28 February 2019
Following the recommendation of the euro RFR Working Group designating the ECB’s €STR as the alternative euro risk-free rate (RFR) on 13 September 2018, the Working Group continued exploring possible approaches to ensure a smooth transition from Eonia® to the €STR. In December 2018, the Working Group published a report on the transition from Eonia® to the €STR (the Report), in which a number of transition scenarios, proposals, and recommendations to promote and facilitate this transition were laid out.
Some of the recommendations presented in the Report were addressed to The European Money Markets Institute. Given the systemic importance of Eonia® for the financial markets, also recognised by the European Commission in June 2017, when Eonia®was classified as a critical benchmark under the EU BMR, The European Money Markets Institute wanted to consult on the measures proposed and endorsed by the Working Group during its meeting.
Due to the dependencies between the recalibration of Eonia’s methodology and the ECB’s production plans for the €STR, which stem from the recommendations of the Working Group, the market and other users of Eonia® would need to adapt to a change in the publication time of Eonia® in a short timeframe.
On 20 March 2019, The European Money Markets Institute published a consultation with the intention to raise awareness of the implications of the suggested changes, and ensure that users of Eonia® start preparing for the upcoming changes as soon as possible. On 31 May 2019, the Institute published the feedback summary.
In view of the responses received, The European Money Markets Institute adopted the new methodology recommended by the Working Group, which took effect on 2 October 2019.