Foreign exchange
Offshore RMB hedging costs soar as CNY/CNH basis hits record
Corporates "don't have a choice" about hedging
OCC fines Usher and Ramchandani $5m each in FX ‘Cartel’ probe
Former traders were indicted by the DoJ for the same offences
US indicts three in forex rigging probe
Accused UK-based traders face maximum 10 years in prison and $1m in fines
China M&A boom presents unique hedging headaches
Crackdown on ‘fake’ deals adds to risk in contingent hedges
M&A mania: deal-contingents re-emerge but risks remain
Price of forex hedges plummets as dealers flock to offer high-risk, high-reward product
Trump victory boosts FX volumes and uncertainty
Activity in interbank forex set to exceed levels seen after UK referendum and Swiss franc shock
LCH targets non-cleared market with radical new platform
Bilateral trades would be valued and margined using LCH swap curves
Sterling flash crash leads to market price confusion
Banks set their own sterling/US dollar low 4% higher than some traded rates
Margin rules lead to NDF clearing surge
Banks look to finally clear forex products, but options remain a challenge
Foreign exchange house of the year: BNP Paribas
French bank helps corporates hedge in the wake of China devaluation
Buy-side forex trading curbed as margin rules take effect
Prime brokers will cut off access to dealers if they fail to agree revised CSAs
China FX forward rules set to boost renminbi options market
PBoC extends reserve requirements on onshore forwards to foreign banks
China to create own version of forex code
New committee to write Chinese version of code for onshore banks
State Street sees double whammy of op risk losses
Megan van Ooyen from SAS rounds up the top five op risk losses for July
Taiwan’s derivatives clampdown may slow innovation
Market participants fear new approval requirements will hinder structurers
Shanghai to be first CCP to clear forex options
New service to debut in August, but liquidity risk has stalled other CCPs
FCA asks prop traders about capital impact of sterling fall
Regulator seeks info on currency make-up of capital base, and capital adequacy
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Banks fear early rollout of EU margin rules for forex forwards
Industry calls on EC to clarify when foreign exchange forwards will be subject to variation margining
New forex conduct code receives overwhelming support
Code covers ethics, governance, information sharing, execution, risk management, confirmation and settlement
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
Stochastic receding horizon control for short-term risk management in foreign exchange
The authors of this paper formalize a methodology to manage short-term FX risk.
Forex market to adopt global code of conduct by end-Q3
Participants excited about conduct guidance, but say firms' internal behaviour will ultimately create change