Collateral convexity complexity

Collateral convexity complexity

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One of the more persistent after-effects of the market dislocations of recent years has been the significant widening of basis spreads, which has in turn resulted in greater variability in the rates of return on collateral posted in different currencies. Combined with the recognition of the central role that collateral plays in the structure of a trade, this has led to the gradual adoption of a new approach to discounting. But its increased complexity has not been simultaneously matched by a

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