0.62 3 month EURIBOR 0.76 7 year swap rate 0.76 3 month EURIBOR 0.40 7 year swap rate

daily data ) three month EUREPO three month EURIBOR three month OIS spread between three month EURIBOR and three month OIS 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 Jan. Apr . July 2009 Oct. Jan . 2010 140 120 100 80 60 40 20 0 20 40 significantly following further reductions in the key ECB interest rates in that period .

daily data ) one month EURIBOR ( left hand scale ) three month EURIBOR ( left hand scale ) twelve month EURIBOR ( left hand scale ) spread between twelve month and one month EURIBOR ( right hand scale ) 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 Jan. Mar .

First , it declined Chart 10 Three month EUREPO , EURIBOR and OIS ( percentages per annum

daily data )

one month EURIBOR ( left hand scale ) three month EURIBOR ( left hand scale ) twelve month EURIBOR ( left hand scale ) spread between twelve month and one month EURIBOR ( right hand scale ) 4.5 4.0 3.5 3.0 2.5 2.0 0.9 0.6 0.3 0.0 0.3 0.6 2001 Source Reuters . 2002

daily data ) one month EURIBOR ( left hand scale ) twelve month EURIBOR ( left hand scale ) spread between twelve month and one month EURIBOR ( right hand scale ) 3.0

Exact time series X Yes N8 2 Fiche 2 Fiche 2 Fiches 2 and 3 weighted average Fiche 3 EURIBOR 3 months Yes N8 No Yes N8 X X

six month EURIBOR twelve month EURIBOR 4.4 4.2 4.0 3.8 3.6 3.4 3.2 3.0 2.8 2.6 Sep. Oct . Nov. Dec . Jan. Feb . 2000 2.4

for the euro area three month EURIBOR .

Three month EURIBOR futures rates and implied volatility from options on three month EURIBOR futures ( percentages per annum

Chart 11 Three month EURIBOR futures rates and implied volatility derived from options on three month EURIBOR futures ( percentages per annum

Chart 10 Three month EURIBOR futures rates and implied volatility derived from options on three month EURIBOR futures ( percentages per annum

one month EURIBOR three month EURIBOR six month EURIBOR twelve month EURIBOR 5.6 5.4 5.2 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 5.6 5.4 5.2 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

one month EURIBOR three month EURIBOR six month EURIBOR twelve month EURIBOR 5.6 5.4 5.2 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 5.6 5.4 5.2 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

daily data ) three month EURIBOR futures maturing in December 2004 ( left hand scale ) three month EURIBOR futures maturing in March 2005 ( left hand scale ) implied volatility with constant six months to maturity ( right hand scale ) 4.0 100.0

three month EURIBOR from 30 December 1998 onwards . ECB Annual Report 1998

With the substantial increases seen in unsecured money market interest rates , the corresponding spread between unsecured and secured money market rates widened significantly , particularly at maturities of one month and longer ( see Chart 11 ) . These spreads remained at elevated levels in the final months of the year , with the spread between Chart 11 Three month EUREPO , EURIBOR and overnight interest swap ( percentages per annum

one month EURIBOR three month EURIBOR 4.4 4.2 4.0 3.8 3.6 3.4 3.2 3.0 2.8 2.6 2.4 Jan. Feb . Mar .

3 ) Euro area data are ECB calculations and are averages of national three month interbank rates , from 1999 onwards three month EURIBOR are used .

3 ) Euro area data are ECB calculations and are averages of national three month interbank rates , from 1999 onwards three month EURIBOR rates are used .

spread between twelve month and one month EURIBOR ( left hand scale

However , the slope of the money market yield curve should be interpreted with some caution , since by historical standards the spreads between unsecured EURIBOR rates and secured rates ( such as EUREPO rates ) were exceptionally pronounced during the second half of the year

2 ) Differential ( in percentage points ) between three month interbank interest rates and the three month EURIBOR .

Short term rates are measured by the three month EURIBOR , with market expectations derived from futures rates .

daily data ) one month EURIBOR ( left hand scale ) twelve month EURIBOR ( left hand scale ) spread between twelve month and one month EURIBOR ( right hand scale ) 4.5 4.0 3.5 3.0 Chart 11 Three month EURIBOR futures rates and implied volatility derived from options on three month EURIBOR futures ( percentages per annum

over 3 months

Between the end of 2008 and the end of 2009 , as the three month EURIBOR dropped by nearly 260 basis points , nominal short term bank interest rates on loans to non financial corporations declined by 210 basis points . Consequently , despite a mild rebound of inflation expectations since May 2009 , real short term bank lending rates declined by

Reflecting these changes in the official interest rate , the spread between short term market interest rates in Sweden and the euro area continued to widen in the first half of 2002 , to around 100 basis points , while it remained broadly stable in the second half of the year ( see Chart 31 ) .

The spread between the three month EURIBOR and the three month EUREPO declined from a peak of 109 basis points at the beginning of January to stand at 31 basis points at the end of the year and 29 basis points at the end of February 2010 ( see Chart 10 ) .

Chart 9 Three month EURIBOR futures rates and implied volatility ( percentages per annum

daily data ) three month EURIBOR futures maturing in March 2006 ( left hand scale ) implied volatility from options on three month EURIBOR futures maturing in March 2006 ( right hand scale ) 3.5

daily data ) three month EURIBOR futures maturing in June 2007 ( left hand scale ) implied volatility derived from options on three month EURIBOR futures maturing in June 2007 ( right hand scale ) 4.5 4.0 3.5 3.0

EURIBOR ( euro interbank offered rate ) the rate at which a prime bank is willing to lend funds in euro to another prime bank , computed daily for interbank deposits with a maturity of up to 12 months .

For the euro component of the SDR interest rate , the three month EURIBOR was replaced by the three month EUREPO rate .

daily data ) three month EURIBOR futures maturing in December 2003 ( left hand scale ) three month EURIBOR futures maturing in March 2004 ( left hand scale ) implied volatility with constant six months to maturity ( right hand scale ) 5.0 120.0 one month EURIBOR ( left hand scale ) twelve month EURIBOR ( left hand scale ) spread between twelve month and one month EURIBOR ( right hand scale ) 4.0 3.5 4.5

Only on the occasion of the 50 basis point increase in ECB interest rates on 8 June 2000 was the

up to 3 months

In line with these increases in key ECB interest rates , money market interest rates across the entire maturity spectrum rose steadily over the course of the year .

During 2006 the implied volatility derived from options on three month EURIBOR futures was generally subdued .

been improving market assessments of future global growth prospects .

up to 3 months ( 1 )

The company was grounded for three months.

9.3 e Redeemable at notice up to 3 months over 3 months of which over 2 years ( 2 )

9.3 x Redeemable at notice up to 3 months over 3 months of which over 2 years ( 2 )