Effective collateral management is becoming increasingly important to derivative practitioners, as more and more derivative trades are collateralized. According to the ISDA Margin Survey 2013 (June 2013), 73.7% of all OTC derivatives trades (cleared and non-cleared) are subject to collateral agreements, a dramatic increase from pre-crisis levels in 2007, when only 59% of trades had agreements in place. ISDA also estimates that the total collateral in circulation for non-cleared OTC derivative transactions is US $3.7 trillion, an increase of 177% from 2007.

As collateralization has become the norm, many market participants have observed a significant impact on valuations due to collateral conditions mandated by the Credit Support Annex (CSA). Flexible collateral posting terms (as well as other CSA terms) can increase the complexity of derivative valuations substantially, and practitioners must rethink their valuation approaches so they align with the terms of the CSA – a practice known as CSA discounting.

On Wednesday, December 11th featured speaker Anna Barbashova discussed best practices in collateral management and delved into the theoretical and practical aspects of CSA discounting.

Ms. Barbashova covered:

  • Collateralization – drivers and trends
  • Collateral management – complexities and best practices
  • CSA discounting primer
    • Pricing fully, partially, and non-collateralized deals
  • Managing embedded optionality in CSAs
    • Building Cheapest-to-Deliver (CTD) curves
  • CSA discounting case study
To view the on-demand webinar, just register on the right side of this page.

Featured Speakers:
Anna Barbashova, CrossAsset Product Specialist, Client Solutions Group, Numerix
Ms. Barbashova is a member of the Numerix Client Solutions team, focused on developing market initiatives and the implementation of market standards within Numerix’s core analytics platform – Numerix CrossAsset. Ms. Barbashova holds an MA in Financial Mathematics from Columbia University.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
newsletter issue - Jan 17, 2023

Thinking Derivatively – January 2023 Newsletter

newsletter issue - Dec 13, 2022

Thinking Derivatively – December 2022 Newsletter

newsletter issue - Nov 14, 2022

Thinking Derivatively – November 2022 Newsletter

newsletter issue - Oct 12, 2022

Thinking Derivatively – October 2022 Newsletter

newsletter issue - Sep 19, 2022

Thinking Derivatively – September 2022 Newsletter

newsletter issue - Aug 17, 2022

Thinking Derivatively – August 2022 Newsletter

on-demand webinar

Build Capital Market Apps Faster with NxCore Cloud

product collateral

Navigate the LIBOR Transition with CrossAsset | Fact Sheet

newsletter issue - Jul 11, 2022

Thinking Derivatively – July 2022 Newsletter

white paper

Article | A Few Insights into Crypto Risk

newsletter issue - Jun 8, 2022

Thinking Derivatively – June 2022 Newsletter

on-demand webinar

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help