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. The move will instantly impact the value of trades with a current notional value of €91tn. A cash transfer to compensate for the difference will be paid by counterparts that benefit to those that lose out.