CME and IDCG revalue swaps using OIS discounting

Switch to OIS comes a year after SwapClear revalued parts of its portfolio


Derivatives clearing houses CME Clearing and International Derivatives Clearing Group (IDCG) have both revalued their swaps portfolios using the relevant overnight indexed swap (OIS) rate.

The move follows the decision last year by SwapClear, the interest rate swap clearing platform run by London-based LCH.Clearnet, to discount US dollar, sterling and euro interest rate swaps using OIS, affecting $218 trillion of trades. In August, the clearer also began to discount its ¥1,417 trillion yen

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