Buy side looks to cash in on euro swap pricing anomaly

Fixed rates on long-dated €STR swaps now above their Euribor equivalents, tempting some to shift to the new benchmark

Euro rate

With the Euribor benchmark not going anywhere soon, asset managers in the eurozone haven’t had a lot of motivation to abandon the still-dominant swap rate. But a pricing anomaly at the long end of the curve has tempted some to take the leap and move onto the bloc’s fledgling risk-free rate.

Euro interest rate swaps linked to the euro short-term rate (€STR) typically have fixed rates that are lower than the equivalent tenor of Euribor swaps. But a combination of €STR-linked bond issuance

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