Libor webinar playback: spotlight on euros

Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR

Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR as Eonia nears its demise

Panellists

  • Cornelia Holthausen, deputy director general for general market operations, European Central Bank
  • Philip Whitehurst, head of service development for rates, LCH
  • Jean-Christope Machado, interest rate strategist, Natixis
  • Meryeme Souilmi, head of G10 rates derivatives trading for Europe, Societe Generale
  • Helen Bartholomew, editor at large, Risk.net

The next 12 months will determine how rates markets cope with the death of Libor.

With transition efforts now entering a critical phase, Risk.net’s editorial team is running a series of quarterly webinars, breaking down the issues facing the market, tracking the progress made and highlighting the remaining questions. 

This quarter’s webinars included a session focusing on the euro market, where the primary interest rate – Euribor – is set to stay. Subscribers can replay the September 23 webinar above. A separate session on sterling markets, broadcast a day earlier, is available here

The discussion began with an update on the euro RFR working group’s fallback consultation, then explored struggling liquidity in the new euro short-term rate in the run-up to January 2022, when Eonia will be discontinued. Trading in the new rate has stalled since the Covid-19 pandemic, and a July switch to using €STR for discounting euro swaps at CCPs has yet to spur liquidity. 

Later, the debate turned to forward-looking term rates, which an audience poll deemed vital for building liquidity in the new benchmark. It’s a classic chicken-and-egg problem – the potential liquidity catalyst can only be constructed via a liquid derivatives market. Participants discussed whether the more liquid Eonia market, which trades at a fixed basis to €STR, could be used as an input for building a term RFR

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

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