CSA

Demystifying FVA

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There has been some confusion recently over Funding Value Adjustment (FVA).

On April 29th, Risk Magazine (subs required) reported that dealers were charging clients for FVA on collateralised trades, due to the quality and fungibility of collateral being posted by the client.

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Weekly Roundup | Collateral & Risk Management | 6 February 2014

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Collateral Management

 

Central Clearing Calls for Effective Collateral Management

As Central Clearing is more and more widely adopted around the globe, collateral, especially highly liquid collateral, is in high demand. Capco: Central Clearing Calls for Effective Collateral Management.

 

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Footnote 15 Currency and Rates Portfolios Can Be Portfolio Margined | BCBS Proposal for Margin on Un-Cleared OTC Derivatives

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The text of footnote 15 (page 12) in the Summary Of The Proposals for Margin on Uncleared OTC Derivatives reads thus:

"Currency and interest rate derivatives may be portfolio margined together for the purposes of these requirements. As an example an interest rate swap and a currency option may be margined on a portfolio basis as part of a single asset class."

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The week that was (aka Dazzling Derivatives; issue of 12th August 2013)

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Dear all,

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The 2013 Standard Credit Support Annex | ISDA podcast

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The 2013 Standard Credit Support Annex (SCSA) is now published following the ISDA Collateral Steering Committee's efforts for its development upon the request of the ISDA Board of Directors. The SCSA, a market-driven initiative with a flexible implementation approach, allows firms to move at the pace they deem appropriate. Market participants have the option of adopting the new SCSA or continuing to use the current CSA. ISDA will support both documents, and expects that a number of market participants will move to the new SCSA over time because of the benefits it offers.

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Isda AGM: Industry to address negative interest rates under CSA - Risk.net

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With OIS rates below low, in some cases the interest on your cash posted under a CSA can go negative, i.e. you pay to post. ISDA has been working on a clarification on this, and might issues a protocol. On the other hand it might mean a re-papering exercise for customised CSAs. Isda AGM: Industry to address negative interest rates under CSA - Risk.net.

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The week that was (issue of 8th April 2013)

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Dear all, Markit Acquires DTCC Stake in MarkitSERV: http://bit.ly/145hboz

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4sight | Collateral Optimisation ROI Whitepaper

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Collateral Management system vendor 4sight has published their views on the ROI when using collateral optimisation, the paper is on their news page below entitled "Collateral Optimisation Whitepaper", link below. http://www.4sight.com/resources

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