Credit support annex (CSA)
Eight months needed for smooth Asia variation margin roll-out
The alternative is an unprecedented repapering exercise, writes Isda's Scott O'Malia
An imperfect solution: Derivatives create new challenges for buy side
Sponsored survey analysis: Calypso Technology
March margin deadline may force clients onto new CSAs
Dealers say they lack capacity to renegotiate thousands of existing collateral agreements
CFTC relief caps day of swaps margin mayhem
Banks unable to face up to 50% of counterparties due to custodian bottlenecks
Banks prepare for bumpy ride as margin deadline looms
Banks and funds may have limited set of counterparties on September 1
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
End-users face extra unwind costs from CSA rate floors
Dealers demanding compensation for extra funding costs
'Cherry-picking' claims fly in CSA rate floor negotiations
Traders accused of self-interest in negative rate floor discussions
Japan struggling with negative rate impact on swaps
Dealers facing issues with collateral interest payments and loan mismatches
India’s public sector banks warming to CSAs
Bankruptcy law reform could prompt a shift in attitude at State Bank of India
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
FVA sceptics lose ground in valuation debate
Market needs to move on from theoretical argument and focus on numbers
Law firm of the year: Cadwalader, Wickersham & Taft
US law firm proposed relief to Tob programme, and won mandate to develop rule change
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Cash-22 – The regulatory conundrum
Sponsored feature: RBS
Australian supers push for collateral posting rules revamp
Aussie super funds face higher dealer charges because of collateral rules
Cutting edge introduction: Expanding collateral options
Two RBC quants propose a way to value CSAs with more than two currency posting options
A non-linear PDE for XVA by forward Monte Carlo
Vladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing…
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
FVA – what's wrong, and how to fix it
Albanese and Andersen elaborate on controversial Risk article