Europe’s Eonia dilemma

As Europe finally begins a formal search for a new risk-free rate for swaps, it is unclear whether Eonia will survive, and what will replace it

In mid-September, a buy-side swaps user was explaining his exasperation with the sluggish pace of interest rate benchmark reform in Europe. While working groups in other currencies had selected alternative risk-free rates (RFRs) to Libor for swaps contracts and were planning the transition process, hardly any headway appeared to have been made in the eurozone – the second-largest interest rate swap market in the world.

“They’ve wasted a lot of time and achieved precious little,” said a