dyga

As it is an OTC-instrument you could change the contract to different discounting, but it makes no sense even if counterpartys would have totally different credit ratings. This is because the payment due flows 2 days after LIBOR fixing - so there is only a settlement risk, no credit issue here. This makes it different to the loan where the repayment flow occurs at the end.

However when you mark a FRA to market (before maturity) you could apply risk-adjusted discounting when your NPV is positive because the flow is at risk until the contract settles. You would essentially discount (like Schweser is doing) via the risk-free rate to get the exposure which is at risk. For a AAA customer you would leave it there and for worse ratings you shift the dicount curve upwards to reflect credit costs in the NPV. But this is only internal credit pricing and has nothing to do with the actual flow occuring when the contract settles!