Virus turmoil threatens swaps discounting switch

Clearing houses expect deadlines to be met, but swaps users are not so sure

Euro-T+1

Derivatives users are warning that the deadlines for shifting interest rate swaps to new discount rates may need to be pushed back amid the coronavirus disruption, throwing doubt on a key plank of the industry-wide push to wean markets off the Libor family of benchmarks.

Clearing houses are due to begin using new risk-free rates to discount the future cashflows of swap contracts and pay interest on collateral later this year. Cleared euro interest rate swaps are set to switch from Eonia to €STR

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