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Collateral posting for ASW

Posted: October 10th, 2014, 2:46 pm
by AnonymousQuantus
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.

Collateral posting for ASW

Posted: October 10th, 2014, 6:36 pm
by Martinghoul
The derivative leg (swap) is totally independent of the bond leg, so, indeed, the bond price is not relevant.

Collateral posting for ASW

Posted: October 13th, 2014, 10:07 am
by AnonymousQuantus
Thanks Martinghoul, I am wondering what's the ASW liquidity for bunds (and other German gov bonds) vs bonds liquidity.

Collateral posting for ASW

Posted: October 13th, 2014, 10:59 am
by Martinghoul
Well, it's 2 legs, rather than 1, so it's probably a wee bit more challenging.