Markit expands overnight indexed swap discounting methodologies

By Susanna Moon

Chicago, July 31 - Markit said its portfolio valuations service enhanced its overnight indexed swap (OIS) discounting methodologies to allow for more accurate valuations of collateralized and uncollateralized trades.

The move allows Markit clients to select the discounting method that matches their credit support annexes, namely OIS, Libor or specific dual-currency funding curves, and to match the funding curve to the tenor basis of the trade, according to a press release.

"We recognize that the choice of funding curve can have a significant impact on trade valuations, and we have been working with our clients and partners to reflect the change in market standard in our valuation methodologies," Nigel Cairns, managing director and global head of risk analytics and portfolio valuations at Markit, said in the release.

"This enhanced functionality will allow our clients to select discount curves that most closely reflect the funding and collateral terms underlying their specific trades."

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