IBOR Reform


The IBOR reform is the biggest change in the capital markets since the introduction of the Euro at the start of the 21st century. For the past decade, the global regulatory community has driven a reform of the interbank offered rates (IBORs) in order to renew confidence in these critical benchmarks.

In the Eurozone, the Euro Interbank Offered Rate (EURIBOR) and the Euro Overnight Index Average (EONIA) have been considered critical benchmarks. In September 2018, the ECB's Euro Risk-Free Rate Working Group recommended that the Euro Short Term Rate (€STR) as the replacement rate for EONIA, while also providing the basis for developing fallbacks for contracts referencing EURIBOR. With the new hybridized EURIBOR now compliant to the EU’s Benchmarks Regulation, Eurex turned its focus to the overnight rate transition from EONIA to the €STR, launching €STR swaps in November 2019 and coordinating with global CCPs on the July 2020 EONIA-€STR Discounting/Price Alignment Interest (PAI) switch. 

EONIA has been officially discontinued as of the start of 2022, and transition to the €STR on Eurex has been completed with all legacy EONIA transactions shifted to the €STR rate. Furthermore, the final CHF, GBP, and JPY Libor references were transitioned into their respective risk-free rates in December 2021.

IBOR Reform General Information

Information on the IBOR Reform at Eurex and abroad, including a breakdown of our monthly EUR OIS volumes

RfR Transition at Eurex

Information from our latest Eurex Clearing Focus Call on OTC Clear Release 11.3, including: 2021 ISDA definitions, EONIA to €STR conversion, and transition of CHF, GBP and JPY LIBOR references to RfR

ECB working group on euro risk-free rates

The working group on euro risk-free rates was established to identify and recommend risk-free rates that could serve as a basis for an alternative to current benchmarks used in a variety of financial instruments and contracts in the euro area, such as EONIA and EURIBOR. The ECB provided the group’s secretariat from its establishment in September 2017 until May 2021.

ESMA working group on euro risk-free rates

From May 2021 the secretariat has been provided by the European Securities and Markets Authority (ESMA), which ensures the publication of any working group materials and documents on its website. Eurex is a full member of this working group.


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Market Status


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