€STR

€STR, benchmark reform, ECB, Eonia

The private sector working group on euro risk-free rates has published a report on the transfer of liquidity from EONIA’s cash and derivatives products to the €STR. The report supplements…

Variable €STR volumes make us wonder about other European benchmarks (Premium)

January 20, 2020

ECB, ESTR, Europe, Interest rates, SONIA, UK

€STR, Benchmarks, ECB, SONIA, topstory

Volumes in €STR, the European Central Bank reference rate launched in October 2019, have been variable since the launch. Although the initial expectation was that €STR would see 36,000 transactions…

RepoClear clears first Variable Rate Repo indexed to €STR

December 10, 2019

€STR, LCH, Repo, RepoClear

RepoClear has successfully cleared its first Variable Rate Repo (VRR) trade indexed on the Euro short-term rate (€STR). -Credit Suisse among the first participants to clear the new rate at…

Working group on euro risk-free rates recommends fallback arrangements for users of €STR

November 13, 2019

€STR, ECB

Working group has assessed different fallback arrangements for products referencing €STR, the new overnight euro risk free rate Working group recommends market participants to consider existing methodological review procedures of…

Impact of risk-free rates transition on risk management

October 17, 2019

Anna Reitman

€STR, Eonia, ESMA, EURIBOR

A private sector working group on euro risk-free rates issued recommendations to address the impact of euro risk-free rates transition on risk management. The working group on euro risk-free rates,…

ECB’s €STR goes live at -0.549

October 2, 2019

€STR, ECB

The euro short-term rate (€STR) is published on each TARGET2 business day based on transactions conducted and settled on the previous TARGET2 business day. The ECB published the €STR for…

ICMA says settlement of €STR-based repo poses challenges

September 27, 2019

€STR, ICMA, Repo

ICMA issues memorandum on repo market best practice with respect to the transition from EONIA to €STR The practicalities of the EONIA/€STR transition for non-cleared repo market have been discussed…

Private sector working group issues recommendations on the transition from EONIA to €STR for cash and derivatives products

August 20, 2019

Anna Reitman

€STR, alternatives to EONIA, ECB

• Transition from EONIA to €STR has impact on broad variety of financial products and processes • Market participants urged to actively prepare for change in publication time of EONIA…

ECB provides a one-off spread between €STR and EONIA

May 31, 2019

€STR, ECB, Eonia, ESTER

Spread between €STR and EONIA is calculated at 0.085% (8.5 basis points) Spread is based on methodology recommended by Working Group on euro risk-free rates Spread is to be used…

Working Group on Euro Risk-Free Rates Launches Consultation on EONIA to €STR Transition

May 18, 2019

€STR, Benchmarks, Eonia, ESMA