20181220-法国巴黎银行-EUR__Scheduled_end_of_EONIA_-_Move_to_ESTER_7页_678kb

FLASH | EUROZONE: EONIA to ESTER Transition Summary

Core Content

This document outlines the transition from EONIA (Euro Overnight Index Average) to ESTER (Euro Short-Term Rate), as recommended by the EUR RFR (Risk-Free Rate) Working Group. The transition is a key regulatory development in the eurozone, driven by the EU Benchmark Regulation (BMR), which aims to ensure that benchmark rates are robust, transparent, and representative of market conditions.

Key Recommendations

• Transition Methodology: The Working Group recommends the use of the "tracker" methodology for the transition from EONIA to ESTER.
• Effective Date: The transition is expected to take place before 1 January 2020, with EONIA being discontinued from the end of 2021.
• Spread Calculation: The spread between EONIA and ESTER will be based on a simple average of at least 12 months of data, with a 15% trimming mechanism to exclude outliers.
• Pre-ESTER Spread: Using the latest data, the pre-ESTER spread is estimated at 8.8 basis points, with the trimming mechanism fluctuating between 8.8-8.9 basis points since March 2018.
• Recalibration: EONIA will be recalibrated on the first day of ESTER's publication, which is expected by October 2019.
• Market Participation: The Working Group encourages market participants to replace EONIA with ESTER as the basis for collateral interest in both legacy and new trades with counterparties.

Parallel Rates

• Assuming EURIBOR becomes BMR-compliant, the market will have three EUR rates running in parallel until at least the end of 2021:
  • EONIA (until end-2021)
  • ESTER (from October 2019)
  • EURIBOR (if compliant)

Legal and Regulatory Notes

• This document is a marketing communication and not investment research, as per MiFID II regulations.
• It is intended for Relevant Persons (Professional Clients and Eligible Counterparties) and may not be suitable for all investors.
• No investment advice is provided, and users are advised to consult independent advisors.
• Performance data included is based on simulations and may not reflect real-world conditions such as liquidity constraints or transaction costs.
• Indicative prices are not actual transaction terms and are subject to change.
• The document may contain conflicts of interest due to BNPP's potential involvement in the markets or transactions discussed.

Disclaimer

• The information is not guaranteed to be accurate or complete.
• BNPP disclaims all liability for any losses arising from reliance on the document.
• The document may contain non-independent research, and users should be aware of the potential for conflicts of interest.
• The document is not a prospectus and is not intended for use in Canada, the U.S., or other jurisdictions without proper authorization.

Additional Notes

• The document includes important disclosures related to options, ETFs, and securities not registered under U.S. laws.
• It is produced by BNP Paribas and distributed by various branches across the EU, Switzerland, and other regions.
• Users must ensure they are authorized recipients before accessing or using the document, and it is provided confidentially.

Conclusion

The transition from EONIA to ESTER is a significant step in aligning euro benchmark rates with EU regulatory standards. The recommended methodology ensures a smooth transition, with EONIA being phased out by the end of 2021. Market participants are advised to prepare for this change and replace EONIA with ESTER where appropriate. The document serves as an informational and discussion tool, not as investment advice or a prospectus.