Clearers diverge on SOFR swaps discounting

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CME Clearing and LCH, the two clearing houses battling it out for market share in US dollar interest rate swaps linked to Libor’s replacement, are set to adopt different methods for calculating margin interest and discounting.

Both central counterparties originally made plans to launch clearing services for the new swaps in the third quarter using a Fed funds rate or overnight index swap rate for price alignment interest (PAI) – the rate used to calculate interest paid on posted variation

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