Discounting under CSA

  • Thread starter Thread starter Umnik
  • Start date Start date
Joined
8/21/11
Messages
121
Points
28
AS I understand, Currently there is a practice to discount non-collaterized deals with LIBOR-IRS curve and collaterized (under credit support annex) with OIS curves.

Question: how would you discount CSA deals for currencies with dead OIS markets - through regular Money Market Fixings + IRS or through USDCCY FX Forwards and XCCY?
 
Back
Top Bottom