Questions tagged [cross-currency-basis]
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105 questions
1 vote
1 answer
195 views
Getting historical data on cross-currency basis
I have a series of USD short-term bond yields that I would like to convert to CAD equivalents. Conceptually, one could do \begin{equation} r_t^\text{CA} = \text{CORRA}_t + (r_t^\text{US}-\text{SOFR}_t)...
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0 votes
0 answers
64 views
What is a CCS exposed to when collateral is in a 3rd currency?
Say I enter a SEK USD xCCY swap, however collateral is posted in EUR. Does this have exposure to SEKUSD basis or SEKEUR basis or both? If the answer is 'both', is the risk symmetric? My attempt at an ...
- 49
2 votes
2 answers
143 views
Why doesn't this rateslib code show FX risk for xCCY?
In this answer to a question about cross currency swaps, the author shows the following deltas for a xCCY swap, but it shows no FX risk. How come? If we enter a EUR USD xCCY swap and we are based in ...
- 21
0 votes
0 answers
69 views
Trying to prove sensitivities on a simple CCS: is it correct?
I am trying to convince myself that a CCS swap has basis sensitivity but not rate a sensitivity and no spot FX sensitivity. Consider a 1-period CCS where we pay a foreign ($f$) currency and receive a ...
- 21
2 votes
2 answers
117 views
XCCY collateralization: do I discount based on MY collateral agreement or the MARKETs?
Say you have a EUR USD XCCY swap with a basis on the EUR leg. The curves you use for discounting depend on the collateralization. Say the collateralization is in EUR. Then you'd discount the EUR ...
- 23
0 votes
0 answers
73 views
Why would the EUOIS curve have the USD basis in it?
In this answer to a question about cross currency swap attributions, it is said that XCCY swaps have 0 MtM value at inception, despite the basis, because the curve used to compute the MtM value are ...
- 23
3 votes
1 answer
394 views
Cross-currency Basis Adjustment for Multi-curve Models
I am studying Pricing and Trading Interest Rate Derivatives - A Practical Guide to Swaps, and I have troubles to really understand the use of cross-ccy swaps (XCS) and why the cross-ccy basis enter ...
- 53
0 votes
0 answers
104 views
CAD cross-currency swap
If I have a CAD/USD cross-currency basis swap, on what leg is the basis spread added when discounting the cashflow? I assume the CAD leg? And if the swap is CAD/EUR. What leg would get the basis ...
- 1
2 votes
1 answer
232 views
Forward rates and discount factors adjustment under different CSA currencies without direct market quotes
In a multicurve framework for collateralized derivatives pricing, forward rates are derived using discount factors consistent with the CSA (Credit Support Annex) currency using xccy basis spreads for ...
- 21
0 votes
0 answers
88 views
How do you value derivatives when collateral remuneration is in a different currency?
I'm having some difficulty understanding the valuation of derivatives (particularly CCS) when the remuneration rate is in a currency other than the cash flows. Is there any specific literature that ...
0 votes
0 answers
69 views
Currency swap conversion
This snippet of a paper (MOODY’S MARKET IMPLIED RATINGS: DESCRIPTION AND METHODOLOGY LINK ) describes a currency swap calculation to convert the yield of a non-USD bond to USD. Ultimately, the authors ...
- 101
1 vote
1 answer
404 views
Bloomberg ICVS92 Cross Currency Basis
Can someone help me understand how Bloomberg computes the Cross currency basis, for maturity < 1 year? On the ICVS 92 (EUR vs. USD basis) page, we can see the CC basis mid (I don't have access to ...
- 11
0 votes
1 answer
329 views
Pricing a float-float cross currency swap
I've come across a strange problem when pricing a float-float cross currency swap in excel. The calculated mid spread matches closely with Bloomberg's SWPM for all tenors (<1bp difference) except ...
- 23
0 votes
0 answers
52 views
Does the reset feature of an interbank XCCY basis swap still matter?
The interbank market mainly trades a XCCY basis swap with periodic resets. On a reset day, say on a EURUSD trade, the new spot rate will be observed and some payment of USD will occur. Going forward, ...
- 341
0 votes
0 answers
140 views
Construction of Discount Curves for Cross Currency Swaps
I’m trying to value some cross currency swaps. The first contract is a fixed for Fixed USDINR cross currency swap, here I constructed a USD curve using the SOFR O/N and term SOFR and added treasury ...
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