End-users face extra unwind costs from CSA rate floors

Dealers demanding compensation for extra funding costs

unwind-coils
In-the-money end-users have been caught out when looking to unwind trades

Derivatives end-users are facing millions of dollars of extra charges to unwind or novate certain trades thanks to the impact of negative interest rates on collateral agreements.

The value of interest rate floors in collateral agreements, known as credit support annexes (CSAs), has surged since central bank rates started turning negative in 2014. The floors reduce variation margin requirements for collateral posters and keep them from having to post interest on top of margin payments.

Some in

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: