Cross-currency swaps
Development banks team up for FX hedging push
Banks such as EBRD and World Bank club together to improve emerging market funding tools
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
Popular CNY carry trade starts to lose traction
Investors seek unwinds of China govvies swapped into USD after FX and rates movements dent its appeal
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
JPM eyes tokenised FX swaps on digital assets platform
New intraday currency swaps would cut settlement risk and bring capital benefits, architects say
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
FX forwards dealers face added challenges in P&L analysis
Mark-out tools for forwards and swaps trading may not be a panacea
US corporates tap euros for cheap debt and FX hedging
Interest rate differentials and cross-currency basis drive highest reverse Yankee issuance since Covid
IDB to expand contingent swap scheme in Latin America
New mechanism gives regional development banks cheaper FX rates with hedges linked to credit events
Survey: FX swaps e-trading sees greater client sophistication
BofA study shows increasing electronic trading of derivatives as users embrace MDPs and APIs
What T+1 risk? Dealers shake off FX concerns
Predictions of increased settlement risk and later-in-the-day trading have yet to materialise
Brazil readies long-dated FX hedging scheme for green projects
Development bank IDB will lend its credit rating to unlock cheaper USD/BRL hedges out to 25 years
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
The authors propose a stochastic cross-currency basis model extension to resolve the impact of missing risk factors when estimating initial margin and margin valuation adjustments in cross-currency basis swaps.
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
Why KfW revived an old idea for cross-currency collateral
Transport currency concept re-emerges at SwapAgent, but dealers warn of hidden FX risks
SA-CCR gives RBC a chance to prove its worth
RBC attempts to entice buy-side clients with aggressive FX forwards pricing strategy
LSEG bolsters non-cleared ambitions with Acadia deal
Exchange group plans to build ‘a clearing house for the non-cleared world’, says LCH CEO Maguire