Long-end euro swap pricing anomaly remains largely untapped

Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers


A pricing anomaly at the long end of the euro swap curve persists a year after it first appeared, but a range of factors mean most investors have been unable or unwilling to take up the resulting opportunities.

Interest rate swaps linked to the risk-free euro short-term rate (€STR) would, under normal circumstances, have lower fixed rates than swaps linked to Euribor because of the credit risk premium factored into the latter benchmark. However, since last May the order of things has reversed

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