The euro short-term rate has been published by the European Central Bank (ECB) since January 3, 2022. The ECB is responsible for publishing this benchmark, which replaced EONIA. The euro short-term rate is calculated based on actual transactions and published at 8:00 AM CET on each business day.

During the coexistence period between EONIA and the euro short-term rate, a spread of 8.5 basis points was used to recalculate EONIA as the euro short-term rate plus 8.5 basis points. This spread was determined by the ECB to ensure economic equivalence between the two benchmarks.

Euribor is calculated using a hybrid methodology that prioritizes actual transactions, then interpolation and adjustment techniques, and finally expert estimates. This method was adopted to improve the robustness and transparency of the benchmark. The calculation eliminates the extreme 15% of values and retains the arithmetic average of the remaining 70%.

Interest rate swaps represent an annual trading volume exceeding $434 trillion. These contracts often use Euribor as the variable reference rate, highlighting its importance in financial markets.

The Benchmark Regulation (BMR), adopted on June 8, 2016, and in force since January 1, 2018, establishes the European regulatory framework applicable to benchmark administrators. It imposes strict requirements in terms of governance, methodology, and compliance to ensure the integrity of benchmarks.

The primary function of reference benchmarks such as Euribor and the euro short-term rate is the valuation of financial instruments. They serve as the basis for calculating interest rate swaps, futures, caps and floors, and other derivatives. For example, a 'vanilla' interest rate swap exchanges a fixed-rate cash flow for a flow indexed to Euribor.

Interest rate swaps primarily use Euribor as the variable reference rate, while the Livret A rate in France incorporates the euro short-term rate in its calculation formula. This distinction demonstrates the systemic importance of these benchmarks across different financial products.

Euribor is published at 11:00 AM CET on each TARGET2 business day, not at 8:00 AM CET. The euro short-term rate, on the other hand, is published at 8:00 AM CET. This distinction is important for understanding the publication times of financial benchmarks.