Price discovery
Dealing with funding on uncollateralised swaps
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Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices,...
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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.
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Crude oil prices will stay range-bound over the next three years, due to substantial Organization of the Petroleum Exporting Countries (OPEC) spare capacity, growing global demand and significant financial...
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More Price discovery articles
Funding valuation adjustments sponsored forum: A clear and present future...
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It is now generally accepted that banks should use a different pricing methodology depending on whether a derivatives trade is collateralised or non-collateralised. Specifically, dealers are now using overnight indexed swaps to discount the present value...
Risk institutional investor rankings 2010
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The resurgence of market volatility and growing regulatory uncertainty have made the past 12 months challenging for investors. In this difficult environment, respondents to Risk’s institutional investor survey voted JP Morgan the top provider of derivatives....
Confusion over CVA
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Dealers are becoming more disciplined in pricing credit – a lesson learned the hard way after the collapse of Lehman Brothers. However, banks are taking a variety of approaches, and some participants believe certain firms are habitually underpricing...
The inflation pricing conundrum
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Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for...
Towards a global valuation model
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Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high-throughput computing could lead to the possibility of a global valuation model, argue Claudio...
LCH.Clearnet considers revaluing $212 trillion swap portfolio
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LCH.Clearnet could start using overnight indexed swap (OIS) rate curves rather than Libor to value its roughly $212 trillion swap portfolio, in response to changing market practice.
Corporate risk
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Many things may have changed for corporate users of derivatives over the past 18 months, but one thing remains constant – the price has to be right. Respondents to Risk’s latest corporate survey highlight the strength of a counterparty and liquidity...
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