CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Quants tell FX dealers how to make the most of passive liquidity
Paper from HSBC and Imperial sets out when to skew pricing, and when not
How Bessent learned to stop worrying and love the T-bill
Short-dated issuance shows no signs of slowing. Some fear it could end badly.
Hawkish RBA comments wrong-foot Aussie dollar rates traders
Governor Bullock’s unexpected rate hike talk led to stop-outs and losses
Hedge fund holdouts boost euro steepener bets into year-end
After some investors took profits in September, those that stayed in the trade are now doubling down
Hong Kong tech stocks flirt with peak vega on structured boom
Note issuers sell vol to flatten exposures as Alibaba, BYD, Tencent zig-zag lower
Dutch pensions weigh hedge unwinds ahead of transition
As January 1 nears, Dutch pension funds consider unwind timing to avoid rush to the exit in thin year-end liquidity
Dealer views mixed over future of profitable EM FX carry trade
Emerging market FX carry trades have generated 7.5% returns since April, but dealers question longevity
Playing the yield: rates rev up structured products
Higher government bond yields and steeper forward curves fuel demand for new range of fixed income structures
