The Eonia Swap Index is a new derivative market reference rate for the euro sponsored by the FBE and EuriborâACI with the support of the recently acquired Telerate business. This new index will promote the development of new markets and products, providing a reference rate for long term swaps, creating a forward rate agreement market on Overnight Index Swaps and adding volume to the basis swap market. Reuters will initially collate data from a panel of 25 international banks across a range of maturities from one week to 12 months using specialist, proprietary contribution software.
"The Eonia Swap Index will be an extremely useful tool for the financial community allowing the development of new markets and products and will provide much needed reference prices for benchmarking purposes," said Achim Kraemer, Director of Global Markets Finance, Deutsche Bank.
"The EONIA SWAP INDEX will benefit from an increasingly homogenous and integrated swap market in the euro area, an impressive panel of quoting banks, a solid code of conduct setting out strict rules for the panel banks and an independent steering committee of market experts which oversees the application of the Code of Conduct and monitors market developments," said Guido Ravoet, FBE Chairman.
"The European Banking Federation chose Telerate to distribute The Eonia Swap Index because of its proven track record in publishing timely, accurate and reliable fixings. The Eonia Swap Index will happen as a result of the successful partnership between the FBE, Euribor-ACI and Telerate," he added.
An âEonia swapâ is an interest rate swap transaction, where one party agrees to receive/pay a fixed rate to another party, against paying/receiving a floating rate called an Eonia. The Eonia Swap Index is the average rate at which at 16:30 CET a representative panel of prime banks provide daily quotes, rounded to three decimal places, that each panel bank believes is the mid market rate of Eonia swap quotations between prime banks. It is quoted on an actual/360 day basis. The number of panel banks used is, both, high enough to reflect faithfully the diversity of the Eonia swap market in the euro-zone and worldwide and low enough to ensure an efficient and manageable panel consisting of prime banks.
The Eonia Swap Index will be set and distributed by Reuters at 16.30 CET on each business day, providing risk managers with a solid base for the daily evaluation of positions.
"Calculating fixings such as the Eonia Swap Index is a long-time strength of Telerate. Under the Reuters portfolio, the launch of this new index further enhances our combined position as an established global distribution platform for benchmark data," said Mark Robson, Global Head of Treasury and Fixed Income services, Reuters. "Weâre honoured to work with the FBE on this important calculation and look forward to providing the financial community with a superior quality benchmark fixing, delivered with the highest degree of accuracy and speed."