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.
Following the announcement date, which is expected to be in the fourth quarter of 2023, Refinitiv Term €STR will be renamed FTSE Term €STR. This change will have no impact on the methodology, terms of use or administrator of the benchmark.