Download This PaperFX Forward Invariance & Discounting with CSA Collateral
3 Pages Posted: 31 Jul 2017 Last revised: 8 Nov 2023
Date Written: July 1, 2017
Abstract
In what follows we outline briefly the Credit Support Annex and how it impacts securities pricing. We then proceed to discuss synthetic forward rate calculation and the FX forward invariance relationship from which we show how to calculate CSA collateral adjusted discount factors using GBP curves with a EUR CSA collateral as an illustration.
Keywords: FX Forward Invariance, CSA, Standard CSA, Native CSA, Non-Standard CSA, Yield Curve, Collateralization, Discount Factors
JEL Classification: A20, A23, C02, C60, C65, G12, G15, G21
Suggested Citation: Suggested Citation
Burgess, Nicholas, FX Forward Invariance & Discounting with CSA Collateral (July 1, 2017). Available at SSRN: https://ssrn.com/abstract=3009281 or http://dx.doi.org/10.2139/ssrn.3009281
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