While practitioners generally agree that fully collateralized trades should be discounted at the rate paid on the collateral, overnight rates instead of LIBOR, there is less agreement on exactly how to price partially collateralized or uncollateralized trades and how to include a funding charge in the price to reflect a firm’s true cost of funding. Moreover, optionality embedded in Credit Support Annexes (CSAs) can make the pricing exercise even more complicated.
Join Numerix on as featured speaker Dr. Tom Davis, VP of the Client Solutions Group, discusses the fundamentals of OIS discounting and Funding Value Adjustment for OTC derivatives and delves into the relationship between the two concepts.
Dr. Davis will discuss:
- Collateral discounting and OIS
- Credit Support Annex
- A Primer on Funding Value Adjustment
- Intuitive FVA
- Case Study
- How do you pass on this charge?
- Conclusions
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