ECB with a one-off spread between €STR and EONIA

EPA/MAURITZ ANTIN

ECB with a one-off spread between €STR and EONIA


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The European Central Bank has calculated the spread between €STR (euro short-term rates) and the methodology based on EONIA – the Euro OverNight Index Average, which measures the 1-day interbank interest rate for the Eurozone – as recommended by the Working Group on euro risk-free rates and adopted by the European Money Market Institute for the recalibration of the EONIA methodology as of 2 October.

Despite the creation of the €STR, EONIA will continue to exist under a new methodology that makes a direct reference to the €STR, so that EONIA can be used in existing contracts for a limited period to allow for a smooth transition from EONIA to the €STR.

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