LCH plans to switch from EONIA to ESTR for euro-denominated swap discounting in a single step June 2020. 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.
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.