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#6151
rkapl
Participant

Dear Niall!

Thank you very much for the detailed Explanation, it’s 3) indeed.
We’ve decided to settle for the <ForeignCCY> in EUR Option, as we have collateral in EUR (based in EUR) and the Triangulation of Basis swap rates should also be sufficient for ForeignCcy1/ForeignCcy2 Swaps (e.g. CHF/USD).
At the same time we have the collateral in EUR effect covered with that as well.

-regards,
Roland