Shearman & Sterling LLP | FinReg | EONIA Methodology and One-Off Spread Confirmed
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  • EONIA Methodology and One-Off Spread Confirmed
    05/31/2019
    The European Money Markets Institute has adopted the EONIA working group's proposed methodology for calculating EONIA's replacement rate. The new methodology, dubbed "€STR" (or the "Euro short term rate"), will take effect as of October 2, 2019. In line with the adoption of the €STR, the European Central Bank has calculated the average risk spread between the new €STR and the existing EONIA rate as 0.0085% (8.5 basis points). The spread will be used for a limited period to calculate an adjusted EONIA rate for all existing contracts which continue to reference EONIA following the introduction of the €STR in October 2019.
     
    The EMMI, the current administrator of EONIA, will continue its role as administrator of the amended EONIA rate and the replacement €STR. From October 2, 2019, EONIA will be calculated as €STR plus the ECB's spread. No EONIA rate will be published on October 1, 2019, in order to avoid duplication of the indices representing the same TARGET day. From January 3, 2022, EMMI will cease publication of EONIA altogether, by which time markets should have fully adopted €STR. The plans follow the recommendations of the EONIA working group and received the support of stakeholders in response to EMMI's consultation, which closed on April 15, 2019.

    View stakeholder responses to EMMI's consultation paper.
     
    View the ECB's EONIA-Euro risk free rate spread.
     
    View details of the EONIA working group's consultation paper on EONIA methodology.
     
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