Eonia death will hit valuations and OIS market – expert

Working group hears end of Euribor by 2020 would threaten financial stability


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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