€5trn of Eonia swaps mature after benchmark’s death

Louie Woodall
19 Feb 2020

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Around one-fifth of Eonia-linked interest rate derivatives have maturities extending beyond 2021, when the benchmark will be killed off.

The European Securities and Markets Authority (Esma) reported €28 trillion ($30.2 trillion) of swaps referencing Eonia (Euro Overnight Index Average) as of October 25, 2019, up from around €20 trillion as of end-March. The share due to mature after 2022 was 19% in October, barely changed from 20% in March.

However, trading in Eonia derivatives did decline in

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