Isda to review close-out value definitions

christophecoutte-socgen

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 customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe

You are currently unable to copy this content. Please contact info@fx-markets.com 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 FX Markets? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a FX Markets 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: