Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
Users of Eonia-linked instruments should start preparing for a one-day lag that will hit the publication of the benchmark from October, and also think about repapering longer-term contracts, according to a member of a key working group.
The lag means each day’s rate will be published the following morning, affecting when market participants run portfolio calculations.
“Our batches on these products are often run through the night, and now they have to be run through the day. If you think about
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