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optional collateral
I've go a portfolio of collateralized USD swaps (for simplicity) and the collateral can be in USD and EUR (ok, either I post or I receive).1.First of all, how can I agree with counterparty on the collateral currency?In the CSA it is written we have to agree but how can we agree on that if it is favourable for me or favourable for counterparty? 2. How can I calculate what is better to post (either USD or EUR) or what is better to receive?3. How can I calculate it?
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- Martinghoul
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optional collateral
1. Get lawyers on the case. They'll figure something suitably complex out.2. Look at the x-ccy basis swap.3. See 2.