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
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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