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Working group on risk-free rates recommends voluntary compensation for swaptions impacted by discounting transition to the €STR

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Published on: 16 June 2020

Published by LNB News

LNB News 16/06/2020

Document Information

Issue Date: 16 June 2020

Published Date: 16 June 2020

Jurisdiction(s): United Kingdom

Article summary

The European Central Bank (ECB)’s working group on euro risk-free rates (RFRs) has endorsed a recommendation that counterparties voluntarily exchange compensation for legacy swaption contracts affected by the transition of central counterparty (CCP) discounting from the euro overnight index average (EONIA) to the euro short-term rate (€STR), which is due to take place around 27 July 2020. The working group also recommends that market participants contact their swaptions counterparties to determine whether they plan to consider voluntary compensation.

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