Cross-currency swaps
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
Courting the AIIB: dealers eye development bank “goodies”
Beijing-based supranational expected to be heavy swaps user
Canada to collateralise cross-currency swaps
Finance ministry hopes two-way CSAs will cut costs and risks on hefty swaps flows
Hong Kong CCP to be first to clear cross-currency swaps
Initial product suite will be RMB focused to suit need of mainland banks
Corporates eye cross-currency swaps as Euribor sinks
Cheaper swaps are encouraging some companies to chase lower debt costs
Interest rate derivatives house of the year: Deutsche Bank
Risk Awards 2015: German bank managed to marry efficiency with high margins
JCRA: A collapse in the cost of credit
Credit charges have dropped to pre-crisis levels, says consulting firm's CEO
Options cutting costs for some cross-currency swaps
Dealers found a way to protect some cross-currency swaps from heavy new capital requirements last year, by adding foreign exchange options into the structure – but the powers of the technique are limited. Matt Cameron reports
Profile: Network Rail sings the praises of two-way CSAs
Getting there
Low yields force Asian insurers to reassess ALM strategies
With long-term bonds in short supply and falling interest rates putting pressure on earnings, Asian insurers are considering giving up on asset-liability matching in order to chase yield. Blake Evans-Pritchard reports
Asian insurers abandoning liability matching in the hunt for yield
Ultra-low rates forcing companies to shift focus from asset-liability matching