November 9, 2023 (NO COMMENTS)

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