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摘要翻译：
在即将出台的ISDA标准信贷支持附件(SCSA)中，以非G5货币计价的交易以及包括多种货币的交易预计将分配到美元筒仓，在美元筒仓中，合同以美元现金或不同的货币进行抵押，并有适当的利率叠加，以实现相同的经济效果。本文提出了一个简单通用的美元仓下清洁价格计价框架，并给出了初始期限结构构建的详细步骤。我们还表明，交叉货币互换(CCS)基差可以表示为两个互换利率之间的差。
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英文标题：
《Clean Valuation Framework for the USD Silo》
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作者：
Masaaki Fujii, Akihiko Takahashi
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
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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PDF链接：
https://arxiv.org/pdf/1112.1763
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