Euribor ACI Workshop Libor-Euribor
Vienna – May 28th 2008
Godfried De Vidts President Euribor ACI
Agenda
• • • • • • • Opening President Euribor ACI Introduction BBA - John Ewan Introduction EBF - Robert Priester Point of view MMLWG - Jaana Sulin Point of view ERC - Eduard Cia General discussion Wrap-up
3 months Euribor/Eurepo spread
3mth Euribor/ Eurepo spread
(Up till April 17, 2008) Eurepo 3M Euribor 3M Spread Euribor-Eurepo
Rate (%)
5.0 4.8 4.6 4.4 4.2 4.0 3.8 3.6 3.4 3.2 3.0 2.8 2.6 2.4 2.2 2.0 1.8
Spread (bps)
120
Problems at Sachsen LB and West LB
Citi closes 7 SIVs
Nationalisation Northern Rock
100
Problems at IKB Problems at Northern Rock
80
JPMorgan to buy Bear Stearns
60
Bear Stearns shuts down two HFs Dillon Read HF shut down by UBS
40
Sep 12 – ECB Long Term Reserve Operation
20
Dec 12 ECB Quicktender concerted CB March 11 -Other CB action (FED, Aug 9 € 94.8 bn 0 coordinated effort ECB, BOE, SNB) Aug 10 € 61.1 bn Aug 23 – ECB announcing $200bn – TAF auction 0 0 0 0 0 0 0 0 010 0 0 0 0 Aug 13 € 47.7 bn 0 Long Oc 0 Jan 1-Feb 1-Mar 1- Apr 1-May 1- Jun14 1-Jul bn 1- Aug 1- Sep 1-Term 1- Nov 1-Dec 1- Jan 1-Feb 1-Mar 1-Apr t-08 -08 of new8 -08 -07 -07 -07 -07 -0 emergency -07 - 07 -0 7 -07 -07 Aug -07 € 7.7-07 Reserve 07 lending for banks Operation
130 120 110 100 90 80 70 60 50 40 30
CDS bp
A -1 A -1 A -1 A -1 A -1 A -1 A + -1 A + -1 A + -1 + A -1 A + -1 A + -1 + A -1 A A 1 -1 + A -1 A -1 A -1 A -1 A -2 A -1 A -1 A -1 A A -1 -1 + A -1
CSD 5y Euribor Panel banks
CDS5y Panel Banks - Apr 08 (bp) avg (bp)
A -1 A + -1 A + -1 + A -1 A -1 A + -1 +
rating Panel Banks
A -1 A + -1 A + -1 A + -1 A + -1 +
Euribor - Definition
Euribor® is the rate at which euro interbank term deposits are offered by one prime bank to another prime bank and is published at 11.00 a.m. CET for spot value (T+2).
Euribor® Panel Banks
Austria
Erste Bank der Österreichischen Sparkassen Dexia Bank KBC Nordea BNP – Paribas Société Générale HSBC France Bankgesellschaft Berlin Bayerische Landesbank Girozentrale Deutsche Bank Dresdner Bank Landesbank Hessen - Thüringen Giro. National Bank of Greece
RZB - Raiffeisen Zentralbank Österreich AG
Belgium
Fortis Bank
Finland France
Natixis Crédit Agricole s.a. Crédit Industriel et Commercial CIC WestLB AG Commerzbank DZ Bank Deutsche Genossenschaftsbank Landesbank Baden-Württemberg Girozentrale Norddeutsche Landesbank Girozentrale
Germany
Greece
Ireland Italy
AIB Group Banca IntesaBci Monte dei Paschi di Siena Banque et Caisse d'Épargne de l'État ABN Amro Bank ING Bank Caixa Geral De Depósitos (CGD) Banco Bilbao Vizcaya Argentaria Banco Santander Central Hispano Barclays Capital Svenska Handelsbanken Bank of Tokyo – Mitsubishi Citibank
Bank of Ireland UCI Milan
Luxembourg Netherlands
Rabobank
Portugal Spain
Confederacion Española de Cajas de Ahorros
Other EU Banks
Den Danske Bank
International Banks
J.P. Morgan Chase & Co. UBS (Luxembourg) S.A.
Total Number: 43
Source: http://www.euribor.org/html/content/panelbanks.html
Libor - definition
The British Bankers' Association London Interbank Offered Rate (BBA LIBOR) closely reflects the real rates of interest being used by the world's big financial institutions. BBA LIBOR is the BBA fixing of the London Inter-Bank Offered Rate.it is based on offered inter-bank deposit rates contributed in accordance with the instructions to BBA Libor contributor banks.
AUSTRALIAN DOLLAR (AUD) – 8 BANKS
Barclays Bank plc Commonwealth Bank of Australia Deutsche Bank AG HBOS Lloyds TSB Bank plc National Australia Bank Ltd The Royal Bank of Scotland Group UBS AG
CANADIAN DOLLAR (CAD) – 12 BANKS
Bank of Montreal Barclays Bank plc Canadian Imperial Bank of Commerce Deutsche Bank AG HSBC HBOS JP Morgan Chase Lloyds TSB Bank plc National Bank of Canada Rabobank Royal Bank of Canada The Royal Bank of Scotland Group
SWISS FRANC (CHF) – 12 BANKS
Barclays Bank plc Bank of Tokyo – Mitsubishi UFJ Citibank NA Credit Suisse Deutsche Bank AG HSBC JP Morgan Chase Lloyds TSB Bank plc Société Générale The Royal Bank of Scotland Group UBS AG West LB AG
DANISH KRONE (DKK) – 8 BANKS
Barclays Bank plc Deutsche Bank AG HSBC JP Morgan Chase Lloyds TSB Bank plc Rabobank The Royal Bank of Scotland Group UBS AG
EURO (EUR) – 16 BANKS
Bank of America Barclays Bank plc Bank of Tokyo – Mitsubishi UFJ Citibank NA Credit Suisse Deutsche Bank AG HBOS HSBC JP Morgan Chase Lloyds TSB Bank plc Rabobank Royal Bank of Canada Société Générale The Royal Bank of Scotland Group UBS AG West LB AG
STERLING (GBP) – 16 BANKS
Abbey National plc Bank of America Bank of Tokyo – Mitsubishi UFJ BNP Paribas Barclays Bank plc Citibank NA Deutsche Bank AG HBOS HSBC JP Morgan Chase Lloyds TSB Bank plc Rabobank Royal Bank of Canada The Royal Bank of Scotland Group UBS AG West LB AG
JAPANESE YEN (JPY) – 16 BANKS
Bank of America Bank of Tokyo – Mitsubishi UFJ Barclays Bank plc Citibank NA Deutsche Bank AG HSBC JP Morgan Chase Lloyds TSB Bank plc Mizuho Corporate Bank Rabobank Société Générale Sumitomo Mitsui Banking Corporation Europe Ltd (SMBCE) The Norinchukin Bank The Royal Bank of Scotland Group UBS AG West LB AG
NEW ZEALAND DOLLAR (NZD) – 8 BANKS
Commonwealth Bank of Australia Barclays Bank plc Deutsche Bank AG HSBC JP Morgan Chase Lloyds TSB Bank plc National Australia Bank The Royal Bank of Scotland Group
SWEDISH KRONA (SEK) – 8 BANKS Barclays Bank Deutsche Bank HSBC JP Morgan Chase Lloyds TSB Bank plc Rabobank The Royal Bank of Scotland Group UBS
US DOLLAR (USD) – 16 BANKS
Bank of America Bank of Tokyo – Mitsubishi UFJ Barclays Bank plc Citibank NA Credit Suisse Deutsche Bank AG HBOS HSBC JP Morgan Chase Lloyds TSB Bank plc Rabobank Royal Bank of Canada The Norinchukin Bank The Royal Bank of Scotland Group UBS AG West LB AG
Purpose of this workshop !
• voice your opinion • common good • decision by respective steering committees i.e. EBF & BBA