US benchmark switch splits swaptions market

Rebekah Tunstead
27 May 2020

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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

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