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Swaps Losses Are Next Worry With Asset-Value Reports Coming Due

March 19, 2020, 4:43 PM

There’s a reckoning coming in the over-the-counter derivatives market as investors have to file end-of-the-month reports with dealer banks detailing the depreciation of swaps positions from cratering global financial markets.

Known as net-asset-value statements, or NAVs, the information is required under International Swaps and Derivatives Association agreements that govern trades in interest-rate, currency, energy and other swaps. While the reports are a regular occurrence in private derivatives trades, recent volatility has been anything but. If positions fall a certain amount in a certain time period, dealers can either close the positions or demand more collateral, said Molly Moore...

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