Insurers struggling with move to OIS discounting
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now
Many insurers are continuing to discount their derivatives trades at Libor, despite a general acceptance that the overnight indexed swap (OIS) rate is the correct rate to use to value cash-collateralised derivatives.
Derivatives traders at several large insurance firms say they are aware that OIS is theoretically a more accurate discount rate than Libor, with the exact OIS rate determined by the currency of the collateral being posted. However, varied practices among dealers mean many are opting
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