Tuesday, 15 December 2020

Marc quoted in the press: Practice Insight - IFLR

Marc was quoted in the press in an article related to the EONIA/ESTR transition: Authorities renew calls for €STR take-up (subscription required).

The quotes are

Since the publication of ISDA's supplement 60 to the ISDA 2006 definitions, all new Eonia trades have a robust fallback – therefore the lack of adequate fallbacks isn’t an argument for new trades, and switching old contracts won’t help the take-up for new ones,” said Marc Henrard, managing partner at muRisQ Advisory.

“What concerns me, however, is the ability for systems to handle the Eonia fallback. I would strongly encourage people to move to €STR, but I expect Eonia curves to stay in banks’ systems for several years – even after January 2022." "Admitting that systems cannot cope with the fallback is, in my sense, a stronger argument than the others for switching to the RFR,” he added.
The ECB also said it considered publishing compounded term rates based on €STR as well as a daily index to encourage a wider adoption of the rate. “I don’t see how this would be used in practice, except for some retail products,” said Henrard. “From a daily perspective for financial institutions, I don’t see how it would fit in. It would certainly generate problems as opposed to solving them. If there was any use to this, it would have probably been implemented for Eonia 20 years ago.”