US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
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
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