Isda to review close-out value definitions

Frustrated man at the blackboard during a maths class

The International Swaps and Derivatives Association will review its guidelines on how to value derivatives that are closed out early, because of a default or decision to terminate, after calls for clarity from some member firms. Dealers say there's no consensus on whether a risk-free or a risk-adjusted value should be used when closing out a trade.

"Isda needs to clarify whether you use the risk-free or counterparty risk-adjusted close-out value. Either way has problems, but there is a need for

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

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 individual account here: