Swaption compensation consensus proves elusive

ECB-sponsored recommendations fail to rally market behind compensation exchange solution

Swaptions compensation
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The euro swaptions market hit a milestone in late July when long-planned changes to the discount rate at clearing houses led to knock-on adjustments in the valuations of related derivatives.

But despite regulator-backed recommendations that any losses should be compensated on a voluntary basis, many users are unwilling to participate in a potential voluntary compensation exchange.

In its recommendations for the discounting switch, the European Central Bank-led euro risk-free rates working

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