Eurex will begin using the new euro short-term rate (€STR) to discount Euribor-linked interest rate swaps in the second quarter of 2020. The Frankfurt-based clearing house will use a flat version of the rate with no additional spread and make a one-time cash payment to compensate any market participants that lose out as a result of the change. Matthias Graulich, chief strategy officer and a member of the executive board at Eurex, said the timing of the change was based on the 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.
It has said it will start using ESTR to discount EURIBOR - based interest rate swaps in Q2 2020 . The clearinghouse plans to use a flat version of the swap with no additional spread and to make a one - off cash payment to compensate any market participants disadvantaged by the switch .