[PDF] [PDF] EONIA, EURIBOR, LIBOR - AFTE

[PDF] Transition from EONIA to €STR - LCH

EONIA at a glance: EONIA (“Euro Overnight Index Average”) is the benchmark 1- day interbank interest rate for the Euro zone It is produced by the European 

[PDF] What is the transition from EONIA to €STR (€uro Short - europaeu

16 oct 2019 · EONIA in its current form will not become BMR compliant, given the lack of underlying transactions and high concentration of volumes by only a

[PDF] Télécharger le PDF - Nexialog

La réponse législative de la BCE est donc d'en finir avec le taux EONIA, jusqu'ici externalisé L'UE fait donc « machine arrière » et met en avant le taux ESTR 

[PDF] One-off cash compensation on collateralised derivatives due - PwC

EONIA was redefined as €STR plus a fixed spread of 8 5pbs for a transition period that will end on 31 December 2021 After that time, it is envisaged that EONIA 

[PDF] The new benchmark rate for euro transactions - Deloitte

Finally, ESTER relies on the full range of wholesale overnight bank borrowing operations,14 whereas EONIA is calculated using only interbank lending operations 

[PDF] Réforme des taux de référence : quels enjeux et impacts comptables ?

30 jui 2019 · La modification de ces taux IBOR actuels (EONIA et Euribor, qui servent de référence à la plupart des contrats financiers à taux variable et des 

[PDF] LIBOR Transition FAQs - Barclays

28 juil 2020 · Its replacement, the risk free rate €STR, commenced publication on 2 October 2019 and since this date, EONIA has been calculated daily as € 

[PDF] LIBOR: Eonia and Euribor - Oliver Wyman

The European Central Bank (ECB) is simultaneously developing Euro Short- Term Rate (ESTER), a new euro unsecured overnight interest rate, a possible

[PDF] EONIA, EURIBOR, LIBOR - AFTE

❖ So, from 1 January 2020, new transactions cannot reference EONIA ❖ A transition to ESTER is necessary Page 8 8 Source: ECB MMSR 

[PDF] Consultation on the Potential Replacement Rates for LIBOR - MSCI

Euro OverNight Index Average (EONIA) is the rate at which banks of sound - 0 52 -0 5 -0 48 -0 46 Rate Comparison (EUR) O/N Euro LIBOR ESTR O/N

[PDF] eonia transition

[PDF] ep times 2019

[PDF] ep timesheet

[PDF] ep timeskip one piece

[PDF] epargne a court terme definition

[PDF] epg ecole parisienne de gestalt paris

[PDF] epg ecole parisienne de gestalt à paris

[PDF] epi week calendar 2019

[PDF] epigraph apa style

[PDF] epigraph attribution

[PDF] epigraph meaning

[PDF] epigraph package latex

[PDF] epigraph width latex

[PDF] epinephrine dilution chart

[PDF] episode timeskip one piece

ConnexMe: AFTE2018 #JAFTE2018

Camille de Courcel

Stratégiste taux

BNP Paribas UK

Louis de Longeaux

Avocat

Herbert Smith Freehills

Franck Hebeisen

Consultant et membre du

steeringcommitteede ů'

Cédric Dondain

Responsable trésorerie internationale

et creditmanagement

Servier Laboratoires

Cyril Merkel

Trader in the dealing room

Sanofi & président de la

commission "placements»

ͻCrise de liquidité

ͻCrise de solvabilité2007

ͻWSJ publie un article sur des suspicions de

manipulations sur le Libor

ͻDébut des enquêtes du US DoJsur

manipulations sur le LiborΨ͕ά͕Φ͘͘ĂǀĞĐ

ͻImage des banques ternie

2012
Les régulateurs et la réforme des benchmarks

ͻFinancial StabilityBoard2009

ͻDodd-Franck Wall Street Reformand

Consumer Protection ACT2010

ͻESMA, ABE et AEAPP2011

ͻIOSCO "Principlesfor Financial

benchmarks»2013

ͻBMR publication2016

ͻBMR application2018

Avant

Indice géré par la profession

Pas d'autorité de tutelle du

participants de marché et transactions réelles

Règles déontologiques

"libres» et droit commun

Après

Administration indice par

organisme indépendant (ICE,

Superviseur pour le

participants de marché

Calcul basé sur des

transactions réelles

Règles déontologiques :

réglementation et droit commun Cible Cible

ICE, EMMI ..

BMR compliant

Superviseur

Calcul basé sur des

transactions réelles

Réglementation et droit

commun

Transition

Problématique

Nouveau périmètre

Exposition juridique forte pour les établissements contributeurs et leurs opérateurs

Risque juridique en l'absence de directive adhoc

Cible

Problématique

Coûts

Nouveau périmètre

Marché sous jacent

Exposition juridique

opérationnelle

Risque juridique

transition

Réponses

Couts de souscriptions, adaptations internes

ESTER (EONIA),

Euribor méthode hybride

RFR au lieu indice BOR

Tentation de sortir des panels

(pas possible pour ESTER)

Directive, transactions bilatérales?

Réponse ?

7

EUR Risk-Free Rate: Welcome, ESTER

AdministratorECB

Reporting agents52 banks reporting to the ECB's Money Market Statistical Reporting (MMSR) dataset

Eligible transactionsMoney market, overnight deposits collected by those 52 MMSR agents from their financial counterparties(described

as 'wholesale' by the ECB) Excluded transactionsTransactions smallerthanEUR 1m CalculationsVolume-weighted trimmed mean at 25% level (top and bottom 25% removed) PublicationBy 9am CET on the following business day

TimelineESTER will start to be officially published by October 2019 -in the meantime the ECB is publishing 'pre-ESTER'

ECB Working Group meeting on 13 September 2018: the Working Group unanimously chose to recommended ESTER (Euro Short-Term Rate)

as the new risk-free rate (RFR) for the EUR

EONIA is not BMR-compliant.

So, from 1 January 2020, new transactions cannot reference EONIA.

A transition to ESTER is necessary.

8

Source: ECB MMSR, BNP Paribas

0 5 10 15 20 25
30
35
40
45
50
55
60

Mar 17Jun 17Sep 17Dec 17Mar 18Jun 18

Interbank lendingInterbank borrowing

Wholesale borrowingFinancial corporations borrowing Averagedaily turnover during the Maintenance Period (EUR bn) 0 100
200
300
400
500
600
700
0 10 20 30
40
50
60
70

Mar 17Jul 17Nov 17Mar 18Jul 18

Number of reporting banks

Daily turnover (EUR bn)

Percentage of volumes reported by the largest five banks

Number of transactions (rhs)

MMSR: Financial corpborrowings 5 times greater than interbank 0 10 20 30
40
50
60
70
80

20032005200720092011201320152017

Daily volumes (EUR bn)

Bi-weekly moving average

ESTER versus EONIA: Key differences

Representativeness: MMSR agents versus Panel banksEONIA: Daily volumes below EUR 1bn several times in May (low of

EUR 0.5bn), average EUR 4.3bn in 2018

ESTER: EUR 33bn average daily turnover in 2018

Source: ECB, EMMI , BNP Paribas (* ECB: over the August 2016 ʹmid-Jan 2018 period; total NC = 4%)

Source: EMMI, Bloomberg, BNP Paribas

Source: ECB MMSR, BNP Paribas

ESTEREONIA

Banks participating52 MMSR agents28 Panel banks

Average number of banks

reporting daily vol.3112

Lowest number of banks

reporting daily vol.246

Average number of

countries represented106 EONIA panel52 reporting banksAverage share of daily vol.*28 Panel banks

AT2%NC4%

BEL6%15%4%

FIN2%NC7%

FRA27%36%18%

GER29%22%21%

GRE2%NC4%

IRE2%NC4%

ITA12%1%11%

NET8%17%4%

SPA12%5%14%

LUX, POR, UK4% each

MMSR data

9

ESTER versus EONIA: Statistics

EONIA/ESTER: 91% of the time >8bp and <10bpFrom EONIA to ESTER

Source: ECB MMSR, EMMI, BNP Paribas

Source: ECB, EMMI, BNP Paribas (all data based on MMSR data except for EONIA) -0.60 -0.55 -0.50 -0.45 -0.40 -0.35 -0.30 -0.25 Mar 17May 17Jul 17Sep 17Nov 17Jan 18Mar 18May 18Jul 18

EONIAInterbank lending

Interbank borrowingWholesale borrowing

Non financials (implied)ESTER

Non-bank financials (implied)

Averageinterest rates through Maintenance Periods (%) 0 5 10 15 20 25
-0.50 -0.45 -0.40 -0.35 -0.30 -0.25 -0.20 -0.15 -0.10

Mar 17Jun 17Sep 17Dec 17Mar 18Jun 18

Pre-ESTEREONIAESTER/EONIA spread (bp, rhs)%

EONIA/ESTER statsMar-17 to Jul-18

Min5.9

Avg9.0

Median8.8

Max21.5

]8;10[91%

From 1 Aug 2016 to 15 Jan 2018

Min5.2

Avg9.1

Max21.5

From 2 June 2008 to mid-Jan 2018*

Min0.0

Avg7.7

Max42.3

EONIA vs ESTER(bp)

EONIA Panel banks lending vs MMSR interbank lendingJan-17 to Jul-18-0.8 MMSR interbank lending vs borrowingJan-17 to Jul-186.2 Interbank borrowing vs all financials (trimmed)Jan-17 to Jul-183.9

TrimmingAug-16 to Jan-181.5

10 Transition to ESTER: Methodology to be agreed with key stakeholders

18 October 2018: Criteria for recommending an EONIA transition path

19 December 2018: Recommendation on the transition path

Q1 2019: Consultation on proposed transition

Q3-Q4 2019: EONIA follows the set transition path after ESTER starts being published betweenEONIAandESTER.

Successor rate transition

apparentconceptualsimplicity? 2

Market-led transition: ESTER co-exits with EONIA

Withoutatransitionperiod(puremarketled).

1January2020?

1

Potential

paths 11

Timeline for reform of EURIBOR & EUR RFR

EURIBOR: Live

testing of hybrid methodology May 2018
July 2018
Sep 2018
Nov 2018
Dec 2018

Working group

choose to recommend

ESTER as the risk-

free rate for euro Oct 2019

ECB to publish ESTERby

October 2019

EURIBOR: Second

consultation

EURIBOR: Phased transition to hybrid

methodology to be completed by end 2019

EURIBOR: Key changes come

into effect on 3 Dec:

Individual contributions

no longer published;

Discontinuation of 2w, 2m

and 9m tenors;

Discontinuation of 30/360

and Act/365 basis. Oct 2018
Dec 2019

Working group to

recommend a transition path to ESTER

Public

consultation on term structure methodology Mar 2019

Selection of

term structure methodology

EURIBOR: EMMI file for

authorisation with FSMA Jun 2019

ESTER/EONIA:

Consultation on

proposed transition

EONIA follows

transition path set 12

Transition across currencies: Overview

EURGBPUSDCHFJPY

IBORs

EURIBOR to move to a hybrid

methodology (based on a mix of transactions and expert judgement).

ї EMMI will file for authorization in Q2

2019 then will gradually implement the

new methodology (to be completed by end 2019). + TIBOR: reform completed in

July 2017

Risk-Free Rate

(alternative to IBORs) ESTER (Euro Short-Term Rate)

Reformed SONIA

(Sterling Overnight Index Average) SOFR (Secured Overnight Rate) SARON (Swiss Average

Rate Overnight)

TONAR (uncollateralized overnight call rate)

What?Unsecured overnight borrowing rate

based on 52 MMSR reporting agents' borrowings from all of their financial counterparties.

Volume-weighted mean with trimming

applied at the 25% level (50% of the transactions are used for the calculation).

Unsecured overnight borrowing rate. The

reformed rate includes overnight unsecured transactions negotiated bilaterally on top of those already included (transactions arranged via brokers).

The averaging methodology has also

changed: the reformed rate is a volume- weighted mean with trimming applied at the 25% level.

Secured overnight financing rate based on (i)

the General Collat Finance repo, (ii) tri-party ex-

GCF and (iii) FICC's DVP repo service.

DQGERUURZLQJUHOHYDQWWRquotesdbs_dbs17.pdfusesText_23