EBU Single Rulebook Q&A 5 January 2022 2022_6331 Collateral swaps with underlying collateral baskets

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European Union · · · 20-01-2023

How to create combinations for collateral swaps with underlying collateral baskets for a special case where no asset left for one leg? Please see more details with the example. InQ&A 3313, you answered how to define combinations for one example of collateral swap.What is the expected result if we adjust the example as follows:One collateral swap matures within 30 days.

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