Foreign exchange
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists
Industry fears EU ‘Google tax’ will hit trading venues, CCPs
Broad wording of digital services tax could place market infrastructure in firing line
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
Embracing the sea change to come with FRTB
Firms have until 2021 to implement FRTB, and those yet to begin compliance efforts risk putting themselves at a disadvantage. EY‘s financial services risk partners Shaun Abueita and Sonja Koerner explore the current level of readiness within the industry…
Asia moves: SFC names new chairman, LCH hires regional head, and more
Latest job changes across industry
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
US banks' VAR-based charges drop in Q2
The average decrease in the VAR-based capital requirement across the eight US G-Sibs was 10.4%, compared with a 23% increase in the first quarter
Japanese corporates boost forex hedging
Notionals traded highest since end-2012
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
CLS seeking legal fix for Brexit settlement threat
Market infrastructure firm wants EU27 to protect trades in insolvency by tweaking local laws
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
Hunt for toxic flow hits one of banking’s old problems
Wider use of mark-out tools helps banks spot ‘bad’ trades – and also stirs debate on pay
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
Hong Kong banks fear clashing swaps margin rules
SFC proposal could complicate trades with HKMA-regulated entities and centralised treasuries
Banks fear loss of Emir intragroup exemptions
Firms would have to clear or margin transactions with affiliates in non-equivalent jurisdictions
Asia Risk Interdealer Rankings 2018: The winners
Societe Generale and BGC top the tables
NDF nightmare: banks seek fix for benchmark ‘mess’
European firms face bar from using three Asian fixings from 2020, raising concerns about legacy trades