Transition from EONIA to the euro short term rate (€STR)

Dear Clearing Member,

The Euro short-term rate (€STR) will begin to be published on 2 October 2019, following the recommendation of the ECB euro risk-free rates working group on the replacement of the euro overnight index average (EONIA). At the same time, EONIA’s methodology will be recalibrated as €STR plus a fixed spread of 8.5 basis points.

The change of the risk-free rate from EONIA to €STR has effects across different products and consequently clearing members, clients as well as vendor systems.

Further details of the impact to each of LCH’s services is available from our respective product teams and at the links below, as we seek to support a successful transition from EONIA to €STR in all markets we serve.

RepoClear SA:

Member Circular – Transition from EONIA to €STR – Testing opening

SwapClear:

Member Circular No 4044

Collateral:

From 1 October 2019, LCH will continue using the re-calibrated EONIA rate (incorporating the T+1 new methodology). Cash collateral balances will be remunerated based on the new rate available on 2 October 2019.

Kind regards,

LCH

For more information, please contact the Member Sales & Relationship Team at MembershipSales@lch.com