Template:Vwapadjustment: Difference between revisions

The current IRS interpretation is that benchmarking a derivative (swap) to the close is viewed a cross (guilty until proven innocent).  As such, one should not use the official close benchmark if trades are held until maturity as it would then invalidate them as true derivatives and recharacterize them as [[repo]]s.  We thus have to legally confirm [[VWAP]] over the day as an observable benchmark price for termination.  This does not, however, prevent a client from early terminating the swap exposure in methods other than [[VWAP]]."