Featured Product

    ECB Announces Start Date for Euro Short-Term Rate

    March 14, 2019

    ECB announced that it will start publishing the euro short-term rate (€STR) as of October 02, 2019, reflecting the trading activity of October 01, 2019. Additionally, 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 €STR and the calculation of a €STR-based term structure.

    Among other things, the working group recommended that market participants gradually replace EONIA with the €STR for all products and contracts, making the €STR their standard reference rate and making certain adjustments to their IT systems. The working group recommended that EONIA’s administrator, the European Money Market Institute (EMMI), modify the current EONIA methodology to become the €STR plus a spread for a limited period of time (in accordance with FSB recommendations and IOSCO Principles for Financial Benchmarks) to further anchor EONIA’s methodology in transactions, to give market participants sufficient time to transition to the €STR. EMMI is also requested to engage with the relevant authorities to ensure that EONIA, under its evolved methodology, complies with the EU Benchmarks Regulation. The working group also recommended a methodology for calculating that spread. 

    ECB is supporting private-sector efforts in the transition away from EONIA and will provide the computation of a one-off spread between the €STR and EONIA. The spread will be calculated by ECB according to the methodology recommended by the working group. The resulting spread will be communicated on the day on which the change in the methodology of EONIA is announced.

    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. The working group will now further analyze both the backward- and forward-looking approaches as potential fallbacks for EURIBOR, acknowledging the work being done in other currency areas as well as by the International Swaps and Derivatives Association (ISDA), which has announced the launch of a consultation on determining a fallback for EURIBOR-linked derivatives contracts following the start of the publication of the €STR.

     

    Related Links

    Keywords: Europe, EU, Banking, Securities, EONIA, €STR, Recommendations, EURIBOR, Benchmark Regulation, ECB

    Related Articles
    News

    HKMA Consults on Supervisory Policy for OTC Derivatives Transactions

    HKMA is consulting on revisions to the Supervisory Policy Manual module CR-G-14 on margin and other risk mitigation standards for non-centrally cleared over-the-counter (OTC) derivatives transactions.

    May 25, 2020 WebPage Regulatory News
    News

    PRA on Regulatory Capital and IFRS 9 Requirements for Payment Holidays

    PRA provided further information on the application of regulatory capital and IFRS 9 requirements to payment holidays granted or extended to address the challenges arising from COVID-19 outbreak.

    May 22, 2020 WebPage Regulatory News
    News

    HKMA on Fintech Adoption and Innovation by Banks in Hong Kong

    HKMA announced the publication of a report on fintech adoption and innovation in the banking industry in Hong Kong.

    May 20, 2020 WebPage Regulatory News
    News

    BIS on Impact of Increasing Use of Cloud Technology on Cyber Risk

    BIS published a working paper that examines the drivers of cyber risk, especially in context of the cloud services.

    May 20, 2020 WebPage Regulatory News
    News

    ECB Consults on Guide for Managing Climate and Environmental Risks

    ECB launched consultation on a guide specifying how the Banking Supervision expects banks to consider climate-related and environmental risks in their governance and risk management frameworks and when formulating and implementing their business strategy.

    May 20, 2020 WebPage Regulatory News
    News

    ECB Issues Opinion on Revisions to CRR in Response to COVID Crisis

    ECB published an opinion (CON/2020/16) on amendments to the prudential framework in EU in response to the COVID-19 pandemic.

    May 20, 2020 WebPage Regulatory News
    News

    EBA Assesses Interlinkages Between Recovery and Resolution Planning

    EBA published a report that examines the interlinkages between recovery and resolution planning under the Bank Recovery and Resolution Directive (BRRD).

    May 20, 2020 WebPage Regulatory News
    News

    SRB Publishes Final MREL Policy Under the Banking Package

    SRB published the final Minimum Requirements for Own Funds and Eligible Liabilities (MREL) policy under the Banking Package.

    May 20, 2020 WebPage Regulatory News
    News

    US Agencies Amend Interim Final Rule on Transition Period for CECL

    US Agencies (FDIC, FED, and OCC) published a final rule that makes technical changes to the March 31, 2020 interim final rule that provides a five-year transition period for the impact of the current expected credit loss (CECL) methodology on regulatory capital.

    May 19, 2020 WebPage Regulatory News
    News

    ECB Releases Results of March Survey on Credit Terms and Conditions

    ECB published results of the March 2020 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter (OTC) derivatives markets.

    May 19, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5208