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

Changes in valuation were “relatively small”, says clearing house

dan-maguire

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

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