Non-cleared euro swaps market wrestles with discount rate switch
By Ben St. Clair
August 10, 2020, Risk
Buy-side firms face valuation problems and possible delays in amending collateral contracts for non-cleared euro interest rate swaps ahead of Eonia’s end date, experts warn.
Swaps holders are looking to switch the rate for collateral payments from Eonia to the euro short-term rate, or €STR, in thousands of legacy contracts. This would bring the swaps in line with the discount rate used for cleared trades after a recent change at major clearing houses.
