Risk: LCH and Eurex create fix for floating repo’s Eonia problem

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

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