Discounting delay risks swaptions mess – Eurex

Swaptions hurdles seen as yet another reason to keep June €STR switch date

Euro clock

A delay to the switchover of the discount rate for euro-denominated interest rate swaps could cause problems for the pricing of swaptions, according to an executive at Eurex.

Central counterparties CME, Eurex and LCH are due to switch the rate used for discounting the future cashflows of swap contracts and paying interest on collateral from Eonia to €STR between June 19 and 22. This will result in a valuation change for existing swaps, but also for swaptions that deliver into those cleared

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