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Tagged with collateral swaps
2
questions
2
votes
2
answers
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Collateralized / uncollateralized swap
Is a fully collateralized interest rate swap considered free of counterparty credit risk? Or close to risk free? Therefore discounted by the rate that best proxies the risk-free rate (which is the OIS-...
8
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Why is CSA currency OIS rate used in discounting instead of local currency OIS?
I have been struggling to understand the logic behind cross currency OIS discounting (where cash flows happen in different currencies than the collateral is paid). I will illustrate my question ...
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