I am wanting to do MTM valuations of uncollateralised swaps as our banks have switched to using the USD OIS curve for their discounting (assuming no xVA adjustments). None of the cashflows we are using are denominated in USD (our local currencies don't have liquid OIS curves).
How do you make the adjustment for currency basis between the USD and native cashflows? Does anyone know how this extends to cross-currency swaps that are both in different currencies to the curve?
We can't value the swaps at its own funding rate because we have no idea what that is - the bank is providing MTM calculations with no adjustments so I presume we can do the same (base discounting using the OIS curve).
Any light on any of this would be seriously appreciated.
Thanks ahead of time