The ECB’s working group on EUR risk-free rates’ consultation on the transition from EONIA to ESTR was launched on Tuesday (responses by 12th June). Its recommendations:
- before 1st January 2020, EMMI should modify the current EONIA methodology to become ESTR plus a spread, and make sure it complies with the BMR (the spread would be announced before 2nd October, when ESTR starts being published)
- this would run until the end of 2021, after which modified EONIA would be discontinued
- the market should make all reasonable efforts to replace EONIA with ESTR plus spread for both legacy and new trades.
The working group says it will now analyse further using both backward-looking and forward-looking rates based on ESTR as potential fallbacks for EURIBOR. At the same time, we’ve been hearing recently about a reformed EURIBOR continuing (see FinBrief): another illustration that much remains up in the air.
and then 