Cross-currency swaps
Is stochastic cross-currency basis a better way to model IM?
Using Monte Carlo model extension for forward IM calculation avoids excessive outputs for MVA
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around a third higher than initial count, with fewer set to rely on relief
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Buy side looks to cash in on euro swap pricing anomaly
Fixed rates on long-dated €STR swaps now above their Euribor equivalents
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Cross-currency swaps will use RFRs on both legs, says JP exec
Despite slow start, all-RFR swaps will become the market standard within a year, according to Tom Prickett
Banks explore ESG-linked deal contingents
Trend for tying derivatives to ethical criteria could soon extend to deal contingent hedges
HKEX to clear SOFR cross-currency swaps from early 2021
Legacy Libor cross-currency swaps could move to SOFR discounting at the same time
Malaysia Ibor trades vs SOFR in new sign of Asia transition
CIMB, Standard Chartered Malaysia strike second swap in region to use Ibor rate against US RFR
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable