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

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