The European Central Bank's (ECB's) working group on euro risk-free rates has set out the three alternatives to replace Eonia, the Euro Overnight Index Average, when it no longer meets the criteria of the EU Benchmarks Regulation as of 2020. The working group is calling on market participants and all other interested parties to comment on its assessment of the euro risk-free rates, which are as follow:
- The euro short-term rate (ESTER), the new wholesale unsecured overnight bank borrowing rate, which the ECB will produce before 2020;
- GC Pooling Deferred, a one-day secured, centrally cleared, general collateral repo rate, which is produced by STOXX, a wholly owned subsidiary of Deutsche Börse Group;
- RepoFunds Rate, a one-day secured, centrally cleared, combined general and specific collateral repo rate, which is produced by NEX Data Services Limited, a wholly owned subsidiary of NEX Group plc, soon to be acquired by CME Group.
The working group on euro risk-free rates was set up in September 2017 by the ECB, together with the Financial Services and Markets Authority, the European Securities and Markets Authority (ESMA) and the European Commission. The mission of the group is to identify and recommend alternative risk-free rates. Such rates could serve as a basis for an alternative to current benchmarks used in a variety of financial instruments and contracts in the euro area.
Interested parties should submit comments for this consultation using the response form provided (see the ECB webpage to download the form). Responses should be sent by email (EuroRFR@ecb.europa.eu) by 17:00 CET on 13 July 2018. An anonymised summary of the replies will be published.
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