Discounted cashflow
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
EU insurers’ solvency ratios weather UFR change
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Generali’s solvency ratio falls on risk-free rate changes
Regulatory changes increased present value of liabilities
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.
Kaminski: discounting for energy swaps ‘a big mess’
Energy Risk USA: most energy firms still prefer Libor for discounting
Intra-market mispricing acute, says Sanborn Kilcollin
High-momentum, well-known growth names hugely overpriced
New Swedish discount curve rejects Solvency II methodology
Extrapolation method changed following concerns Smith-Wilson method impractical
Move to swaps discounting presents ALM challenges for with-profits funds
Switching to swaps
Dealers call for revised language on break clause close-outs
Current methodology to calculate a close-out value following the exercise of a break clause results in inaccuracies, claim dealers
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
Standard CSA: Industry's solution to novation bottleneck gets nearer
New CSA, new challenge
The push to a new CSA standard
Disputes over the valuation of trades backed by multi-currency credit support annex (CSA) agreements – in other words, those that allow counterparties to post collateral in multiple currencies and assets – has pushed the industry to develop a new…
BNP Paribas takes €108 million hit on swaps after switch to OIS discounting
French bank becomes the latest to divulge a revenue impact from a change to overnight indexed swap discounting
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
A practical challenge for collateral optimisation
Collateral conundrum
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing