Clearing houses LCH and Eurex will settle floating rate repos in two stages come October, as the industry adjusts to the next-day calculation of the European Central Bank’s new euro short-term rate (€STR).
The clearers say they will use the most recent floating rate for trade settlement at the end of the day, and if needed make up the difference with a so-called delta payment when the new fixing is published the following day.
The full article is available at https://www.risk.net/derivatives/6769961/lch-and-eurex-create-fix-for-floating-repos-eonia-problem