Swaptions face valuation hit on discounting switch

Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”


Investors in euro and US dollar swaptions could see widespread gains and losses when the discounting and collateral rates for cleared swaps are changed as part of benchmark reform efforts.

Swaptions valuations are based on the price of the underlying cleared interest rate swaps, typically those cleared at LCH. The clearing house is set to change the rate used to discount the present value of euro and US dollar interest rate swap cashflows, and to determine interest payments on cash collateral

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here