Swaptions at risk in €STR transition, warns ECB working group

ECB adobe stock AS 230x150
By Ross Lancaster
20 Feb 2020

The European Central Bank’s private sector working group on euro risk-free rates has recommended market participants replace Eonia products with €STR-referencing derivatives “as soon as possible” and flagged a threat to swaptions in the transition.

The working group flagged June 22 as an especially important date in the transition to €STR. This is when major clearing houses will change their euro discounting to €STR instead of Eonia. 

“It is important that market participants are ready to hedge the corresponding €STR exposure,” wrote the ...

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