Users of Eonia-linked instruments should start preparing for a one-day lag that will hit the publication of the benchmark from October, and also think about repapering longer-term contracts, according to a member of a key working group. The lag means each day’s rate will be published the following morning, affecting when market participants run portfolio calculations. “Our batches on these products are often run through the night, and now they have to be run through the day. If you think about 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.
Users of EONIA-linked instruments are advised to start preparing for a one-day delay in the publication of the benchmark that comes into effect from October. The move from T to T+1 results from changes recommended by the Working Group on euro RFRs, which require EMMI to delay publication of EONIA until after ESTR has published, which will be T+1. The one-day lag will impact portfolio calculations and may also necessitate the re-papering of some longer-term contracts. In addition, the European Commission is expected to publish its proposal for an EU-wide framework regulation governing financial derivatives next week.