Multi-currency CSA pricing issue needs to be resolved

Pricing post-crisis

Nick Sawyer

Dealers are scratching their heads over how to value certain derivatives products. There is little consensus, and some bankers talk about delving into the deepest, darkest realms of financial theory and modelling. They’re not talking about exotic derivatives products – they are talking about simple, plain vanilla interest rate swaps. Only they’re not so simple anymore, at least for those trades where counterparties have the right to choose from a list of eligible collateral that can be posted.

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