LCH and Eurex create fix for floating repo’s Eonia problem

Clearing houses to adjust repo balances the following day once rate moves to T+1

Euro-T+1

Clearing houses LCH and Eurex will settle floating rate repos in two stages come October, as the industry adjusts to the next-day calculation of the European Central Bank’s new euro short-term rate (€STR).

The clearers say they will use the most recent floating rate for trade settlement at the end of the day, and if needed make up the difference with a so-called delta payment when the new fixing is published the following day. 

“Our approach is aimed at getting to the most accurate solution

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