Eonia death will hit valuations and OIS market

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The end of Europe’s overnight rate, Eonia, will cause widespread disruption to the interest rate swap market and undermine derivatives valuation efforts, according to a “best case” scenario outlined by a key euro working group. Under a “worst case” scenario, the sudden end of Euribor would result in “serious financial stability issues” after 2020.

“This is the only public document that puts this [the end of Euribor by 2020] as a scenario,” says one benchmarks expert.

According to minutes and

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