Slump in €STR swap volumes at LCH leaves market guessing

Market participants are counting on July 27 discounting switch to revive key euro benchmark


When volumes in swaps linked to the euro short-term rate (€STR) fell off dramatically in March, traders expected to see a V-shaped recovery. Four months later, many are scratching their heads about why they are still languishing.

Total monthly €STR swap volumes at LCH peaked at €181.31 billion ($213 billion) notional in February before collapsing to €8.72 billion in May. In June, volumes rebounded to €63.99 billion – not even half the February level.

The common explanation is that many market

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