Swaption compensation consensus proves elusive

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

Swaptions compensation
Risk.net montage

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

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: