Cross-currency swaps
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
Interest rate derivatives house of the year: Standard Chartered
Asia Risk Awards 2022
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 one-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
Interest rate derivatives house of the year: Deutsche Bank
Asia Risk Awards 2021
House of the year, Hong Kong: Crédit Agricole
Asia Risk Awards 2021
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