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.
There have been some significant changes in derivatives pricing since the financial crisis. Dealers are now much more diligent about pricing credit into derivatives, while banks are beginning to price swaps differently depending on whether or not they are collateralised. Previously, Libor was used as a standard discount rate for pricing derivatives trades, but there is growing realisation future cashflows on non-collateralised derivatives transactions should be discounted at the rate at which each bank can borrow. Meanwhile, collateralised trades are being discounted using overnight indexed swaps (OIS).
In this roundtable, three leading swaps dealers discuss the changes in the market - and in particular, the use of OIS as a discount rate for collateralised derivatives.
More on Interest Rate Derivatives
Market may not give up liquid benchmark of its own accord, regulators accept
KRX set to receive no-action relief from the CFTC later today
Insurers now able to hedge out interest rate risk beyond one year
Paulhac says CME swap future is being pushed as a margin-light product for clients
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.