The EONIA Swap Index will not be published as of July 1st 2014. The Euribor-EBF decided on this as number of contributing banks has fallen. Only 8 banks participate in the EONIA Swap. The swap ran since June 2005 – a total of just over 9 years.
This measure has been cited many times in correlation with ECB decisions and liquidity. Spikes in this benchmark interest rate have raised expectations of actions from the European Central Bank to act.
Here is the news from the European Banking Federation (EBF):
Euribor-EBF announces the discontinuation of the Eonia Swap Index as of 1 July 2014.
Like other estimate benchmarks based on voluntary submissions, Eonia Swap Index has suffered from repeated withdrawals from contributing banks. With only 8 remaining contributing banks, the Eonia Swap panel has reached a critical point where the robustness and the continuity of the index cannot be maintained
The Eonia Swap Index was launched on 20 June 2005 following a demand from a large number of European banks. Composed of 25 European and International banks, its aim was to reflect the interest rate swap in the interbank market, where one party agrees to receive/pay a fixed rate to another party, against paying/receiving a floating rate named EONIA.
The historical Eonia Swap rates will continue to be available at http://www.euribor-ebf.eu/eoniaswap-org/eoniaswap-rates.html
The Effective Overnight Index Average has been falling sharply in recent weeks, with all time frames diving below 0.1%.
The euro has been pressured down since the ECB set a negative deposit rate in June. While the effect was not immediate and the weakness is not pronounced against the retreating US dollar, the common currency seems to be affected by the move.
It is unclear how the termination of EONIA will impact the euro or the European banking system at this point.
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