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AnonymousQuantus
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Posts: 9
Joined: May 9th, 2012, 12:15 pm

Collateral posting for ASW

October 10th, 2014, 2:46 pm

What's the market practice regarding collateral posting for asset swaps. I would think that mark to market of (Libor+spread - coupon payments) is computed and corresponding collateral is posted i.e. bond price is not relevant.
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Collateral posting for ASW

October 10th, 2014, 6:36 pm

The derivative leg (swap) is totally independent of the bond leg, so, indeed, the bond price is not relevant.
 
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AnonymousQuantus
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Posts: 9
Joined: May 9th, 2012, 12:15 pm

Collateral posting for ASW

October 13th, 2014, 10:07 am

Thanks Martinghoul, I am wondering what's the ASW liquidity for bunds (and other German gov bonds) vs bonds liquidity.
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Collateral posting for ASW

October 13th, 2014, 10:59 am

Well, it's 2 legs, rather than 1, so it's probably a wee bit more challenging.
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