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Working group on euro risk-free rates


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The working group on euro risk-free rates was initially established  in 2018 by the ECB, together with the Belgian Financial Services and Markets Authority, the European Securities and Markets Authority and the European Commission in order 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 group recommended on 13 September 2018 that the euro short-term rate (€STR) be used as the risk-free rate for the euro area.

The ECB published the €STR for the first time on 2 October 2019 and as of 15 April 2021 the ECB also started publishing compounded €STR average rates with a 1 week, 1 month, 3 months, 6 months and 12 months tenor together with a compounded index based on €STR to derive compounded rates for any non-standard tenor.

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See the content published by the European Securities and Markets Authority (ESMA) here: Source link

Regulator Information

Abbreviation: ESMA
Jurisdiction: ESMA

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