Swaps - CHF

Eurex Clearing: EONIA to €STR switch set for Oct 2021

Eurex Clearing today announced that EONIA will switch to €STR on October 15 2021, following a short consultation with the market.

Euro RFR WG minutes reveal EURIBOR fallback challenges, E...

The euro RFR working group minutes reveal the debate over adopting backward or forward-looking fallback rates for EURIBOR.

EUR Swaps: €STR activity after big bang switch

€STR activity after the big bang switch is discussed

USD Swaps: Risky risk-on; Banks hint at FVA hits

USD swappers welcomed the risk-on move sweeping across markets today with a simple message: Beware.

Banks battle it out for €STR compensation

The switch from EONIA to €STR discounting threatens to create big windfalls vs losses across EUR interest rate option desks.

ECB RFR WG recommends EURIBOR fallback provisions

The ECB Working Group on Risk Free Rates today released a set of recommendations for EURIBOR fallback provisions in cash and derivative contracts.

Basis: Coke talk; CHF curve rolls lower; JPY

Basis: Swissie on a roll; Cable booms; CAD!

CHF Swaps: 5s/10s steep; SNB as expected

CHF Swaps: Busy 4-7y supply & hedges; 3s6s