Credit support annex (csa)
Cutting Edge introduction: The collateral currency convexity problem
Casual assumptions can be seductive – but wrong. An examination of what is sometimes taken for granted can yield surprising results, as a new article on collateral currency shows. Laurie Carver introduces...
The crisis abolished the risk-free rate, and brought the role of credit support annexes to the fore in derivatives pricing. Paul McCloud develops the general pricing framework that allows the convexity...
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
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More Credit support annex (csa) articles
Uncleared margin rules could hold back new CSA adoption
New proposals on the margining of uncleared derivatives trades could dampen take-up of the standard CSA
New standard CSA could be hurt by WGMR rules
Some dealers have started trading under the standard credit support annex, but a requirement in new uncleared margin rules could subject many trades to a haircut, potentially causing a re-think. By Matt Cameron and Nick Sawyer
No exit: The problems facing UBS in its fixed income retreat
UBS is shutting down large chunks of its fixed-income business – the first dealer to announce such a dramatic step – but some of its now-unwanted trades could be difficult to exit. Risk looks at the challenges involved in unwinding a capital- and...
Danish and Latvian debt offices move to two-way CSAs
Cheaper swaps prices have convinced two more DMOs to sign collateral agreements
Sponsored forum: US inflation derivatives
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop of continued economic uncertainty, a raft of...
Interest rate derivatives house of the year: Goldman Sachs
As 2012 drew to a close, Goldman Sachs was involved in the first trades using the new standardised credit support annex (CSA), a document that had been in the works for two years. That was entirely appropriate. Goldman played an active part in the design...
Insurers look to negotiate CSAs ahead of new clearing rules
Insurers are seeking greater protection for their derivatives trades, but efforts to renegotiate credit support annexes with counterparties are proving to be protracted and insurers are looking at ways to sidestep new regulatory burdens. Blake Evans-Pritchard...
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Using market and credit risk analytics to strengthen performance
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