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Moreover, an analysis of the change in the Euribor three-month futures contract on the days of rate changes suggests that the ECB suggests that the ECB has surprised the market on a three-month horizon with only three of its twelve rate changes (see Figure 2). The yield implied by the September 2001 three-month euribor futures contract rose 20 basis points, to 4. The [euro]17 billion facility is unsecured and provides for loans bearing interest at LIBOR or EURIBOR (based on the borrowing currency) plus a margin based on a ratings grid. |
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