PORTFOLIO DESIGN

LDI newsletter – Cross-Currency Basis

09-Nov-2018
  • BlackRock

FOR PROFESSIONAL CLIENTS / QUALIFIED INVESTORS ONLY

In this edition we explore:
The ‘hidden’ cost of hedging the currency risk of overseas bonds

  1. Introducing the cross-currency basis
  2. Why does the cross-currency basis exist, and what drives it?
  3. Current and historic cross-currency basis levels for various hedge tenors
  4. FX forwards vs. cross-currency swaps
  5. Implications for LDI investors