Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
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
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