Foreign exchange
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
JP, Goldman and TD surge in FX forwards as Citi falls back
Counterparty Radar: Citi drops to fifth, losing a third of market share with US mutual funds
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
‘Broken’ euro FX options market facing liquidity concerns
Traders worry about market depth as surge in put buying sees risk reversals hit extremes
Estimating value-at-risk using quantile regression and implied volatilities
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
New GFXC chair aims to keep up reform on last look
SNB’s Andrea Maechler urges more liquidity providers and trading venues to address hold times
Traders turn to ruble NDFs to avoid sanctions trouble
Basis between physical and non-deliverable trades hits record high as users shun local currency
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Can Clobs level the playing field in OTC FX options?
Electronification could be a “game changer” for smaller liquidity providers, say participants
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
Don’t impose blanket margin model rules, say BoE advisers
Focus instead on outcomes and costs and factor in different clearing membership, say Murphy and Vause
TS Imagine: leading the way in risk and margin management
If the past two years have taught prime brokers anything, it’s that those with real-time risk and margin management tools at their fingertips have a competitive edge and staying power. Award-winning software platform TS Imagine offers prime brokers the…
Asia moves: Trio of senior hires at Wells Fargo and Haitong International, and more
Latest job news across the industry
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
Direction of travel on last look becomes clear
Hold time holdouts likely to fall into line in face of increased regulatory scrutiny
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
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
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
JP Morgan flies into top FX options spot
Counterparty Radar: Renminbi/US dollar trades also keep Morgan Stanley IM in front
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase