Banks abandon OIS discounting as costs rise

摘要

Investors have raised concerns over dealer valuation of collateralised derivatives amid evidence that banks are abandoning a standard calculation and moving to a new method based on individual costs. The change, described by one investor as "one of the most significant developments in OTC markets over the past 12 months", means that instead of valuing derivative positions using the overnight index swaps curve, they value the trades at OIS plus a spread, which may include any number of balance sheet items, including regulatory capital and funding.