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


The first trades under the new standard credit support annex (CSA) were executed at the end of last year – the culmination of a two-year-plus project to revamp the document after the existing CSA became a source of valuation disputes. But a single sentence in the appendix of new proposals for the margining of uncleared derivatives could hold back adoption of the new agreement, some dealers acknowledge.

The issue centres on a mechanism designed to mitigate cross-currency settlement risk, or

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