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LCH.Clearnet re-values $218 trillion swap portfolio using OIS

Author: Christopher Whittall

Source: Risk magazine | 17 Jun 2010

Categories: Risk Management, Interest Rate Derivatives

Topics: LCH.Clearnet, Clearing, Collateral, Interest rate swaps, OTC derivatives, Overnight indexed swap (OIS), OIS discounting

LCH.Clearnet is now valuing variation margin in all US dollar, sterling and euro interest rate swaps using overnight indexed swaps (OIS), affecting $218...

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LCH.Clearnet re-values $218 trillion swap portfolio using OIS

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