Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR as Eonia nears its demise
Panellists
- Cornelia Holthausen, deputy director general for general market operations, European Central Bank
- Philip Whitehurst, head of service development for rates, LCH
- Jean-Christope Machado, interest rate strategist, Natixis
- Meryeme Souilmi, head of G10 rates derivatives trading for Europe, Societe Generale
- Helen Bartholomew, editor at large, Risk.net
The next 12 months will determine how rates markets cope with the death of Libor.
With transition efforts now entering a critical phase, Risk.net’s editorial team is running a series of quarterly webinars, breaking down the issues facing the market, tracking the progress made and highlighting the remaining questions.
This quarter’s webinars included a session focusing on the euro market, where the primary interest rate – Euribor – is set to stay. Subscribers can replay the September 23 webinar above. A separate session on sterling markets, broadcast a day earlier, is available here.
The discussion began with an update on the euro RFR working group’s fallback consultation, then explored struggling liquidity in the new euro short-term rate in the run-up to January 2022, when Eonia will be discontinued. Trading in the new rate has stalled since the Covid-19 pandemic, and a July switch to using €STR for discounting euro swaps at CCPs has yet to spur liquidity.
Later, the debate turned to forward-looking term rates, which an audience poll deemed vital for building liquidity in the new benchmark. It’s a classic chicken-and-egg problem – the potential liquidity catalyst can only be constructed via a liquid derivatives market. Participants discussed whether the more liquid Eonia market, which trades at a fixed basis to €STR, could be used as an input for building a term RFR.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Softer FX rules for China QFIs set to boost CNY competition
Freedom to circumvent local custodians a plus for pricing and best execution – State Street
Allianz Life drops single-name CDS positions in Q4
Counterparty Radar: US life insurance industry volumes sink to lowest level in two years
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
FX dealers face end-of-day trading stress from T+1 shift
Experts say switch to using overnight swaps could be “problematic” and lead to wider spreads
Consortium backs BGC’s effort to challenge CME
Banks and market-makers – including BofA, Citi, Goldman, Jump and Tower – will have a 26% stake in FMX
Natixis turns on the taps in flow trading
French bank boosts flow business, balancing structured solutions capabilities
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Most read
- Industry urges focus on initial margin instead of intraday VM
- For a growing number of banks, synthetics are the real deal
- Did Fed’s stress capital buffer blunt CCAR?