Swaption compensation consensus proves elusive

The euro swaptions market hit a milestone in late July when long-planned changes to the discount rate at clearing houses led to knock-on adjustments in the valuations of related derivatives.

But despite regulator-backed recommendations that any losses should be compensated on a voluntary basis, many users are unwilling to participate in a potential voluntary compensation exchange.

In its recommendations for the discounting switch, the European Central Bank-led euro risk-free rates working