US benchmark switch splits swaptions market

Rebekah Tunstead
27 May 2020

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

US dollar swaptions users are divided over new guidance designed to avoid a valuation change when clearing houses switch their swap discounting curves later this year.

Investors are now able to specify a discounting rate for new swaptions, and an industry group has urged participants to opt for the secured overnight financing rate for many new trades. But some parties have not done so, with dealers citing operational challenges, the impact of Covid-19 and old-fashioned stubbornness.

“We’ve

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]