IBOR Transition

New reference interest rates on Capital Markets: Our experts support you comprehensively

The new overnight interest rate for the euro zone - Euro Short Term Rate

EONIA continues to exist only as a dependent interest rate = €STR + 8.5 basis points (bp)

  • By means of historical comparison, a spread of 8.5bp between EONIA and €STR was determined. (chart below)

  • In order to facilitate a transition between the rates, EONIA was created on 2 October 2019 as a dependent interest rate of €STR with a fixed premium of 8.5bp.

  • In order to facilitate a transition between the rates, EONIA was created on 2 October 2019 as a dependent interest rate of €STR with a fixed premium of 8.5bp.

  • €STR is calculated by the ECB and represents the cost of overnight lending, which around 50 banks report daily to the ECB. The calculation uses unsecured transactions from one million euros upwards. The €STR is calculated as a volume-weighted average excluding the marginal values (25% trimming).

  • €STR is published every TARGET2 working day at 08:00 CET in the morning and refers to transactions of the previous day (T-1) that are due on T.

  • The Working Group on Euro Risk-Free Rates (WG RFR) recommends €STR as the official successor to EONIA after public consultation.

  • EONIA will be published for the last time by the European Money Market Institute (EMMI) on 3 January 2022 (valid for 31 December 2021).

Products/Contracts Concerned:

If you have any questions regarding the EONIA conversion, please contact your usual contacts at DZ BANK or a contact person named on the IBOR Transition page.