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Working group on euro risk-free rates

The working group on euro risk-free rates was established by:

  • the ECB;
  • the European Securities and Markets Authority;
  • the European Commission;
  • the Belgian Financial Services and Markets Authority.

It was created to identify and recommend risk-free rates that could serve as an alternative to current benchmarks used in a variety of financial instruments and contracts in the euro area, such as the euro overnight index average (EONIA) and the euro interbank offered rate (EURIBOR).

The working group on risk-free rates is a private sector working group which the public institutions attend as observers. The ECB provided the group’s secretariat from its establishment in 2017 until 11 May 2021. From 11 May 2021 onwards the secretariat has been provided by ESMA, which ensures the publication of any working group materials and documents on its website.

The group recommended on 13 September 2018 that the euro short-term rate (€STR) be used as the risk-free rate for the euro area and is now focused on supporting the market with the transition to the €STR.

The ECB published the €STR for the first time on 2 October 2019, reflecting trading activity on 1 October 2019.

Why is a smooth transition to the €STR important?

Careful transition planning by market participants is needed to minimise disruption to markets and consumers and to safeguard the continuity of contracts to the greatest extent possible, including contracts that currently reference a term rate rather than an overnight rate.

How should the market transition from EONIA to the €STR?

The working group has analysed the impact of the transition from EONIA to the €STR from different perspectives. The outcome of this analysis is reflected in several documents which include recommendations on how to smoothen the transition to the €STR before EONIA is discontinued on 3 January 2022.

Further information on the recommendations made thus far is available in the section on how the market should transition from EONIA to the €STR.

€STR-based fallbacks for EURIBOR

On 11 May 2021 the working group recommended EURIBOR fallback trigger events and rates in order to support market participants in developing contractual fallback provisions for a scenario in which EURIBOR may permanently cease to exist.

The recommendations are based on the feedback received from the public consultations on EURIBOR fallback trigger events and on €STR-based EURIBOR fallback rates. Further information on the work completed is available on €STR-based fallbacks for EURIBOR.

Past WG milestones, meeting materials, and group administration until 11 May 2021

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