
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users

Clearing houses in Europe are mulling ways to automatically convert outstanding euro overnight index average swaps to the euro short-term rate, or €STR, ahead of Eonia’s demise in January 2022.
Eurex and LCH, the largest central counterparties (CCPs) for euro swaps, are gauging member appetite for a co-ordinated ‘big bang’ switch, which would see outstanding contracts re-hitched to the replacement overnight rate before Eonia’s death.
“We’ve discussed this with a set of clients and we do see
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
Regulation
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
Receive this by email