Multi-currency CSA chaos behind push to standardised CSA

The evolution of swap pricing


"It's difficult to stand in front of regulators and say the over-the-counter derivatives market is functioning well when we can’t even agree how to price a plain-vanilla interest rate swap.” So says one global head of interest rate derivatives at a major bank – and his concern is repeated again and again across the industry. Once seen as the simplest derivatives instruments to price, the major dealers now realise even plain-vanilla interest rate swaps can be exceptionally complicated to value in

To continue reading...

You need to sign in to use this feature. If you don’t have a 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 indvidual account here: