Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Doubts raised over new FX platform disclosures
New disclosure sheet template will require platforms to outline how they charge for data
Pimco and Vanguard slash FX forwards trading with BNP Paribas
Counterparty Radar: French bank sees its notional volumes with mutual funds halve
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
Repo and FX markets buck year-end crunch fears
Price spike concerns ease as September’s surprise SOFR jump led to early preparations for bank window dressing
US senators press CFTC on Japan swap clearing
Boozman and Hagerty urge action on yen swap clearing access to JSCC in letter to US regulator
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Cross-currency futures could ease bilateral burden – CME
Quarterly €STR-vs-SOFR contract could be used by Stir desks to manage currency basis risk
‘It’s not EU’: Do government bond spreads spell eurozone break-up?
Divergence between EGB yields is in the EU’s make-up; only a shared risk architecture can reunite them
