Interest rate benchmarks

What? The European Commission has nominated the replacement rates for two interest rate benchmarks, the Swiss Franc London Interbank Offered Rate (CHF LIBOR) and the Euro Overnight Index Average (EONIA).

When? 22 October 2021

Why? Interest rate benchmarks – also known as reference rates, or benchmark rates – are publicly accessible interest rates. They form the basis for a wide range of financial contracts, for instance mortgages and bank overdrafts. At the end of this year, CHF LIBOR and EONIA will cease to be published. However, given that there will still be outstanding contracts that reference these two reference rates, the Commission has taken measures to ensure financial stability and provide certainty for individuals and businesses. As of 1 January 2022, all references to CHF LIBOR and EONIA in contracts and financial instruments will automatically be replaced with references to new risk-free rates. CHF LIBOR references will be replaced by the new Swiss Franc risk-free rate SARON, while EONIA references will be replaced by the euro risk-free rate €STR. In both cases, an adjustment spread is applied so that undue value transfer is limited.

Want to know more? Read more on the CHF LIBOR and the EONIA