Refinitiv Launches Term €STR Prototype
Posted by Colin Lambert. Last updated: October 28, 2022
In response to demands from regulators for robust fallback language to enhance legal certainty and BMR compliance in the event of permanent Euribor discontinuation, as well as the shift away from Ibors more generally, Refinitiv has commenced publication of a prototype forward-looking euro-denominated interest rate, Refinitiv Term €STR.
The new products are available daily in one week, one, three, six and 12 month tenors and adopt a waterfall methodology that uses dealer-to-client bids and offers quotes from Tradeweb’s institutional trading platform as the primary source and an integrated fallback based upon compounded €STR as the secondary source. The Tradeweb data is collected over 09:00-16:00CET on the day before publication to ensure sufficient quotes are available for a robust prototype, the firm says.
“Today’s introduction of a prototype forward-looking term €STR rate will support market participants as they commence testing in preparation for the introduction of robust fallback language in Euribor contracts,” says Jacob Rank-Broadley, head of Libor transition, benchmarks & indices at Refinitiv. “This is a key first step towards building a robust regulated benchmark.”