RepoClear clears first variable rate repo indexed on €STR
09 December 2019 London
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RepoClear has cleared its first Variable Rate Repo (VRR) trade indexed on the Euro Short-Term Rate (€STR), with Credit Suisse among the first participants to clear the new rate at the clearinghouse, LCH. €STR, launched on 2 October, is the euro risk-free rate that is set to replace the Euro OverNight Index Average (EONIA), which was previously the preferred overnight rate of all overnight unsecured lending transactions. Dipen Mistry, a director in the global liquidity group at Credit Suisse, added: “The ability to clear repo trades index to €STR is another important step in the market’s transition to new reference rates. We’re proud to be one of the first participants to centrally clear these trades, underlining our proactive engagement in the EUR market.” In October, LCH cleared its first euro interest rate swaps referencing the €STR, making it one of the first clearing houses to offer the swaps benchmarked to the new reference rate. More recently, in November, the European Central Bank working group on euro risk-free rates published a report on recommended fallback arrangements for the new €STR. The plans should include the nomination of one or more alternative benchmarks that could be referenced to substitute the benchmarks no longer provided.
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