A lack of volume in the EONIA-linked cleared swaps market could hamper the transition to RFRs based on actual transactions, as required by regulators, according to Chris Barnes at Clarus Financial Technology. A quote-based system is the most likely solution, Barnes said, but added this could replicate existing problems with EURIBOR. Last month, the ESTER working group on euro-RFRs launched a consultation on the transition from EONIA to ECB, which ends on 1 February. It proposes three methodologies based on OTC derivatives and another that uses futures data.
A lack of volume in the EONIA-linked cleared swaps market could hamper the transition to RFRs based on actual transactions, as required by regulators, according to Chris Barnes at Clarus Financial Technology. A quote-based system is the most likely solution, Barnes said, but added this could replicate existing problems with EURIBOR. Last month, the ECB working group on euro-RFRs launched a consultation on the transition from EONIA to ESTER, which ends on 1 February. It proposes three methodologies based on OTC derivatives and another that uses futures data.