Cross currency swaps
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
China’s caution on compression stretches global banks’ risk limits
Systems lags and lack of capital pressure blamed for apathy on swaps compression
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
Funding changes break cross-currency, Libor/OIS link
Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore
Monthly swaps data review: basis swaps galore
Data shows how less well-traded OTC instruments performed through September
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Banks prepare for bumpy ride as margin deadline looms
Banks and funds may have limited set of counterparties on September 1
HKEx: real-time settlement key to cross-currency swap clearing
JSCC and KRX also said to be working on cross-currency swap clearing offerings
Non-cleared market is changing – not dying
Non-cleared swaps market faces challenges, but it is adapting, writes Isda’s Scott O’Malia
Banks launch drive to crush outsized XVAs
Novations and profit-sharing form part of push to trim derivatives valuation adjustments
US dollar/yen basis blows out to –100 on negative rates
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Deal of the year: Republic of Senegal / SG CIB / MIGA
Loan insurance from arm of World Bank helped cut CVA and KVA on a $250m cross-currency swap
Risk solutions house of the year: Goldman Sachs
US bank restructured huge Swiss franc swap during market turmoil
How FVA saved the cross-currency swap
Funding benefits have slashed pricing for some uncollateralised trades
Dodgy discounts: DVA claims fly in cross-currency market
Derided pricing adjustment is being used to undercut competition, traders claim
Banks clamp down on pre-hedging over manipulation fears
Front-running concerns could leave market more exposed to liquidity risk
For a few dollars more: Japan banks tackle dollar/yen basis jump
Soaring cross-currency swap prices force dollar funding rethink
Dollar/yen basis blows out as leverage ratio bites US banks
Basis at its widest since European banks faced a global dollar funding squeeze in 2012
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Chinese corporate hedging costs soar after PBoC forex clampdown
New rule leads to 400bp price hikes as companies hedge renminbi fall
Illiquidity worries UK insurers in forex hedging switch
Cross-currency swaps could become more expensive as firms' demand increases