Euro short-term rate (€STR)
Steepeners whipsawed by Dutch pension scheme shifts
Long-end euro rate flows thrown off course by piecemeal updates on transition to defined contribution system
EU racing to comply with active account rules
Industry wants simpler route to exemptions ahead of ‘challenging’ deadline for new clearing regime
Lenders scramble to get ahead of Italian fallback mandate
New law requiring robust fallbacks for Euribor will take effect on January 10
Complex EU active account reporting could drive trades out of UK
Draft Emir rules might not force large volumes to move to EU, but will make compliance difficult
CME launches late term €STR bid
Exchange group becomes third provider with rate built on €135 billion of daily transactions
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
Traders dispute predictions of quick €STR transition
Poll points to five-year transition, but traders say replacing Euribor will be “a marathon”
Europe’s half-baked benchmark switch leaves some dissatisfied
Users frustrated by narrow scope of euro transition, but replacing Euribor was never a euro group objective
Industry confused by EU’s ‘bingo card’ clearing rules
Uncertainty over definition of representative trades in Emir active account requirement
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
Emmi consults on axing ‘expert judgement’ for Euribor
Level 2.3 inputs extrapolated from term version of €STR will replace internal bank estimates
Building out Eurex’s home of the euro yield curve ambition
Market participants are at the centre of a plan by Eurex to build an alternative liquidity pool for short-term interest rate derivatives in Europe
Invesco is first US mutual fund to trade €STR swaptions
Counterparty Radar: Trades were some of just a handful of €STR swaptions to hit the market this year
Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition