New Euro Benchmark Rate Published For First Time


Today, for the first time, the European Money Markets Institute (EMMI) has published EONIA® under the reformed determination methodology. Since 1 October 2019, EONIA®’s methodology is directly tracking the €STR, the new euro short-term rate of the European Central Bank (ECB).

Under the reformed determination methodology:

  • EONIA® is calculated as the €STR plus a spread of 8.5 basis points. The spread was calculated by the ECB on 31 May 2019 and reflects the historical difference between the Underlying Interests of the two benchmarks, i.e. interbank lending rate for EONIA® versus wholesale borrowing rate for the €STR.
  • EONIA® for day T is available every TARGET day on T+1, at or shortly after 09.15 Brussels time. This timing prevents market participants from being exposed to any additional EONIA® re-fixing, should there be a €STR re-fixing.

To facilitate a smooth transitioning from EONIA® to the €STR, EMMI will continue to publish EONIA® every TARGET day until 3 January 2022, the date on which the benchmark will be discontinued.

As a Critical Benchmark Administrator, EMMI defines and implements robust governance and control arrangements to ensure the integrity and reliability of its benchmarks. As such, EMMI has adopted a Governance Framework establishing the requirements and principles related to the provision of EONIA® under the reformed determination methodology. The Governance Framework consists of the following components:

  • The EONIA® Governance Code of Conduct (GCC), which sets out the governance, control and accountability frameworks established by EMMI for the provision of EONIA®.
  • The EONIA® Governance Code of Conduct (GCC), which sets out the governance, control and accountability frameworks established by EMMI for the provision of EONIA®.

The Benchmark Determination Methodology (BDM) for EONIA®, which sets out the determination methodology for the calculation of EONIA®, under both regular and contingency circumstances.

The EONIA® Governance Framework is supported by a set of policies and procedures covering all aspects of the provision of the benchmark.

In addition, as the Administrator of EONIA®, EMMI has applied for authorisation from the Belgian Financial Services and Markets Authority (FSMA) under Article 34 of the EU Benchmarks Regulation.

EMMI has provided the FSMA with comprehensive information attesting that all the necessary arrangements to meet the requirements laid down in the EU Benchmarks Regulation have been made. As a next step, the FSMA will examine the application for authorisation and, after consulting the supervisory college for EONIA®, adopt a decision. Provided the authorisation is granted, the FSMA will notify ESMA of its decision.

Source: EMMI

Related articles

  1. ESMA has said euro short-term interest rate derivatives are systemically important for financial stability.

  2. A 10-year RMB green bond enriches offshore product offerings and promotes RMB internationalisation.

  3. Basel Committee Consults on Interest-Rate Risk

    FCA has issued its final messages prior to the end of the U.S. dollar LIBOR panel this month.

  4. Currency ETPs Benefit From Sterling Volatility

    The market is managing new expectations for U.K. interest rates.

  5. Active ETFs have a 54% compound annual growth rate over the last three years.