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Thank you very much. That aspect I am familiar with, which is your conventional construction for cross currency basis swap. However, given the large credit exposure due to principle exchange, banks have redesigned such basis swap to mitigate that credit risk, by introducing quarterly fx...

Hi David, Are you familiar with cross currency basis swap where at every quarter, the fx is reset every quarter? I understand the purpose is to mitigate credit exposure. They've also introduced a break clause at the end to avoid a principle exchange at maturity. Can you elaborate on the...