LCH sets date for euro swap discounting change

Clearer will make switch for €91 trillion in swaps next June


LCH plans to change the rate used when discounting euro-denominated swaps in June 2020 – a step that will instantly alter the value of trades with a current notional of €91 trillion. Compensation will be paid in cash by those who benefit from the change, to those who lose out.

The clearing group’s SwapClear service will switch to the euro short-term rate (€STR) from the doomed Eonia benchmark in a single step, applying a flat version of the new rate with no additional spread – a policy that

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