Credit support annex (CSA)
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Long road for standardised Islamic derivatives documentation
A bespoke route
One-way collateral agreements with sovereign leave banks exposed
A call for collateral
Collateral could add billions to European debt figures
Swedish debt figures set to grow by Skr15 billion as country falls in line with EU guidelines on collateral reporting - Belgium resisting two-way CSA over possible debt impact
Isda working group to draw up new, standardised CSA
Derivatives market set for shake-up as confusion over how to price multi-currency CSA trades drives a push towards a standardised collateral agreement
Central banks accused of collateral hypocrisy
Despite the funding risk it creates, central banks still refuse to sign two-way collateral agreements
Dealers face funding time-bomb from one-way CSAs
Five banks disclose $30 billion obligation from one-way collateral agreements - and dealers warn costs could soar as interest rates rise
One-way CSAs pile up funding risk for banks
A call for collateral
Sponsored statement: Bank of New York Mellon
Regulatory reform – The shape of things to come
KfW now using two-way CSAs, dealers claim
Several sovereigns, supranationals and agencies are considering following Portugal’s lead and posting collateral to derivatives counterparties, say dealers
New CFTC documentation rules could force Isda master modifications
Proposed US rules might require changes to standardised global derivatives agreement
Interest rate derivatives house of the year: Barclays Capital
Risk awards 2011
Risk Italia Rankings 2010
A twist in the tail
Sovereign two-way CSAs would probably resemble one-way posting, says Dutch DMO
High thresholds would reduce credit and funding benefits of two-way CSAs for banks, DSTA head says
Ban on rehypothecation could increase derivatives costs
A number of hedge funds are now insisting margin posted on derivatives trades is not rehypothecated – a trend that could drive up costs
Rehypothecation dilemma
Rehypothecation dilemma
US municipalities wary of two-way CSAa
Cornered on collateral
Spanish debt office in negotiations on credit support annex thresholds
Government agency looks to alleviate funding costs for bank counterparties in swaps transactions.
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
Funding beyond discounting: collateral agreements and derivatives pricing
Standard theory assumes traders can lend and borrow at a risk-free rate, ignoring the intricacies of the repo and collateralisation markets. Here, Vladimir Piterbarg shows that these force adjustments to discounting, forward prices and implied…