Someone in this thread mentioned this possibility few years ago.

If you would write down the payoff in full, it may help to understand better.

<t>QuoteOriginally posted by: DavidJNTo understand what is possible one needs to consider the relevant legal documentation. The set of available currencies for collateral movements is defined in legal terms in the Credit Support Annexes (CSAs) to the ISDA Master Agreements signed between counterpart...

What is the payoff? If it is [S_eq * S_fx - K]^+, it looks like compo.

I have been hoping that ADE is particularly suitable for GPU. But it seems to be not the case, right?

<t>QuoteOriginally posted by: rmaxSo what if it s Branch in another country? What is the domestic currency in this case?These are already details, which depend on the branch legal position and the policy of the bank. I am interested in big fishes in their own water. What are the preferences of Nomur...

<t>QuoteOriginally posted by: DavidJNAgree with Martinghoul that this is a counterparty specific issue rather than country specific. I once saw some Deutche Bank stuff on this, maybe contact those people?I would love to. Can you give a name?QuoteOriginally posted by: rmaxAgreed. I worked at a place ...

I have a strong feeling that cheapest-to-delivery is country specific. This what I try to prove or disapprove. I am looking for some empirical research or may be people can share the preferences of banks they know. I don't think this is a commercial secret.

<t>The easiest way is to look at EUR 3M-6M basis swap. It is usually quoted as a difference of two plain IRS, 3M and 6M. If 3M and 6M par rates change by the same amount, the basis spread (difference between those two) obviously remains the same. So the par basis swap should be still at par. Off-par...

<t>Hi,Lots of CSA agreements allow for multiple currencies to post. I wonder if banks in particular countries have preferences for particular currencies?I know that European banks mostly prefer to post EUR as collateral. I have heard that Japanese banks prefer to post JPY.What about Australia, UK, o...

<r>Hi,Did anybody manage to get this paper by West? <URL url="http://www.finmod.co.za/WestYieldCurvesOIS.pdf">http://www.finmod.co.za/WestYieldCurvesOIS.pdf</URL> I can find only some short 4 page version. I would appreciate if you can post it here or send it to me.ThanksQuoteOriginally posted by: G...

Can anybody shed some light on timing? If EONIA rate is fixed today, does the cash flow occur today or tomorrow?

<t>QuoteOriginally posted by: riskguruLet me take another crack at the "yes it does" "no it does not" debate here. Covered interest rate parity is a no arbitrage condition. Any no arbitrage condition is conditional on well functioning markets that allow the arbitrage to be costlessly executed by eno...

<t>Hi,I always thought that vanilla trading was all about volatility. But it seems not the case anymore. So a couple of questions, which someone with FX trading experience may kindly clarify for me.When a bank trader asks a broker for quotes on an FX vanilla option, what exactly is negotiated?Do bro...

QuoteOriginally posted by: TinManAlternatively, get a CSA in place!It is not always possible. And BTW, does CSA cover my full exposure to the counterparty?