Foreign exchange (FX)
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
Malaysian central bank strengthens onshore hedging
Bank Negara is complementing last year's NDF restrictions with a more open onshore market
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Managing FX risk: How to prepare for the unpredictable
Sponsored feature: HSBC
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
BIS releases final forex code of conduct
BIS releases principles for good conduct in foreign exchange markets
Is wholesale banking disruption-proof?
Fintech threatens market-making, research and wealth management, writes eCo Financial Technology CEO
Documentation concerns slow CNY forex derivatives growth
Foreign fund managers need clarity before market can take off, say banks
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Legacy booking models impede NDF clearing, banks say
Novation lag holds up clearing of forex products; some say dealers are dragging feet
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
Eurex tees up OTC forex clearing with CLS
Net settlement at CLS could slash liquidity risks for CCPs clearing OTC forex contracts
Corporate deal of the year: Air Liquide and Barclays
Risk Awards 2017: Record-breaking contingent hedge accompanies complex, cross-border acquisition
Currency derivatives house of the year: HSBC
Risk Awards 2017: Clever approach to options pricing buoyed UK bank during Brexit uncertainty
Streaming liquidity provider of the year: XTX Markets
Risk Awards 2017: Ability to take risk and minimise market impact have helped the firm to build its direct liquidity business
Currencies flow market-maker of the year: XTX Markets
Risk Awards 2017: New-style market-maker defends old-fashioned virtues
Doubts and ambiguity remain around forex code of conduct
Customers face more responsibility for understanding dealing terms and more measures may be needed, sources say
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