One-off cash compensation on collateralised derivatives due to the transition from EONIA to €STR - PwC In brief

One-off cash compensation on collateralised derivatives due to the transition from EONIA to €STR - PwC In brief

Publication date: 15 Jan 2020

Must know

must know 2019

In connection with reforms to EONIA, the rate of interest paid on the collateral on certain Euro-denominated collateralised derivatives is expected to be reduced. The effect on the fair value of outstanding derivatives will be compensated for by a one-off cash compensation payment.

See this In brief for the details.

 
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