As simple as possible;
but no simpler

Goldman and the OIS gold rush….

A very interesting article in last month’s Risk, on the pre and post crisis OIS gold rush – Goldman and the OIS gold rush.

If several trading desks were up to 4/5 years behind Goldman in OIS/Libor and XCcy bases pricing, I wonder how far behind their market risk departments are.

Would all trades with cross currency CSAs report XCcy basis? Makes one wonder …

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