Foreign exchange
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
Rabobank’s market risk charges jump 54% in H1
Increases in commodity and FX risk push up SA RWAs
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Could prime of primes go pop?
The PoP market is booming, but some tier one banks are wary
PoP goes FXPB: prime of prime fizzes, but isn’t to all tastes
Sources report ebullient growth among PoPs, despite lingering wariness around risk redistribution
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
PBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
Futures aim to put a dent in FX swaps supremacy
Advent of margin rules sharpens appeal of exchange-traded instruments for buy-siders
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter