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
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