gt news | JANuary 2013 | by Anna Barbashova, Client Solutions Group, Numerix

In this article, Anna Barbashova of the Numerix Client Solutions Group explores multi-currency credit support annexes (CSAs) in the derivatives area and their potential impact on pricing for treasurers and other financial professionals. She also delves into related challenges that practitioners face in terms of collateral management and optimization.

The article highlights why efficient collateral management is fundamental in the new post-crisis world, and identifies why cheapest-to-deliver (CTD) collateral can be necessary for profit, effectiveness and liquidity.

Highlights include:

  • Understanding CSA complexity and the drivers for a Central Collateral Management Process
  • Collateral choices and choosing the right discounting curves for accurate valuation 
    • What is the Cheapest-To-Deliver (CTD) collateral curve? 
    • How to construct a CTD curve
    • What does your CSA tell you?
  • Managing Embedded Optionality in Credit Support Annex (CSA) Agreements

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