Societe Generale offers sight of Europe’s new interest rate swap using €STR


Societe Generale has entered into one of the first interest rate swaps using the euro short-term rate (€STR) as a floating-rate underlying, making use of the new interest rate benchmark that will eventually replace the 20-year old Eonia (European overnight index average) rate.

The new trade – one of the first in the market - starts on October 2. The trade endorses the bank’s commitment to bring opportunities to clients to trade on the new benchmark rate, which is the future of European capital markets.

This is a major step in the benchmark transition programme launched by regulators under the European Union’s Benchmark Regulation (BMR), which seeks to improve the reliability and credibility of euro benchmarks. The move to use €STR as a new Risk-Free Rate (RFR) falls within the recommendation of the Financial Stability Board.

The new, €STR rate will be published on October 2 (T+1), when the new rate will be available for October 1. The Eonia short-term rate will be discontinued on 3 January 2022, although central counterparty clearing houses will switch discounting curves from Eonia to €STR before December 2021.

The bilateral trade was arranged by Societe Generale, reinforcing its market maker position in the European interest rate derivatives market and demonstrating a capability ahead of its peers.

Global market teams, along with the support unit teams, worked together to build this capability within a short time frame.

Team work, one of the core competencies of the Societe Generale Group, is the key ingredient of this success,

Sandeep Bhorkar,
director at SG in London