Euribor tweaks to yield lower fix, bigger pool of usable trades

Methodology changes to raise share of Level 1 and 2 submissions and reduce reliance on Level 3

Forthcoming changes to the way Euribor is calculated may result in a slightly lower rate, market participants say. The adjustments will also produce a greater pool of transactions that can be used in the submission method preferred by the benchmark’s administrator.

On February 2, the European Money Markets Institute (EMMI), the administrator, announced four changes to the calculation methodology, effective from April 19. As part of the tweaks, the size threshold for trades eligible for the