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

daily data )

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

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

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

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

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

Chart 9 Three month EURIBOR futures rates and implied volatility ( 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 .

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 .

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

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

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

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 .

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 .

European System of Accounts 1995 ( ESA 95 ) a system of uniform statistical definitions and classifications aimed at achieving a harmonised quantitative description of the economies of the Member States .

EURIBOR ( euro interbank offered rate ) the rate at which a prime bank is willing to lend funds in euro to another prime bank .

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

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 .

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

By contrast , EURIBOR rates are quoted as simple rates .

European System of Accounts 1995 ( ESA 95 ) a system of uniform statistical definitions and classifications aimed at achieving a harmonised quantitative description of the economies of the Member States . The ESA 95 is the Community 's version of the world System of National Accounts 1993 ( SNA 93 ) .

one month interest rate ( EURIBOR ) overnight interest rate ( EONIA ) 5.0 4.5 4.0 3.5 3.0 2.5 2.0 1.5 Q3 Q4 Q1 2000 1.0

There are two important reference rates for the unsecured money market , the EONIA ( euro overnight index average ) and the EURIBOR ( euro interbank offered rate ) , which together provide uniform price references for maturities from overnight to one year . Unsecured parts of the money market

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

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

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 different maturities of up to 12 months .

Unlike the EUREPO , the EURIBOR reflects conditions in the unsecured market .

the three month EURIBOR and the three month EUREPO ( an index for private sector repurchase agreements ) reaching a peak of 93 basis points on 17 December on account of the particular tensions observed towards the end of the year .

EURIBOR ( euro interbank offered rate ) the rate at which a prime bank is willing to lend funds in euro to another prime bank , as reported by a panel of contributing banks , computed daily for interbank deposits with different maturities of up to 12 months .

up to 1 year

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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

The most active instruments in these markets are EONIA swaps and EURIBOR futures .

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

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ERM II ( exchange rate mechanism II ) the exchange rate arrangement that provides the framework for exchange rate policy cooperation between the euro area countries and the EU Member States not participating in Stage Three of Economic and Monetary Union . 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 different maturities of up to 12 months .

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

Furthermore , the ECB has produced regular statistics on yields and volumes in the STEP market and has published the respective information on its website .

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