'Cherry-picking' claims fly in CSA rate floor negotiations

Traders accused of self-interest in negative rate floor discussions

Opportunistic? Some banks are deciding not to sign the negative interest protocol "because that will have a negative influence on their books"

Banks and end-users are accusing each other of trying to take advantage of the valuation uncertainty surrounding the impact of negative rates on uncleared derivatives contracts.

The move of many benchmark interest rates into negative territory over the past two years has forced counterparties to re-examine the value of interest rate floors written into collateral agreements, known as credit support annexes (CSAs).

Most major banks and firms have signed up to an industry protocol agreeing to pass

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