EONIA®'s underlying interest is the rate at which banks of sound financial standing in the European Union (EU) and European Free Trade Area (EFTA) countries lend funds in the interbank money market in euro.
Since 1st October 2019, EONIA® is calculated with a reformed methodology tracking the €STR, the new euro short-term rate of the European Central Bank (ECB). Published for the first time by the ECB on 2nd October 2019 at 08.00 ECT, the €STR reflects the wholesale euro unsecured overnight borrowing costs of euro area banks. Prior to 1st October 2019, EONIA® was computed as a weighted average of overnight unsecured lending transactions in the EU and EFTA interbank market.
Under the reformed methodology, EONIA® is calculated as the €STR plus a spread of 8.5 basis points. The spread was calculated by the ECB on 31st May 2019 and reflects the historical difference between the underlying interests of the two benchmarks: interbank lending rate for EONIA® versus wholesale borrowing rate for the €STR.
Since 2nd October 2019, 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 ensure a smooth transitioning from EONIA® to the €STR, EMMI will continue to publish EONIA® every TARGET day until 3rd January 2022, the date on which the benchmark will be discontinued.
The European Money Markets Institute encourages EONIA® users to accelerate their transition to the €STR – EONIA’s replacement rate – and to finalise without delay their phasing-out in the few months remaining before the benchmark’s planned cessation.
The European Money Markets Institute (hereafter EMMI) advises users of EURIBOR® and EONIA® to regularly assess that the EMMI benchmark(s) they use is/are appropriate, suitable and relevant for the targeted market(s). EMMI also advises them to put in place their own contingency provisions in the event any of EMMI’s benchmarks are not available or in case of (temporary) benchmark discontinuation.
To adapt EURIBOR® and EONIA® to changes in the underpinning markets, and to align them with regulatory and market recommendations, EMMI steadily assesses and recalibrates, if and when necessary, their respective calculation methodology.