BNP Paribas takes €108 million hit on swaps after switch to OIS discounting


BNP Paribas is the latest bank to reveal the revenue impact from a change in how it discounts part of its collateralised swap portfolio. The French bank revealed a hit of €108 million on revenues following a change in the discount rate from Libor to the overnight indexed swap (OIS) on fixed-income swaps backed by a credit support annex.

The majority of dealers now agree that collateralised swaps should be discounted at the appropriate OIS rate, determined by the currency of the collateral being

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