Update on data source change for the calculation of EUR MAF for historical EUR transactions in the calculation of L2.3
News
As announced on 17 April, the 2022 the annual review of STIBOR suggested minor adjustments regarding data sources used in MAF for L2.3. These were implemented on May 2, 2023, apart from the change of data source for the calculation of EUR MAF in L2.3 which was announced to be implemented at a later stage.
The implementation of the EUR MAF data source change from ICE EURIBOR futures to Efterm, a forward-looking €STR-based term benchmark rate administered by the European Money Market Institute (EMMI), will begin in January 2024 and will be fully implemented in the calculation of STIBOR on 23 January 2024.
The revised STIBOR Calculation Methodology that reflects this change of the data source comes into effect on 23 January 2024.