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Working group on euro risk-free rates

The working group on euro risk-free rates was established 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). This is a private sector working group; the ECB provides the secretariat and attends as an observer only.

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 and is now focused on supporting the market with the transition to the €STR.

The ECB published the €STR for the first time on 2 October 2019, reflecting trading activity on 1 October 2019.

Consultations on EURIBOR fallback trigger events and €STR-based EURIBOR fallback rates

On 23 November, the working group on euro risk free rates published two consultations:

These consultations are designed to gather views on the events that would trigger a EURIBOR fallback and which €STR-based rates would be most appropriate in the event of a fallback scenario.

Feedback on these consultations will support the final recommendations on both topics, to be published by the euro risk-free rate working group by the end of Q1 2021.

Responses to both consultations should be sent to by 15 January 2021 17:00 CET using the following response forms:

The ECB will evaluate all responses and prepare anonymised summaries of the feedback in cooperation with:

  • The European Securities and Markets Authority (ESMA) for the consultation on EURIBOR fallback trigger events
  • The European Commission for the consultation on €STR-based EURIBOR fallback rates

These summaries will be published on the ECB’s website and considered by the working group at its meeting on 18 February 2021.

Why is a smooth transition to the €STR important?

Careful transition planning by market participants is needed to minimise disruption to markets and consumers and to safeguard the continuity of contracts to the greatest extent possible, including contracts that currently reference a term rate rather than an overnight rate.

How should the market transition from EONIA to the €STR?

The working group has analysed the impact of the transition from EONIA to the €STR from different perspectives. The outcome of this analysis is reflected in several documents which include recommendations on how to smoothen the transition to the €STR before EONIA is discontinued on 3 January 2022.

Further information on the recommendations made thus far is available in the section on how the market should transition from EONIA to the €STR.

€STR-based fallbacks for EURIBOR

The working group is also looking at identifying €STR-based fallbacks for EURIBOR for a scenario in which EURIBOR may permanently cease to exist. Both backward and forward-looking rates are being considered as options.

The two public consultations outlined above will inform the final recommendation from the working group by the end of Q1 2021.

Further information is available on the work completed thus far on €STR-based fallbacks for EURIBOR.

Communication toolkit

Good communication is important to enable a smooth transition to the €STR. The working group on risk-free rates has prepared a toolkit containing materials to help interested parties with their own communication and education efforts. This communication toolkit currently consists of:

Structure of the group

The working group is chaired by a private sector representative and the ECB provides the secretariat. The working group includes 21 credit institutions as voting members, five institutions as non-voting members and two institutions as invitees.

The group was set up by the ECB, together with the Financial Services and Markets Authority, the European Securities and Markets Authority and the European Commission. These four public institutions have observer status in the group.

In addition, four subgroups have been established by the working group, to address the issues of contract robustness, cash and derivative products, risk management and financial accounting and communication issues.

Participation in the substructures of the working group

Market participants are welcome to apply to the subgroups of the working group on euro risk-free rates in order to broaden the range of views and ensure the full financial industry is represented.

Applicants should fill in the dedicated application form provided below and send it by email to Applicants are expected to provide a brief overview of their motivation for applying and state their willingness to dedicate time and resources to any work streams to which they are allocated.

Application form

Commitment to transparency

The working group regularly consults market participants and end users, and gathers feedback from other public authorities. Its terms of reference are publicly available and the group regularly reports on its meetings. This is to ensure transparency throughout the entire process of identifying and adopting new risk-free rates. Ensuring broad market acceptance is vital for the effective functioning of any alternative to existing benchmark rates.

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