- Efterm®
- Rates
- Methodology
- Governance
- Transparency
- Beta Rates
- Rates
- Methodology
- Governance
- Transparency
- Beta Rates
- Transparency
Transparency Indicators
The publication of the Efterm® Transparency Indicators Reports meets a requirement of the Benchmarks Regulation of the European Union and is also a recommendation under the IOSCO Principles.
After consulting the market, The European Money Markets Institute has decided to publish the following aggregated anonymised indicators on a monthly basis to provide transparency in the determination of Efterm®:
- Use of each level of the hybrid methodology for Efterm®, broken down by tenor
- Aggregate notional volumes of transactions used in the determination of Efterm® (Level 1 and Level 2.2)
- Counterparty sectors’ share of volume used in the determination of Efterm® (Level 1 and Level 2.2), broken down by tenor
The Efterm® Transparency Indicators Reports are published every first business day of the month, with one month delay.
Click here to access the monthly Transparency Indicators Reports.
Intraday re-fixing & reported revisions
According to the IOSCO Principles for Financial Benchmarks, benchmark methodologies should include “procedures for dealing with error reports, including when a revision of a benchmark would be applicable”.
Given the criticality of Efterm®, any potential error could have a significant impact on financial contracts. Therefore, a transparent approach in handling errors is all the more paramount.
After consulting the market on intraday re-fixing, the Efterm® Intraday Re-fixing Policy was adopted in July 2016. Ever since its implementation, The European Money Markets Institute has published quarterly statistics on the revisions reported. These revisions can either relate to input data, or errors in the collection, calculation, or publication of the benchmark.
No reports were published between Q2 2019 and Q4 2019 due to the phase-in of the Panel Banks to the Hybrid Methodology for Efterm® over that period.