SOFR discounting switch splits Goldman and JP Morgan

Robert Mackenzie Smith
10 Sep 2019

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A disagreement over when cleared interest rate swaps should switch to a new discount curve, as part of benchmark reform efforts, is pitting two major US banks against each other.

Next year, clearing houses will begin using the secured overnight financing rate, or SOFR, to calculate the value of future cashflows and the interest paid on collateral – known as price alignment interest (PAI) – for US dollar interest rate swap contracts. Currently, the Federal funds rate is used for discounting and

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