Featured Product

    ECB Report on Transfer of Liquidity from EONIA Products to €STR

    February 19, 2020

    ECB published a report on the transfer of liquidity from the cash and derivatives products of the Euro Overnight Index Average (EONIA) to the Euro Short-Term Rate (€STR). This report aims to support a smooth transition from EONIA to the new €STR, taking advantage of the liquidity already present in the EONIA cash and derivatives market. It intends to provide guidance on how to ensure a liquid €STR cash and derivatives products market.

    The report, by the private sector working group on euro risk-free rates, supplements a previous report from the working group on the impact of the transition from EONIA to the €STR on cash and derivatives products (published in August 2019) and provides clarifications on the topics that have been discussed since then. The working group highlights that contracts referenced to EONIA with maturities beyond January 03, 2022 would entail significant risks. It, therefore, recommends that market participants should replace EONIA products with €STR products and reduce their EONIA-linked legacy exposures as soon as possible.

    To accelerate the transition process, market-makers are encouraged to proactively price in the €STR, rather than EONIA as their default, and central counterparties are recommended to consider developments in the nettability (compression) of the €STR and EONIA. The working group expects a full migration from EONIA-linked to €STR-linked products. It, therefore, recommends that

    • the current EONIA market liquidity characteristics be used as a benchmark for building the initial target for the €STR
    • market participants analyzing the available data assess the liquidity of the €STR derivatives market

     

    Related Links

    Keywords: Europe, EU, Banking, Securities, EONIA, €STR, Risk Free Rates, CCPs, Interest Rate Benchmarks, Derivatives, ECB

    Related Articles
    News

    APRA on Changes to Reporting Obligations for Banks Due to COVID-19

    APRA, in collaboration with the Reserve Bank of Australia (RBA) and the Australian Bureau of Statistics (ABS), published a letter outlining temporary changes in reporting obligations for authorized deposit-taking institutions and registered financial corporations, in response to COVID-19.

    April 01, 2020 WebPage Regulatory News
    News

    OSFI Outlines Capital Treatment for Some COVID-19 Mitigation Measures

    OSFI issued a letter outlining how federally regulated banks should treat the new capital made available to small and medium-size enterprises (SME) through the recently announced government programs.

    March 30, 2020 WebPage Regulatory News
    News

    APRA Announces Deferral of Capital Reform Implementation

    APRA announced that it is deferring the scheduled implementation of Basel III reforms in Australia by one year.

    March 30, 2020 WebPage Regulatory News
    News

    BaFin Explains Regulatory Measures to Address Impact of COVID-19

    BaFin has released new developments and important information about COVID-19 and its effects on the financial and banking system.

    March 30, 2020 WebPage Regulatory News
    News

    ECB Updates Recommendation on Dividend Distribution Policy of Banks

    ECB updated its recommendation to banks on dividend distributions.

    March 30, 2020 WebPage Regulatory News
    News

    EC Amends Implementing Standards on Supervisory Reporting Under CRR

    EC published Regulation 2020/429 that amends the Regulation 680/2014, which sets out implementing technical standards on supervisory reporting of institutions under the Capital Requirements Regulation or CRR (575/2013).

    March 30, 2020 WebPage Regulatory News
    News

    HKMA Announces Deferral of Implementation of Final Basel III Package

    HKMA announced its plans to defer the implementation of final Basel III package, inline with the timeline announced by the Group of Central Bank Governors and Heads of Supervision (GHOS).

    March 30, 2020 WebPage Regulatory News
    News

    BCBS Defers Implementation of Final Basel III Standards by One Year

    BCBS has announced deferral of the implementation date of the final Basel III standards by one year, to January 01, 2023.

    March 27, 2020 WebPage Regulatory News
    News

    EC Regulation on CCR Mitigation for Covered Bonds and Securitizations

    EC published the Delegated Regulation 2020/447 with regard to regulatory technical standards on the specification of criteria for establishing the arrangements to adequately mitigate counterparty credit risk, or CCR, associated with covered bonds and securitizations.

    March 27, 2020 WebPage Regulatory News
    News

    IFRS Publishes Statement on Its Work During the COVID-19 Crisis

    IFRS, in its statement, emphasized that it shares global concerns about the impact of COVID–19 and is supporting its stakeholders by reconsidering timelines of its meetings and publications, providing information on the application of IFRS 9 on financial instruments, and offering calendar updates on ongoing activities.

    March 27, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 4913