Slump in €STR swap volumes at LCH leaves market guessing

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

euro-short-term-rate-volumes-slump

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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