Eonia ‘almost meaningless’, says Eurex

Volumes in Europe’s unsecured overnight lending markets are now frequently too small to generate a meaningful Eonia fixing, Eurex argues. The debate is significant in the context of the post-Libor search for an alternative fixing that could serve as the reference rate for trillions of euros worth of rates contracts – a debate Eurex has a strong interest in

European markets
Eonia fixing volumes too thin to be meaningful, says Eurex

Volumes in Europe's unsecured overnight lending market are now so low that Eonia – the fixing the trades generate that is used to discount trillions of euros' worth of derivatives contracts across the globe – is "almost meaningless", according to Eurex.

While Eonia has been highly volatile at times since at least 2010, extreme illiquidity in the underlying money markets – which have dropped as low as €7 billion ($7.6 billion) recently – now mean the fixing is based on volumes that are sometimes

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