LCH.Clearnet re-values $218 trillion swap portfolio using OIS


LCH.Clearnet is now valuing variation margin in all US dollar, sterling and euro interest rate swaps using overnight indexed swaps (OIS), affecting $218 trillion of swaps.

The move came following a consultation with its SwapClear members, which were asked what process they would use to value a bid for a portfolio in an auction process in the event of a member default, on the basis the positions were fully cash collateralised and receiving an overnight rate of interest.

"A high percentage of

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:

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 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: