SOFR discounting switch splits Goldman and JP Morgan

CFTC committee calls on clearing houses to align timing and compensation mechanisms

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