OIS discounting
Kaminski: discounting for energy swaps ‘a big mess’
Energy Risk USA: most energy firms still prefer Libor for discounting
VM repapering exercise ‘a swing and a miss’
Isda AGM: Banks picked up big bill but few benefits, says UBS ALM exec
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
Isda touts CSA standardisation in margining countdown
But scale of challenge becomes clear in early tussles between dealers and clients
CSA reviews necessary after Sonia reform, lawyers warn
Benchmark administrator change may require amendments
BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
Standardised CSAs: no longer a matter of choice
Dealers again seeking simpler terms after 30% drop in non-cleared notionals
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Dealers commit to provide liquidity for Libor alternative
Transition will be gradual with bilateral swaps adopting new rate before CCPs
BoE's Sonia fixation complicates secured rate transition
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Discounting change magnifies HSBC FVA loss
UK bank's funding charge jumps 75% to $460m
Goodbye Sonia flat: banks rethink swaps with bond collateral
Higher discount rate can cut payouts to in-the-money clients by millions
Pension fund risk manager of the year: PKA
Risk Awards 2015: So smart, banks will pay to do business with Danish fund
Pension fund risk manager of the year: PKA
After moving to Eonia discount rates for its swaps in 2011, Denmark's PKA decided to make Eonia the benchmark for its hedge portfolio at the end of 2012. It's a smart move, dealers say - but one with some risks of its own
Op risk, FVA and OIS - Risk.net’s top stories of 2013
Operational risks, funding valuation adjustment and the money made by one dealer in the early days of OIS discounting – the top stories of the year on Risk.net
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
FASB recognises OIS rate as hedge accounting benchmark
Rule change could see growth in swaps indexed to federal funds rate
Insurers struggling with move to OIS discounting
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now