Banks Scramble to Cut Derivatives Losses on Eve of Market Reset
- EU benchmark reform may wipe millions from swaption portfolios
- U.S. banks are on guard for similar upheaval in SOFR switch
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They call it the big bang transition, the day when European interest-rate derivatives markets finally shift to a new benchmark next week.
And in the run-up, banks and money managers that find themselves caught on the wrong side of trades are scrambling to limit their losses while their counterparts look to cement their gains.