European Money Markets Institute Announces Consultation on Euro Overnight Index Average Methodology Changes


On March 20, the European Money Markets Institute (EMMI), the administrator of the euro overnight index average (EONIA), announced a consultation on changes to the methodology for calculating EONIA. This follows the working group on euro risk-free rates’ recommendations to EMMI to take various steps to ensure a smooth transition from EONIA to euro short-term rate (€STR).

The consultation seeks feedback on:

  • Modifying the current EONIA calculation methodology for a limited period to use €STR plus a spread. The spread represents the economic difference between the underlying interests the two rates measure (that is, an interbank lending rate versus a wholesale borrowing rate). The spread will be fixed for the period EONIA is calculated using this new methodology and based on data collected over a period of at least 12 months and calculated as a 15% trimmed mean of the observations.
  • Changing the publication time of EONIA from T (7pm CET) to T+1 (11am CET).
  • Publishing EONIA using the new methodology for the first time on October 2 as this will be the first day €STR is published.
  • Discontinuing publication of EONIA on January 3, 2022, which will reflect the market on December 31, 2021.