EURLIB1 vs. EURLIB2 ?

[Purri]

Whats the difference? As far as i know, there is only 1 Eurolibor rate per maturity calculated by BBA?

Regars,
P.

[Guest]

Purri,

EURLIB is calculated assuming the year has 365 days whilst EURLIB2 360 days. As far as I know, BBA only publishes EURLIB, but EURLIB2 is simply a direct derivation from EURLIB.

EURLIB2 = EURLIB * (365/360)

[Purri]

Thanks for clearing that up, Elmar.

[Purri]

Elmar: can you clarify when on eSignal exactly the new libor rates are published for the day?

Regards,
P.

[Guest]

Purri,

The Libor rates are published every day around 11:30GMT.

I made a mistake in my previous post. EURLIB is obviously calculated based on 360, EURLIB2 on 365 days.