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Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
![2020-start 2020-start](/sites/default/files/styles/landscape_750_463/public/2019-05/2020-start.jpg.webp?h=0393ebfd&itok=nmcvt3Ub)
Clearing houses and industry groups tasked with moving US interest rate derivatives to new discount curves are considering a so-called big bang implementation – an overnight switch to using the secured overnight financing rate (SOFR) to value future cashflows and the interest paid on collateral posted for contracts notionally worth $169 trillion.
The plan under discussion would see all cleared and bilateral rates trades switch to SOFR discounting on a single day in the second half of 2020
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