On 17 October 2019, the European Central Bank’s (ECB) working group on euro risk-free rates published a report on the risk of management implications of the transition from the current euro overnight index average (EONIA) to the ECB’s euro short-term rate (€STR) and the introduction of €STR-based fallbacks for the Euro Interbank Offered Rate (EURIBOR). The report focuses mainly on the risk management implications for banks, but also touches on additional challenges facing the asset management and insurance sectors.

The report presents an analysis of and recommendations to: (i) general risk management considerations; (ii) risk management implications of transitioning from EONIA to €STR; (iii) risk management implications of €STR-based fallback rates for EURIBOR; and (iv) additional risk management considerations for the asset management and insurance sectors.