Virus turmoil threatens swaps discounting switch

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


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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