€STR transition stymied by addiction to Eonia – ECB

Notional outstanding OIS referencing outgoing rate has increased year-to-date

Swaps referencing Eonia, the eurozone’s outgoing benchmark rate for overnight unsecured lending, which expire after its planned obsolescence, have increased by over one-third year-to-date, European Central Bank (ECB) data shows.

Between January 1 and October 28, outstanding notional amounts of overnight index swaps (OIS) referencing Eonia that mature after January 3, 2022, when the rate ceases, climbed 37% to €3.96 trillion ($4.74 trillion). Trading in these “zombie” contracts also became more

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