Funding valuation – a clear and present future

2010clear

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.

  • LinkedIn  
  • Save this article
  • Print this page  

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: