LCH plans to change the rate used when discounting euro-denominated swaps in June 2020 – a step that will instantly alter the value of trades with a current notional of €91 trillion. Compensation will be paid in cash by those who benefit from the change, to those who lose out. The clearing group’s SwapClear service will switch to the euro short-term rate (€STR) from the doomed Eonia benchmark in a single step, applying a flat version of the new rate with no additional spread – a policy that Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content. To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact [email protected] to find out more. You are currently unable to copy this content. Please contact [email protected] to find out more.
LCH plans to switch from EONIA to ESTR for euro-denominated swap discounting in a single step next June. The clearing group’s SwapClear service will apply a flat version of the new rate with no additional spread. “Eurozone banks are already using this type of discount and we expect that they will continue doing so,” said Jan van der Velde, head of trading at Deutsche Boerse. A cash transfer to compensate for the difference will be paid by counterparts that benefit to those that lose out.