LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house
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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