Over the past few months I have been observing a wide range in broker GBP swaptions quotes. One thing I notice is that the brokers have different currencies specified in the CSA agreements we have with them, and I am investigating whether this could be resulting in a pricing adjustment. For example, if I buy an out of the money payer, then there will be an expectation that over the life of the option I will be receiving collateral denominated in whatever currency is agreed in the CSA. If I have USD collateral with one broker, and JPY with another, then presumably I'd expect a lower quote for the JPY payer, as I'd have expected xccy basis swap hedging costs to factor in. Else I could book back to back swaptions at same price and just earn the free USD/JPY xccy basis spread.Is anyone aware of this pricing effect?Thanks

See my reply in General forum