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 wit...
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
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
More Ois discounting articles
Rule change could see growth in swaps indexed to federal funds rate
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Goldman and the OIS gold rush
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
The collateral currency convexity conundrum
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
New proposals on the margining of uncleared derivatives trades could dampen take-up of the standard CSA
Higher credit risk adjustment to reflect current market conditions
As 2012 drew to a close, Goldman Sachs was involved in the first trades using the new standardised credit support annex (CSA), a document that had been in the works for two years. That was entirely appropriate....
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.