Working group on euro risk-free rates recommends transition path from EONIA to €STR and €STR-based forward-looking term structure methodology

PRESS RELEASE

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ECBECB
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https://www.ecb.europa.eu//press/pr/date/2019/html/ecb.pr190314_1~af10eb740e.en.htmlhttps://www.ecb.europa.eu//press/pr/date/2019/html/ecb.pr190314_1~af10eb740e.en.html
Retrieved on: 
Monday, March 18, 2019
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Tags: 
Interest rates, Money, Economy, Finance, Eurozone, Financial law, Banking, Euribor, Eonia, Derivative, Financial risk, STR
Summary
Key Points: 
  • PRESS RELEASE

    Working group on euro risk-free rates recommends transition path from EONIA to STR and STR-based forward-looking term structure methodology

    14 March 2019

    Today, the private sector working group on euro risk-free rates endorsed recommendations to market participants regarding the transition from the euro overnight index average (EONIA) to the euro short-term rate (the STR) and the calculation of a STR-based term structure.

  • Finally, the working group recommended a methodology for calculating a forward-looking term structure based on STR derivatives markets that could be used as a fallback in EURIBOR-linked contracts.
  • On 13 September 2018 the working group recommended the STR as the new euro risk-free rate.
  • The working group will now focus on the adoption of the STR and on further analysis of fallbacks for EURIBOR.
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