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...
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
The fact that swaps traders at Goldman Sachs and a handful of other dealers made a lot of money in 2008 and 2009 as a result of the industry’s switch to collateral-based valuation is an open secret. Exactly how they did it, and how much they made, has...
It’s the untold story of the switch to overnight indexed swap discounting. As the Street haltingly adjusted to the new reality, some desks are said to have booked profits running into the hundreds of millions of dollars – earning grudging praise,...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Casual assumptions can be seductive – but wrong. An examination of what is sometimes taken for granted can yield surprising results, as a new article on collateral currency shows. Laurie Carver introduces this month’s technical section
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.
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