Euro short-term rate (€STR)
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Avoid floating rates on non-cleared repo – ICMA
€STR won’t be published until October, but its next-day publication will make settling complicated
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
LCH, Eurex create fix for floating repo’s Eonia problem
Clearing houses to adjust repo balances the following day once rate moves to T+1
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
ECB’s Holthausen on Euribor, fallbacks and Eonia’s end
QE wind-down could boost Euribor, but panel bank expansion is unlikely
Libor leaders: LCH brings SOFR swaps into the fold
CCP adapted risk models to start clearing new swaps and plans quick switchover to SOFR discounting
Libor leaders: EIB sees prizes and pitfalls in Libor reform
Sonia bond trailblazer wants a single bond template for all RFRs, but found hidden devils in its debut
Swaps data: a new era of competition in interest rate futures
The demise of Libor has set off a battle for market share in futures referencing new risk-free rates
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Libor leaders: BMO sets the pace in RFR transition
Early mover switches £10 billion of pension liability swap hedges to Sonia
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
Critical EU benchmarks to be approved by year-end
Authorisation of Euribor is being expedited and could be granted in the summer
Differing European approaches may hamper Ibor transition
While sterling shifts to Sonia, efforts to save Euribor create euro multi-rate uncertainty
Swaps data: SOFR swaps slip, futures flip
After a banner month for the young OTC instrument in January, volumes then halved
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs
EU lawmakers open to delaying ban on critical benchmarks
MEPs propose two-year reprieve for Eonia and Euribor if contractual continuity is at risk
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor