Foreign exchange
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
RMB house of the year: Standard Chartered
Asia Risk Awards 2021
Interest rate derivatives house of the year: Deutsche Bank
Asia Risk Awards 2021
Clearing bank of the year: Citi
Asia Risk Awards 2021
House of the year, Australia: ANZ Bank
Asia Risk Awards 2021
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts
GFXC confirms zero hold times in last look
Chair says checks can’t be used to monitor client market impact – a “game changer” according to some
Currenex class action faces hurdles, say legal experts
Case could raise questions around statutes of limitations and damages calculations
Dealers back CLS plans for EM settlement system
12 banks announce support for project to extend PvP protection to certain CLS-ineligible currencies
Algo sniffers make a tough business tougher
FX spot is already a hard game for many LPs and the rise of skew sniping only makes things harder
Jumbo trades propel BNPP, TD up forwards rankings
Counterparty Radar: In Q1 2021 data, outsiders are eating into US banks’ business with domestic funds
Renminbi splurge lifts BNPP, MSIM in Q1 options data
Counterparty Radar: Morgan Stanley IM is largest options user, following series of huge renminbi calls
Quantization-based Bermudan option pricing in the foreign exchange world
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Societe Generale links FX algo fees to ESG targets
Clients face penalties if they fail to meet sustainability criteria during algo rental period
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
Opt in or opt out: an FX class action decision worth millions
Six banks accused of manipulation may see 40% reduction in damages if UK lawsuit proceeds along ‘opt-out’ route
Rafi set to take helm of Citi clearing business
Reshuffle continues at leading clearer following senior departures
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
GFXC set to tackle reject codes
Co-vice-chair Neill Penney says group will seek to bring clarity to codes assigned to rejected FX trades
Last look guidance receives mixed reviews
Some liquidity providers back GFXC guidance; others say it doesn’t go far enough
Stronger together: CLS’s chief risk officer on risk culture
Deborah Hrvatin discusses integrated risk management, mega-hacks and model risk