Refinitiv launches regulated Term €STR benchmark for use as robust fallback or reference rate
Effective today, Refinitiv, a London Stock Exchange Group (LSEG) business, launches a forward-looking euro risk-free interest rate benchmark, Refinitiv Term €STR, to support market participants comply with EU Benchmarks Regulation and meet Working Group on Euro Risk-Free Rates recommendations by including robust fallbacks in their EURIBOR® referencing contracts.
Refinitiv first launched the prototype Term €STR rate in October 2022. In June 2023, Refinitiv enhanced the prototype by supplementing quote data from Tradeweb with €STR Overnight Index Swap (OIS) executed trade data from LCH SwapClear and extending the collection window so it covers 09:00-18:00CET from the previous business day.
Refinitiv collected industry feedback on the enhanced prototype via a consultation paper and client interviews and has updated the calculation, publication time and refix policy based on this feedback.
Jacob Rank-Broadley, Head of LIBOR Transition, Benchmarks & Indices at Refinitiv, said:
“Refinitiv Term €STR is the only term rate benchmark directly based on more than five trillion euros of OIS executed trades. Market participants can now confidently adopt this regulated benchmark as a robust fallback or reference rate.”
Effective today, Refinitiv Term €STR transitioned from prototype to production meaning that it is now regulated and licensed firms can use the benchmark in financial contracts.