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

Download Research

Complete the form below to download this complimentary article originally published in gtnews.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

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

* Required fields
written blog

The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR...

newsletter issue - Jul 14, 2020

Thinking Derivatively – July 2020 Newsletter

on-demand webinar

The LIBOR Transition: A Risk Management Stress Event

analyst report

Structured notes : Transforming risk into opportunities | June 2020

newsletter issue - Jun 10, 2020

Thinking Derivatively – June 2020 Newsletter

on-demand webinar

Preparándonos para un mundo sin la tasa Libor

newsletter issue - May 13, 2020

Thinking Derivatively – May 2020 Newsletter

on-demand webinar

The Benefits of Python with Numerix CrossAsset: Migrating Excel Use Cases to Python

fast track course

Content Collection | Numerix MasterClass: LIBOR Reform

on-demand webinar

The LIBOR Transition: Impact of SOFR Switch on Swaptions

newsletter issue - Apr 15, 2020

Thinking Derivatively - April 2020 Issue

analyst report

LIBOR Risk Q1 2020 | Risk Magazine Quarterly Report