OIS discounting
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Risk 25 firms of the future: Eris Exchange
The future of swaps?
Risk 25: Technology vendors adapt their risk systems
Intelligent thinking for risk systems
Risk 25: The FVA debate
The FVA debate
Profile: Credit Suisse's de Boissard on capital efficiency, Basel III and bank strategy
The adjustment bureau
Cutting complexity with a new standard CSA
Cutting complexity
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Isda working group close to finalising standard CSA
Latest proposal extends number of silos from five to 17, mirroring approach taken by LCH.Clearnet
Dealers call for revised language on break clause close-outs
Current methodology to calculate a close-out value following the exercise of a break clause results in inaccuracies, claim dealers
CMS: covering all bases
CMS: covering all bases
Standard CSA: the dollar dominance dispute
The dollar dominance dispute
Risk.net: Top 15 stories of 2011
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
Corporates complain about transparency of unwinds
Wound up by unwinds
New standard CSA too dollar-centric, say Asian banks
Banks in Asia-Pacific complain about dollar dominance in new standard CSA – prompting Isda to rethink its plans
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
CME and IDCG revalue swaps using OIS discounting
Switch to OIS comes a year after SwapClear revalued parts of its portfolio
SwapClear may assist OIS development
SwapClear may assist OIS development
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
New standard CSA could be rolled out in Q2 2012
An implementation plan for the new standard CSA is set to be reviewed by the Isda board in September, with a first-phase roll-out expected as early as the second quarter of 2012
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Choice of collateral currency
Choice of collateral currency
LCH.Clearnet re-values $218 trillion swap portfolio using OIS
Changes in valuation were “relatively small”, says clearing house
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…