other currencies) LIBOR to cease as a consequence of https://grokipedia.com/page/Libor_scandal . However EURIBOR got reformed in 2019 to the regulators' satisfaction, so the regulators didn't force EURIBOR to cease. https://grokipedia.com/page/Euribor Even before Euro LIBOR ceased, most FRNs, IR swps, etc already referenced EURIBOR, rather than Euro LIBOR. So ceasing Euro LIBOR had less impact than ceasing other currencies' LIBORs. There's not enough reason for new EUR trades and instruments to change now. EURIBOR continues to be published. Changing, e.g., to term €STR reset in advance, would incur more costs than benefits.
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