Users of EONIA -linked instruments are advised to start preparing for a one-day delay in the publication of the benchmark that comes into effect from October . The lag means each day’s rate will be published the following morning, affecting when market participants run portfolio calculations. The move from T to T+1 results from changes recommended by EMMI on euro RFRs, which require EONIA to delay publication of EONIA until after ESTR has published, which will be EONIA . The March 2019 lag will impact portfolio calculations and may also necessitate the re-papering of some longer-term contracts. Relevant document: Recommendations for ESTR of the WG on euro RFRs ~ EMMI ~ March 2019
Users of EONIA -linked instruments are advised to start preparing for a one-day delay in the publication of the benchmark that comes into effect from October . The move from T to T+1 results from changes recommended by EMMI on euro RFRs, which require EONIA to delay publication of EONIA until after ESTR has published, which will be EONIA . The March 2019 lag will impact portfolio calculations and may also necessitate the re-papering of some longer-term contracts. Relevant document: Recommendations for ESTR of the WG on euro RFRs ~ EMMI ~ March 2019