Clearing houses postpone euro discounting switch to July
CCPs opt for five-week extension after working group proposal for September delay fails to find consensus
The move to a new discount rate for euro interest rate swaps – initially planned for June 22 – has been delayed by five weeks in response to disruptions from the Covid-19 pandemic.
Clearing houses will now ditch Eonia and begin using the euro short-term rate, or €STR, to discount future cashflows and calculate interest payments on collateral – known as price alignment interest (PAI) – on July 27.
“After extensive dialogue and careful consideration we have decided to provide for a five-week
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Isda to finalise drafting updated FX definitions this year
New definitions on disruption events and fallbacks are core focus
Treasury clearing timeline ‘too aggressive’ says BofA rates head
Sifma gears up for extension talks with incoming SEC and Treasury officials
SG looks beyond equity derivatives in new markets push
French bank aims to expand fixed income business to achieve “more stable” revenues across asset mix
Does no-hedge strategy stack up for mag seven mavericks?
At Amazon, Meta and Tesla, the lack of FX hedging might raise eyebrows, but isn’t necessarily a losing technique
HKMA’s renminbi repo plans boost hopes for onshore access
Market participants optimistic that new provisions for offshore repos of onshore bonds is first step towards mainland access
Euro swap spread volatility challenges Bund’s hedging role
German Bunds face scrutiny as euro swap spreads turn negative, forcing traders to rethink hedging strategies
UBS sterling rates head departs
Ian Hale left the Swiss bank in December
Bloomberg offers auto-RFQ chat feed – but banks want a bigger prize
Traders hope for unfettered access to IB chat so they can build their own AI-enhanced trading tools
