Market conditions that impact derivative values move every day, and the bank is both posting and receiving collateral through margin calls. Under stressed market conditions those moves can be much lar
The credit support annex (CSA) can carry terms set against the external credit rating of the bank, and those terms are the downgrade triggers. They require the bank to post more collateral, or to pay
In derivative transactions the credit support annex (CSA) sets the terms of the collateral, and it can give the counterparty the right to substitute the collateral it has posted without the consent of
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