Hi All,
Interested to hear your views on step 4 of the Paced Transition Plan (link) - specifically, "Users may choose PAI basis: EFFR or New Rate".
Does this imply more than one discount curve for USD products depending on what is chosen? Would this also imply different forward rates depending on what is chosen for the same swap pay-off function? What about other derivatives that require USD discounting?
Cheers
RiskUser