Money market interest rates - monthly data

Description

Eurostat Dataset Id:irt_st_m

Day-to-day money market interest rates: averages for the euro area (EONIA= Euro OverNight Index Average), EU27 (theoretical aggregate), and national series (TR, CA, US, JP).

1-month, 3-month, 6-month and 12-month interest rates: averages for the euro area (EURIBOR) and EU27 (theoretical aggregate). 3-month interest rates are also available for the US and Japan.

The money market rates shown are reference rate for short-term interest rates on the financial market for loans or deposits. Most of the series shown are interbank rates. There are the following maturities: overnight, 1-month, 3-month, 6-month and 12-month.

Overnight rates

Euro area series: The rate is the EONIA (Euro OverNight Index Average), the effective overnight reference rate for the euro, computed as a weighted average of all overnight unsecured lending transactions in the interbank market, initiated within the euro area by the contributing panel banks. EONIA is computed with the help of the European Central Bank. The series start in January 1994.

EU aggregate series: The rate is an average of the EONIA and the rates of the non-euro area countries, weighted by country GDP. The series start in March 2002.

National series: These are usually day-to-day interbank rates.

Denmark: Tomorrow next rate of national bank interbank interest rate. The series start in January 1997.

United Kingdom: The Sterling OIS market uses as its overnight rate reference the "SONIA" (Sterling OverNight Interbank Average) index published by the Wholesale Market Brokers' Association (WMBA). "SONIA" is the daily weighted average of all overnight interbank deposits of more than 5 millions GBP, compiled before 3 p.m. by the seven largest money brokers (about 70% of the market). The British Bankers' Association oversees the calculation. From January 1997 to December 2000, WMBA was publishing the rate, along with associated information, on wire services, in the morning (9.00 a.m.) of the following day.

Thereafter the UK series refer to the Interbank overnight offered rate average, calculated from the British Bankers' Association.

Sweden: SEK deposit overnight STIBOR (STockholm InterBank Offered Rate). From January 1985 to February 1991, the money market interest rate corresponded to a daily rate caught at 11.00 a.m. (ask) from the Reuter-system. Thereafter it is Sweden Interbank overnight offered rate (Stibor) average

Rates for 1-month, 3-month, 6-month and 12-month

Euro-area series: From January 1999, the euro area rates are for 1 to 12-month EURo InterBank Offered Rates. EURIBOR is the benchmark rate of the euro money market that emerged in 1999. It is the rate at which euro interbank term deposits are offered from one prime bank to another and is published at 11.00 a.m. CET for spot value (T+2 days). The rate was first published on 4 January 1999 capturing the value of 30 December 1998.

The contributors to EURIBOR are the banks with the highest volume of business in the euro area money markets. The panel of banks consists of:

• Banks from EU countries participating in the euro from the outset.
• Banks from EU countries not participating in the euro from the outset.
• Large international banks from non-EU countries but with important euro area operations.

From January 1990 to December 1993: interbank deposit bid rates weighted by GDP.

From January 1994 to December 1998: 3-month LIBOR.

Denmark: From January 1970 to June 1988 the series is the interbank deposit bid rates.

Thereafter it is CIBOR (Copenhagen InterBank Offered Rate).

CIBOR is a reference interest rate for liquidity offered in the interbank market in Denmark on an uncollateralized basis. No CIBOR reporting bank is under an obligation to supply liquidity to other CIBOR reporting banks at its offered rate. CIBOR reporting banks should aim to offer CIBOR rates that reflect the interest rate level as realistically as possible.

At 10.30 a.m. of each banking day, CIBOR reporting banks fix a CIBOR rate to two decimal places. The rates are reported to Danmarks Nationalbank (the Danish central bank).

Danmarks Nationalbank calculates CIBOR for the individual maturities by omitting the two highest and the two lowest rates and then calculates a simple average of the remaining rates. The rates offered by the individual CIBOR reporting banks are published on the website of Danish Bankers Association after 11.00 a. m.

United Kingdom: LIBOR (London InterBank Offered Rate) average

The BBA LIBOR is the most widely used benchmark or reference rate for short-term interest rates. It is compiled by the BBA (British Bankers Association) and released to the market at about 11.00 a. m. of each day. LIBOR is the rate of interest at which banks borrow funds from other banks, in marketable size, in the London interbank market. Series start in January 1986.

Sweden: From January 1987 to February 1991: Interbank deposit bid rates. Thereafter STIBOR (STockholm InterBank Offered Rate) average.