Valuations: Challenges and Opportunities in the Era of Cleared OTC Derivatives

openlink-mark-abrams
Mark Abrams, financial sales manager for Findur, OpenLink.

What's the current value of that five-year interest-rate swap you executed last year? What about the value of the long-dated exotic rate steepener you sold a few years back? Why isn't the pricing consistent on both? Historically, answering such questions accurately and quickly has only primarily been straightforward for the most sophisticated derivatives dealers and end-users.

In the near future, having a satisfactory response to such basic valuation questions should, in theory, become easier

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