Abstract
We study optimal strategies for posting collateral for OTC derivatives under Credit Support Annexes (CSAs) where substitution rights'' either do not exist or are hard to enforce. We present a simplified model which we are able to solve approximately in an efficient manner. Additionally we show that the optimal posting strategy is defined by the relation between suitably-defined term, rather than instantaneous, collateral rates, as would be the case in full substitution'' situations that have been studied in the literature so far.
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