For the past decade, the global regulatory community has driven a reform of the interbank offered rates (IBORs) in order to renew confidence in these critical benchmarks. The IBOR reform is the largest change in the capital markets since the introduction of the euro currency.
The European Central Bank´s (ECB’s) Euro Risk-Free Rate Working Group recommended in 2018 that the euro short-term rate (€STR) replace the euro overnight index average (EONIA) as the new euro risk-free rate. Eurex Clearing’s timeline to support a successful transition from EONIA to €STR across products and services is as follows:
EONIA publication lag from T to T+1 implemented across products and services
Simulation start: early September 2019
Production start: 1 October 2019
Extend clearing eligibility to €STR-linked products (e.g. clearing of €STR swaps)
Simulation start: 9 October 2019
Production start: 18 November 2019
Additional Member reports for EUR OTC IRS trade values based on €STR discounting
(reports are just for information purposes and not required for reconciliation)
Simulation start: 9 October 2019
Production start: 18 November 2019
Changes to the Clearing Conditions of Eurex Clearing AG to increase contractual
robustness with regard to certain index cessation events (to be announced separately before October 2019)
Initiate a dialog and consultation around the process to transition from an EONIA-based discounting Regime to an €STR-based discounting regime and the evolution of EONIA Overnight Index Swaps (OIS) (2019 and 2020)
The change of the risk-free rate from EONIA to €STR has effects across different products. Consequently, all Clearing Members and their clients as well as any vendor systems used must analyse their impacts.
For further information on the IBOR Reform please visit IBOR Reform or visit the Eurex Clearing Member Section > Risk & Collateral Management > Benchmark Transition Information > EUR: EONIA-€STR Transition.
Corresponding Newsflashes
Corresponding Circulars
If you have any questions or require further information, please do not hesistate to contact us at: client.services@eurexclearing.com.
