Non-cleared euro swaps market wrestles with discount rate switch

Buy-siders prepare for valuation change from move to €STR

swaps-discounting
Risk.net montage

Buy-side firms face valuation problems and possible delays in amending collateral contracts for non-cleared euro interest rate swaps ahead of Eonia’s end date, experts warn.

Swaps holders are looking to switch the rate for collateral payments from Eonia to the euro short-term rate, or €STR, in thousands of legacy contracts. This would bring the swaps in line with the discount rate used for cleared trades after a recent change at major clearing houses.

The work requires manually updating

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: