Featured Product

    ECB Seeks Feedback on Publication of Compounded €STR Rates

    July 24, 2020

    ECB is consulting on the publication of compounded term rates based on the euro short-term rate (€STR). The publication would take place on a daily basis shortly after the €STR publication. Published maturities could range from one week up to one year. A daily index, making it possible to compute compounded rates over non-standard periods, is also envisaged as part of the publication. The consultation period will end on September 11, 2020 and ECB will publish an anonymized summary of the feedback received within three weeks of this deadline.

    ECB would provide benchmark users with compounded values of the euro short-term rate (€STR) for selected maturities. The publication of compounded €STR term rates is expected to encourage the adoption of robust fallback provisions by the industry. Compounded rates based on the €STR would benefit from the proven robustness, as the €STR is built on an active overnight borrowing market. This implies that, even in times of market uncertainty, the compounded €STR rate will remain robust because the overnight markets remain, by far, the most liquid. Also, in a number of major jurisdictions, such as the US and the UK, the risk-free rates are expected to take over from London Inter-bank Offered Rate (LIBOR) for a large variety of contracts, on the discontinuation of the benchmark. Accordingly, the Federal Reserve Bank of New York and BoE also committed to publishing compounded risk-free rates and/or daily indices. Hence, the publication of a compounded €STR would support international consistency. This initiative to publish the compounded term rates would be in line with the:

    • Recommendations of FSB, to encourage and support wider use of the near-risk-free rates and, hence, the €STR, by providing a “golden source” for the compounded €STR values
    • EU Benchmarks Regulation, to provide a rate that may be used in contractual fallback provisions by users of the EUR LIBOR and EURIBOR, who are required to prepare in their contingency planning for a scenario in which the EUR LIBOR and the EURIBOR may cease to exist


    Related Links

    Comment Due Date: September 11, 2020

    Keywords: Europe, EU, Banking, Securities, Target2, €STR, Benchmarks Regulation, Risk-Free Rates, Compounded Rates, EURIBOR, EUR LIBOR, LIBOR, Benchmark Reforms, ECB
    Related Articles

    FINMA Approves Merger of Credit Suisse and UBS

    The Swiss Financial Market Supervisory Authority (FINMA) has approved the takeover of Credit Suisse by UBS.

    March 21, 2023 WebPage Regulatory News

    BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks

    The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.

    March 13, 2023 WebPage Regulatory News

    OSFI Finalizes on Climate Risk Guideline, Issues Other Updates

    The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.

    March 12, 2023 WebPage Regulatory News

    APRA Assesses Macro-Prudential Policy Settings, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) published an information paper that assesses its macro-prudential policy settings aimed at promoting stability at a systemic level.

    March 07, 2023 WebPage Regulatory News

    BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending

    BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.

    March 03, 2023 WebPage Regulatory News

    HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks

    The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.

    March 02, 2023 WebPage Regulatory News

    MFSA Sets Out Supervisory Priorities, Issues Reporting Updates

    The Malta Financial Services Authority (MFSA) outlined its supervisory priorities for 2023

    March 02, 2023 WebPage Regulatory News

    German Regulators Issue Multiple Reporting Updates for Banks

    Deutsche Bundesbank published the nationally deactivated validation rules for the German Commercial Code (HGB) users on the taxonomy 3.2, which became valid from December 31, 2022

    March 02, 2023 WebPage Regulatory News

    BCBS Report Examines Impact of Basel III Framework for Banks

    The Basel Committee on Banking Supervision (BCBS) published results of the Basel III monitoring exercise based on the June 30, 2022 data.

    February 28, 2023 WebPage Regulatory News

    PRA Consults on Prudential Rules for "Simpler-Regime" Firms

    Among the recent regulatory updates from UK authorities, a key development is the first-phase consultation, from the Prudential Regulation Authority (PRA), on simplifications to the prudential framework that would apply to the simpler-regime firms.

    February 28, 2023 WebPage Regulatory News
    RESULTS 1 - 10 OF 8806