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arXiv · 1112.1763

Clean Valuation Framework for the USD Silo

Masaaki Fujii·Akihiko Takahashi
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Abstract

In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate interest rate overlay to achieve the same economic effects. In this paper, we have presented a simple generic valuation framework for the clean price under the USD silo with the the detailed procedures for the initial term structure construction. We have also shown that Cross Currency Swap (CCS) basis spread can be expressed as a difference between two swap rates.

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Masaaki Fujii, Akihiko Takahashi. 2011-12-08. Clean Valuation Framework for the USD Silo. https://arxiv.org/abs/1112.1763

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