Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
A new forward-looking euro term interest rate will likely be based on the overnight indexed swap (OIS) market, according to the head of the euro risk-free rate working group – but only if there is sufficient liquidity. However some market participants insist term rates are unnecessary and will only introduce basis risk between cash and derivatives products.
A consultation to determine a methodology for a forward-looking euro term rate, to be used as an alternative contractual fallback for
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