Non-cleared euro swaps market wrestles with discount rate switch

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

swaps-discounting 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.

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