ISDA is reviewing guidelines for valuing certain derivatives

09/12/2011 | FX Week (U.K.) (subscription required)

Dealers voiced concerns about how derivatives that are closed out early should be valued, prompting ISDA to review its guidelines. "ISDA needs to clarify whether you use the risk-free or counterparty risk-adjusted close-out value," said Damiano Brigo, a finance professor at King's College. "Either way has problems, but there is a need for consistency in the market." An ISDA spokesman confirmed that the group is looking into the issue.

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