Financial markets data and infrastructure company Refinitiv has announced that it is commencing publication of a prototype forward-looking euro denominated interest rate, Refinitiv Term €STR.

Refinitiv Term €STR is available daily in 1 week, 1 month, 3 months, 6 months and 12 months tenors. It adopts a waterfall methodology that uses dealer-to-client bids and offers quotes from Tradeweb’s institutional trading platform as the primary source and an integrated fallback based upon compounded €STR as the secondary source. The Tradeweb data is collected over 09:00-16:00CET on the day before publication to ensure sufficient quotes are available for a robust prototype.

Firms are able to receive Refinitiv Term €STR free of charge through the full suite of Refinitiv products, including Refinitiv Workspace, Refinitiv Eikon, Refinitiv Real-Time and Refinitiv DataScope.

The industry-led working group on euro risk-free rates recommends contracts and financial instruments referencing EURIBOR, should include robust fallback language to enhance legal certainty and BMR compliance in the event of permanent EURIBOR discontinuation. Furthermore, the working group recommends forward-looking €STR term rates are suitable fallbacks for specific EURIBOR-referencing cash products.

Jacob Rank-Broadley, Head of LIBOR Transition, Benchmarks & Indices at Refinitiv, said:

“Today’s introduction of a prototype forward-looking term €STR rate will support market participants as they commence testing in preparation for the introduction of robust fallback language in EURIBOR contracts. This is a key first step towards building a robust regulated benchmark”.

Refinitiv said that it has many years’ experience designing, calculating, governing, administering and publishing financial benchmarks that lie at the heart of the global financial system.

Refinitiv

Refinitiv, an LSEG (London Stock Exchange Group) business, is one of the world’s largest providers of financial markets data and infrastructure. Refinitiv is powering participants across the global financial marketplace. It provides information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence. By combining a unique open platform with best-in-class data and expertise, Refinitiv connects people with choice and opportunity – driving performance, innovation and growth for customers and partners.