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									     Euribor ACI
Workshop Libor-Euribor
  Vienna – May 28th 2007


    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
                                                                                                                                                        Eurepo 3M
           3mth Euribor/ Eurepo spread                                                                                                                  Euribor 3M
                             (Up till April 17, 2008)                                                                                                   Spread Euribor-Eurepo




Rate (%)                                                                                                                                                  Spread (bps)
 5.0                                                                                                                                                                 120

 4.8                                                                                                                     Citi closes       Nationalisation
                                                                                     Problems at
 4.6
                                                                                     Sachsen LB                          7 SIVs            Northern Rock
                                                                                     and West LB
                                                                                                                                                                     100
 4.4

 4.2
                                                                         Problems
 4.0                                                                      at IKB                                                                                     80
 3.8
                                                                                                Problems at
 3.6
                                                                                                Northern Rock                                                JPMorgan to buy
                                                                                                                                                             Bear Stearns
 3.4                                                                                                                                                                 60

 3.2
                                                                        Bear Stearns
 3.0                                                                    shuts down
                                                                          two HFs
                                                                                                                                                                     40
 2.8

 2.6                                             Dillon Read HF
                                                 shut down by                                   Sep 12 – ECB
 2.4                                                   UBS                                       Long Term
                                                                                                  Reserve                                                            20
 2.2                                                                                             Operation
                                                                                                                         Dec 12 -
 2.0                                                        ECB Quicktender                                              concerted CB
                                                            Aug 9   € 94.8 bn                                            action (FED,                  March 11 -Other CB
 1.8                                                        Aug 10 € 61.1 bn                                             ECB, BOE, SNB)                coordinated effort
                                                                                                                                                                       0
                                                                                            Aug 23 – ECB
       01- J     0        01         0        0       01 Aug 13 € 47.7 bn
                                                                 0          01        01        01         0        01 – TAF auction 0
                                                                                                                              01                 01 announcing $200bn
                                                                                                                                                            0
            an - 0 1- F eb- 0 - Mar -01- Ap r- 01- May- 0 - Ju n14 1- Ju l- 07 - Au g- 0 - Sep - 0 - O ct- 0 1- No v-0 - Dec- 0 - Jan - 0 1- F eb- 0 - Mar -0 1- Ap r- 0
                                                                - 07€ 7.7 bn                 Long Term 7
                  7          7         7        7        7 Aug                          7         7                   7         7        8          8 of new 8emergency 8
                                                                                              Reserve                                                  lending for banks
                                                                                             Operation
                                           100
                                           110
                                           120
                                           130




                                            30
                                            40
                                            50
                                            60
                                            70
                                            80
                                            90
                                   A
                                     -1
                                   A
                                     -1
                                   A                            CDS bp
                                     -1
                                   A
                                     -1
                                   A
                                     -
                                  A 1
                                   -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
CDS5y Panel Banks - Apr 08 (bp)
                                     -2
                                   A
                                     -1

                                   A
                                     -1
                                   A
                                     -1
                                   A
                                  A -1
                                   -1
                                      +
                                   A
                                     -1
                                  A
                                    -1
                                  A +
                                    -1
avg (bp)




                                  A +
                                    -1
                                      +
                                   A
                                     -1
                                  A
                                    -1
                                  A +
                                                                         CSD 5y Euribor Panel banks




                                    -1
                                      +
                                  A
                                    -1
                                  A +
                                    -1
                                  A +
                                    -1
                                  A +
                                    -1
                                  A +
                                    -1
                                      +
                                           rating Panel Banks
        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       RZB - Raiffeisen Zentralbank Österreich AG
          Sparkassen

Belgium   Dexia Bank                            Fortis Bank
          KBC

Finland   Nordea

France    BNP – Paribas                         Natixis
          Société Générale                      Crédit Agricole s.a.
          HSBC France                           Crédit Industriel et Commercial CIC

Germany   Bankgesellschaft Berlin               WestLB AG
          Bayerische Landesbank Girozentrale    Commerzbank
          Deutsche Bank                         DZ Bank Deutsche Genossenschaftsbank
          Dresdner Bank                         Landesbank Baden-Württemberg Girozentrale
          Landesbank Hessen - Thüringen Giro.   Norddeutsche Landesbank Girozentrale

Greece    National Bank of Greece
Ireland               AIB Group                              Bank of Ireland

Italy                 Banca IntesaBci                        UCI Milan
                      Monte dei Paschi di Siena

Luxembourg            Banque et Caisse d'Épargne de l'État

Netherlands           ABN Amro Bank                          Rabobank
                      ING Bank

Portugal              Caixa Geral De Depósitos (CGD)

Spain                 Banco Bilbao Vizcaya Argentaria        Confederacion Española de Cajas de Ahorros
                      Banco Santander Central Hispano

Other EU Banks        Barclays Capital                       Den Danske Bank
                      Svenska Handelsbanken

International Banks   Bank of Tokyo – Mitsubishi             J.P. Morgan Chase & Co.
                      Citibank                               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

								
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