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Working group has assessed different fallback arrangements for products referencing €STR, the new overnight euro risk free rate.
Working group recommends market participants to consider existing methodological review procedures of €STR and the policies and procedures in case of the possible cessation of the €STR, along with fallback provisions provided in the EONIA to €STR Legal Action Plan, as sufficient contingency to serve as fallback measures for €STR.
Based on the assessment the working group has decided to recommend that market participants consider the measures that might be taken by the ECB as part of the regular review of the €STR methodology, as well as the policies and procedures to be followed in the event of the possible cessation of the €STR, along with the fallback provisions provided by the working group in the EONIA to €STR Legal Action Plan. The working group is of the opinion that this combination will provide sufficient contingency as fallback measures for the €STR.