The Members of the European Association of CCP Clearing Houses (EACH) have recently been in contact with the working group on euro risk-free rates with regard to the transition from an EONIA discounting regime to a €STR discounting regime that was planned for Monday 22 June 2020.
Having considered the comments received by the Members of the working group on euro risk-free rates and the impact that the current COVID-19 crisis has had on EACH Members’ clients’ workload, EACH Members agreed to suggest that the €STR discounting regime switch date be postponed to Monday 27 July 2020, subject to the successful conclusion of relevant internal agreements on the part of interested Members of EACH. The decision was made in order to grant to market participants some relief and allow them extra time to make the necessary arrangements.
EACH Members would like to point out that any longer delay may severely impact the USD discounting switch planned for 16/19 October 2020 as well as jeopardize the ability of EACH Members to act in an orderly and unified manner as required in the recommendation included in the report by the working group on euro risk-free rates on the impact of the transition from EONIA to the €STR on cash and derivatives products.
For more information, please find attached the statement or visit our website www.eachccp.eu
