daily data )

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

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 .

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

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 .

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

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 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

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

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 .

12 month Euribor

At the end of 2002 the slope of the money market yield curve , as measured by the difference between the twelve month and one month EURIBOR , was slightly negative .

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 .

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 .

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

The one month EURIBOR also increased , albeit with a lag and to a lesser extent , rising by around 11 basis points between 19 May and 23 June .

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

for the euro area three month EURIBOR .

Euro interbank borrowing offered rate three months (EURIBOR)

Money market rates at the short end of the yield curve ( such as the one month EURIBOR shown in Chart 10 ) closely mirrored this development in the key ECB interest rates .

In fact , the slope of this curve , as measured by the difference between the twelve month and the one month EURIBOR , reached its lowest point on 26 March 2004 , at 7 basis points .

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By contrast , EURIBOR rates are quoted as simple rates .

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

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 ) .

The slope of the money market yield curve as measured by the spread between the twelve month and one month EURIBOR rates showed some volatility in the course of 2007 , with that spread fluctuating between 15 and 50 basis points .

A lunar month is shorter than a calendar month.

While the 12 month EURIBOR had already started to decline in September , shorter term money market rates gradually started to fall in the course of November . The fall in longer term money market interest rates was most pronounced ,

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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 .

Sources ECB and Reuters . ECB Annual Report 2009

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