IBORs: EONIA To €STR Transition Started Today

The transition from the Euro OverNight Index Average ("EONIA") to a new interest rate based exclusively on actual transactions – the euro short-term rate ("€STR") – has begun earlier today at the occasion of the first publication of €STR by the European Central Bank ("ECB").

At the same occasion, the methodology of EONIA has been amended, so that EONIA becomes €STR plus a fixed spread of 8.5 basis points ("bps"), determined on the basis of the differences between EONIA and €STR observed during historical simulations of €STR.

Both €STR and the "recalibrated" EONIA are published on T+1, which differs from the publication time of the EONIA, as calculated until 30 September 2019 (such publication time having always been T).