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CSA Management: One of the most underrated aspects of the IBOR transition?

The IBOR transition brings many changes to the capital markets sector. One of the critical challenges of transition management is the amendment of collateralization for OTC derivatives. PAI (and implicitly discounting) needs to be adapted for EUR and USD-cash collateral from EONIA and EFFR to the new Risk Free Rates (RFRs) €STR and SOFR. This has to be done by the end of 2021 [1] (EUR) and the end of 2020 [2] (USD), respectively. While the adjustment for cleared derivatives is managed centrally by the CCPs, counterparties of bilaterally collateralized derivative portfolios must amend the collateral agreements by themselves. This requires EONIA or EFFR based legacy CSAs to be negotiated and compensation payments between counterparties to be settled. Complexity is increased further as many market participants still have some non-standardized legacy CSAs with features such as embedded floors or thresholds in place. Strategic options (backloading, counterparty selection, novat

Seminare der LPA Academy 2019

IBOR Transition

Seminare der LPA Academy 2019

IBOR-Reform Seminar

Benchmark reform: the way into a new interest world

Benchmark reform

Contract and Fallback Management

The IBOR reform and the resulting transformation towards a new system of reference interest rates

Swiss perspective on IBOR Transition

IBOR Transition

Postponement of EU BMR December 2019 deadline

LIBOR and EURIBOR - Will recent developments mark the end?

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