Counterparties clash over ‘dirty’ CSAs

Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion

The new year brought a headache for holders of non-cleared euro interest rate swaps – and not from festive overindulgence. Many now face the prospect of renegotiating collateral agreements known as credit support annexes (CSAs) after the reference rate, Eonia, ceased on January 3.

The problem affects counterparties who failed to voluntarily rehitch their CSAs to the replacement rate, €STR. These holdouts have seen their contracts forcibly flipped to €STR plus a spread of 8.5 basis points, in

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