Cross-currency swaps
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
Lack of CSAs restricts forex hedging options for Australian institutions
Returns for hedging via long-term cross-currency swaps are attractive, but few are able to do so because of the lack of credit support annexes in place
Australian banks lobby for reduced margin on cross-currency swaps
Current treatment of initial margin on uncleared swaps will cost Australian banks $21 billion
Cross-currency flap leaves cloud over IFRS 9
Purely hypothetical
Insurers look to negotiate CSAs ahead of new clearing rules
Support structures
Asian currency hedgers to be hit by ‘fatal flaw’ in new accounting rules
A major change is needed to correct new hedge accounting rules, which could restrict derivatives use by Asian firms hedging their foreign currency exposures