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Buy-siders bemoan dark arts of corporate bond CSA discounting

Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements

Jasper livingsmithEuropean bankDiscounted cashflowOis discountingCorporate bondsLiquidity coverage ratio lcrEt stable funding ratio nsfrAluation adjustments xvasBuy sideCapital requirementsHeapest to deliver ctdRedit support annex csaGovernment bondsNterest rate swapsPension funds

Bund volatility sparks uncertainty around futures delivery

Changing cheapest-to-deliver status catches some traders off guard despite Finanzagentur intervention

September germanBond futuresHeapest to deliver ctdGovernment bonds

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