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@fx-markets.com or view our subscription options here: https://subscriptions.fx-markets.com
You are currently unable to print this content. Please contact info@fx-markets.com to find out more.
You are currently unable to copy this content. Please contact info@fx-markets.com 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@fx-markets.com
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@fx-markets.com
More on Trading
Morgan Stanley sees the elephants in the room
Fixed income co-head Jakob Horder argues hedge fund crowding means macro markets have fatter tails; eyes more FX hedging to come
Natixis bolsters Apac market-making presence with new hires
Additions include head of Apac linear G10 rates and FX trading, and China markets head
Low-vol gold rush points to further upside
Options markets see no scramble to chase metal higher despite 43% year-to-date rally
HKD trading surge highlights pegged currency challenges
Pricing options on currencies with a peg requires a “different mindset”, say traders
Has US dollar hedging hype faded?
While the initial wave of real money USD hedging flows disappointed some dealers, many believe there is more to come
Political turmoil rattles Turkish lira carry trade
Echoes of March crackdown that sparked market rout leave traders on alert
Hybrids go for gold
Spot gold surge sees investors eye dual digitals on new highs
How Amundi’s options strategy profited from dollar slump
French asset manager grabbed euro call options at low prices in a tactical pivot for its FX absolute return fund
