CCPs mull ‘big bang’ €STR swap conversion

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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

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