Continued – IBOR reform: Global IBOR transition – Q2 2021 review – P2

EUR Swaps

EuroSTR (a.k.a. €STR) will replace EONIA. There was an initial uptick at the end of July 2020 driven by the CCPs switching from EONIA to EuroSTR discounting on 25th July 2020. Since then, EuroSTR has made very gradual further progress but still only makes up 3% of volume traded. It is expected that EURIBOR will continue to be published until at least 2025 but that there will be a material migration to EuroSTR. EUR-LIBOR will cease publication on December 31, 2021, but EUR-LIBOR is not traded in the swaps market, there have been <10 trades a month for many years and therefore although it is included in the numbers it is excluded from these graphs.

 

… and approximately 7% of notional traded

 

… and much of the new IBOR transactions being executed matures post December 31, 2025.

 

That said EONIA is trading more at long dated tenors…

 

…as is EuroSTR …

Continue Reading

 

1  2   3  4