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.