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Wild dollar swing upended FX options hedges
Banks chased vol higher as last week’s EUR/USD surge knocked out barrier trades
How US shutdown set off long-awaited basis bet
Hedge funds dust off a years-in-the-making relative value trade to profit from fallback mismatch
ECB seeks capital clarity on Spire repacks
Dealers split between counterparty credit risk and market risk frameworks for repack RWAs
Latest
Quotes
For the time being, we see more synergy with foreign securities firms rather than competition
Jian Liu, chairman of China's Shenwan Hongyuan Securities
The [USD/JPY] skew moved a lot, so the price for downside went up very significantly
Francesco Schiavo, global head of FX options at Credit Suisse
The best way to solve the issues regarding liquidity is to just get rid of the [pension fund] clearing exemption
Jasper Valstar, senior portfolio manager, Achmea
Editor's Choice
The final countdown: Europe’s pension funds get ready to clear
With clearing exemption due to end next June, EU funds try to learn from UK’s LDI mistakes
Big Figure
Japan basis blowout
A combination of surging inflation, a burst of rate hikes from central banks and a liquidity-starved market has disrupted even the simplest curve or futures-bond relationship. A glaring example is the blowout in the basis between 10-year Japanese government bonds and futures on June 15.
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Comment
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Our Take
A market-making model for an options portfolio
Why did UK keep the pension fund clearing exemption?