Bloomberg Law
March 19, 2020, 4:43 PM

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

Matthew Leising
Matthew Leising
Bloomberg News

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 ...