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OIS Discounting

OIS discounting is the consequence of a renewed understanding of what it means to trade on a risk free basis. This not only impacts the pricing of OTC derivatives, but it significantly restates the risks which presents organisational challenges for banks and financial institutions

Dates to be confirmed
Singapore, Singapore

Why You Should Attend

OIS Discounting

Since the global financial crisis many of the assumptions underpinning the foundation of modern finance have been critically examined and questioned. One of the most fundamental questions raised is at what level should future cash flows from derivative trades be discounted? Before 2008 this question would have been quite straightforward to answer, but now the response must be it depends. Where collateral is posted against a derivative position, the consensus view is that overnight index swap (OIS) rate is the correct basis for discounting the underlying derivatives. This is, however, more complex than just using the OIS curve for discounting as pricing is dependent on the type of collateral posted.

The move to OIS discounting also has consequences for risk management as an OIS-discounted derivative portfolio is likely to be exposed to new types of risk that are not traditionally associated with swap books.

OIS discounting impacts on the front office, risk management, finance, middle office, operations, and the quant and technology teams. Successful integration of OIS discounting very much depends on widespread understanding of the implications across the whole organisation.

This workshop is designed to provide both an overview and detailed technical knowledge of OIS discounting for those currently working with or planning a migration to OIS discounting.


Key Topics

  • Be able to describe the drivers behind the adoption of OIS discounting for trades where collateral is posted against a derivative position as well as discuss how central clearing works and the role it plays in mitigating credit risk.
  • Be able to build an OIS curve and understand the complexities of building step date curves.
  • Understand why dual bootstrapped is required and how to build a single and multi-currency CSA curve.
  • Estimate the cost of moving a trade to a collateral curve
  • Describe the process of generating a CSA translation matrix and the impact of optionality on the risk of a multi-currency CSA position
  • Previous Attendees Include

    • Maybank • ING • JPMorgan • NAB • ANZ • Westpac • Nomura • Morgan Stanley • Standard Chartered• Mizuho • RBS • Sberbank • Nordea • Credit Agricole • Vietcom Bank • Santander • ICICI • Societe Generale • HDFC Bank India

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Mary-Anne Loui

    Suite A-20-1, Level 20, Hampshire Place Office
    157 Hampshire, 1, Jalan Mayang Sari

    Fax: +603 2723 6699