June 25th, 2013, 12:47 pm
QuoteOriginally posted by: miscelaniaQuoteOriginally posted by: MartinghoulWhat are the terms of the CSA under which the FX fwd has been transacted? Specifically, what ccy is the collateral?Hello,Thanks for your reply.It is a non collateralized FX fwd.Thank you,So you have direct, uncollateralized exposure to the counterparty? You'll have to get creative then and use a discount rate that takes into account the riskiness of the counterparty (using CDS, bond yield, what have you).