Foreign exchange
Finding the nearest covariance matrix: the foreign exchange market case
The authors consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix.
How low can you go: falling cost of FX fix sparks concern
Algorithms reducing fixing fees, but some dealers willing to go even lower – perhaps dangerously so
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Ion-Broadway merger approved with strings attached
Broadway chief executive Tyler Moeller leads consortium to buy divested fixed income business
Big moves, but no panic after tumultuous US election
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
FX volatilities fall on receding US election fears
Polls point to a decisive Biden win – though some worry market is being complacent
PBs seek remedy for credit addiction in FX
Group set up after big Citi loss considers limit-checking hub, among other options
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
Banks rent ready-made algos for FX trading
NatWest, XTX Markets and others develop new outsourcing model for tech
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Unsettling times: why is settlement risk on the rise?
Regulators and market participants searching for answers after BIS figures show substantial increase
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
How Shell integrated FX algos into its corporate treasury mix
Interview: oil giant puts up to 50% of spot flows through algos, explains FX head Michael Dawson
Managing financial risk in cross-border emerging markets M&A
BNP Paribas’ Djamel Bruimaud, strategic sales lead for foreign exchange and local markets for European corporates, and Stephane Benhamou, head of forex and rates solutions sales, France, discuss the creation and execution of a hedging solution designed…
Ion forced to ditch Broadway rates business
Remedy satisfies UK competition watchdog – but “a big defeat” for acquisitive tech giant
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Structured products gain favour among Chinese enterprises
The Chinese government’s flagship national strategy for the advancement of regional connectivity – the Belt and Road Initiative – continues to encourage the outward expansion of Chinese state-owned enterprises (SOEs). Here, Guotai Junan International…
UK watchdog has competition concerns over Ion-Broadway deal
Trading tech giant has five days to address issues, or face months-long investigation