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- W3122452077 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." @default.
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- W3122452077 date "2011-01-01" @default.
- W3122452077 modified "2023-09-24" @default.
- W3122452077 title "Clean Valuation Framework for the USD Silo" @default.
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