Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
As more insurers and pension funds use corporate bonds as collateral in derivatives trades, concern is growing over how dealers are valuing these transactions.
Buy-side firms report little consensus among dealers over the method for calculating the discount rate for trades backed by so-called ‘dirty CSAs’ – credit support annexes that allow counterparties to post a range of collateral, including corporate bonds.
Jasper Livingsmith, head of G7 portfolio management at the European Bank for
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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
EC official ‘positive’ on launching NBFI repo facility
Isda AGM: EU may follow UK with contingent liquidity facility for periods of market stress
Built for stress: rethinking liquidity management in a new era of risk
Funding liquidity strategies must evolve to thrive in a climate defined by volatility, regulatory pressure and rising depositor stress
US exchanges fight SEC fee caps in court
Cboe and Nasdaq expected to defend rebates that critics say impede market efficiency
Eyes on automation as FX options volumes surge
Dealers and trading platforms are making gradual progress to electronify foreign exchange options pricing and workflows
Standard Chartered taps Newman to head rates and FX trading
UBS veteran becomes latest fixed income trading exec to leave Swiss bank
FSB exec says reduction of NBFI leverage not a target
Isda AGM: Martin Moloney says the body isn’t seeking wholesale cut in leverage across markets
APG upbeat on sustainability derivatives despite setbacks
Isda AGM: Dutch pension fund manager’s chief executive believes instruments have room to grow
Isda proposes oversight group for CDS process
New governance committee the “first step” in credit determinations revamp
