LCH.Clearnet is to begin using the overnight index swap (OIS) rate curves to discount its US$218 trillion IRS portfolio. Previously, in line with market practice, the portfolio was discounted using LIBOR. However, an increasing proportion of trades are now priced using OIS discounting. After extensive consultation with market participants, LCH.Clearnet has decided to move to OIS to ensure the most accurate valuation of its portfolio for risk management purposes. LCH.Clearnet already uses OIS rates to price the rate of return on cash collateral. From 29 June 2010, US dollar, euro and British pound trades in SwapClear will be revalued using OIS.
Roger Liddell, chief executive, LCH.Clearnet, said: “Accurate pricing is essential for prudent risk management. With the market moving increasingly to OIS, it was important for us to consider the implications of this. Our move to OIS discounting demonstrates our commitment to the highest standards of risk management and the sophistication of our SwapClear service.”
The annual BNP Paribas Cash Management University kicked off on Thursday morning with treasury professionals congregating in Paris from across Europe.
APIs may be a solution to MT940 challenges, says Karen Fagan, treasury operation manager, for British television company, ITV.
Kicking off the first day of the Singapore Fintech Festival, issues with cryptocurrencies were addressed by MIT media labs director, Joi Ito, and panels of technology leaders discussed how they’re using data analytics.
Sibos 2017 day two highlights: Brexit and banking, and why ‘data is the new oil’ in financial services
How nation first politics can impact global financial organisations It’s clear that data and regulation are the two key topics that are ... read more