Foreign exchange
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
Commerz’s market RWAs up 9% on EBA technical update
Updated list of closely correlated currencies removes lower fund requirements from 197 pairs
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
StanChart racked up three VAR breaches in H1
Market volatility triggers VAR model review at the UK bank
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
US banks eye collateralisation to tackle SA-CCR costs
Dealers are asking asset managers to post margin on their FX swaps and forwards to offer more competitive prices
Hedge funds ease off profitable China FX options trade
Some still hold positions but an appreciating renminbi may make them less profitable for now
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
CME and Digital Vega to offer joint solution for block FX options
Tie-up aims to enable buy-side firms to tap benefits of central clearing via OTC-style workflows
Fidelity FX forwards trades propel BofA to top dealer spot
Counterparty Radar: Bank of America leads dealer rankings in Q1 for the first time
MassMutual drives JP Morgan’s FX forwards surge with insurers
Counterparty Radar: Bank’s total values rise 72% in Q4 to crack top 10 dealer rankings for first time since Q2 last year
GFXC fosters global awareness of T+1 impact on FX
Risk Live: Many non-US firms yet to realise FX implications of the country’s shift to shorter settlement times
T+1 to increase cash drag and funding costs, investors warn
Faster settlement will create cash shortfalls for non-US asset managers
Fast LPs accuse rivals of maxing out last look response times
Firms with sub-10ms checks complain of losing volumes to slower rivals, prompting one to ditch ECNs
SG1 growth slower than expected, say LPs
Despite sluggish take-up of Singapore FX matching engines, some hope a new NDF venue will offer a boost
US court greenlights most claims in Currenex class action
Civil lawsuit brought by XTX and two other financial firms advances to next stage before trial
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
Why NDF execution algos might still hit the spot
Products have yet to live up to initial hype, but their long-term potential for investors remains significant
Why KfW revived an old idea for cross-currency collateral
Transport currency concept re-emerges at SwapAgent, but dealers warn of hidden FX risks