Buy side looks to cash in on euro swap pricing anomaly

Fixed rates on long-dated €STR swaps now above their Euribor equivalents

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