Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
It’s a common problem in derivatives markets.
A buy-side firm wants out of a swap, so approaches its dealer counterparty to terminate the trade. In doing so, it risks opening “a whole can of worms”, as Simon Firth, a capital markets partner at Linklaters, put it during a recent conference call hosted by the International Swaps and Derivatives Association.
The problem is that the two parties must agree on a cash value for the remaining portion of the contract. Typically, a calculation agent is
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