Ois discounting
Cutting complexity with a new standard CSA
Original headline:
Source: Risk magazine
A new standard credit support annex will be launched within months and is meant to curtail disputes over the valuation of collateralised derivatives trades. But only a handful of firms are expected to...
Published online only
Source: Risk magazine
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Published online only
Source: Risk magazine
Latest proposal extends number of silos from five to 17, mirroring approach taken by LCH.Clearnet
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More Ois discounting articles
Dealers call for revised language on break clause close-outs
Published online only
Source: Risk magazine
Current methodology to calculate a close-out value following the exercise of a break clause results in inaccuracies, claim dealers
CMS: covering all bases
Original headline:
Source: Risk magazine
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
Standard CSA: the dollar dominance dispute
Original headline:
Source: Risk magazine
Disputes over the valuation of collateralised derivatives trades have pushed the industry to develop a new standard credit support annex. A solution has been proposed – but some Asian and Australian banks have raised concerns about the dominant role...
Risk.net: Top 15 stories of 2011
Published online only
Source: Risk magazine
Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
Corporates complain about transparency of unwinds
Original headline:
Source: Risk magazine
Corporate end-users complain the prices they receive on swap unwinds can vary massively – and claim they are not getting any transparency on the various components that make up the price. By Peter Madigan
New standard CSA too dollar-centric, say Asian banks
Published online only
Source: Asia Risk
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
Original headline:
Source: Asia Risk
Disputes over the valuation of trades backed by multi-currency credit support annex (CSA) agreements – allowing counterparties to post collateral in multiple currencies and assets – have pushed the industry to develop a new standard CSA. Progress...
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