Foreign exchange
The landscape ahead for FX options desks: a Murex expert series
FX options desks face an increasingly complex and demanding context. The challenges they confront necessitate automation, digitisation, proper risk and lifecycle management and sophisticated, leading analytics
GFXC launches tool to spur buy-side adoption of FX code
Standard-setter aims to overcome “lukewarm” buy-side response with web-based prototype tool
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
One by one, dealers embrace standardised FX reject codes
Investment Association’s proposed codes finally begin to take hold after Covid setbacks
MSIM cuts third of FX options volume amid market contraction
Counterparty Radar: Manager pares $13bn of USD/RMB trades, deals blow to BNP’s market share
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
Refinitiv uses rebates and speed to drive Matching liquidity
LSEG arm takes carrot-and-stick approach to market-making on primary venue
Standardised market RWAs surge at EU banks
UniCredit and BNP Paribas among dealers affected by new FX risk guidelines
Hedge funds pile into renminbi FX options
Investors target call spreads and RKOs in what traders say is one of 2022’s most profitable trades
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
SA-CCR could spur move to FX futures
Impact of new capital rules on swaps pricing could see shift to the exchange-traded product, say panellists
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Credit Suisse and Commerz latest banks to ditch hold times
Mizuho also confirms zero last look add-on but MUFG’s policy unclear on the controversial FX practice
Shifting cyber security from compliance to a risk focus
Cyber attacks have grown in frequency and sophistication, with 3,813 data breaches reported in the first half of 2019, which was an increase of 54% over the previous year.
Seven steps to performance-enhancing ERM
Achieving best practices in risk management takes time and involves progressing through various levels. The important thing is that the three lines of defence are aligned around the ultimate objectives and understand their individual roles.
Integrated risk management: the confidence to carpe diem
In a world that has changed almost overnight, businesses across the planet have had to adapt just as fast.
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
Market braces for end of Russia central bank sanctions carve-out
Isda AGM: general licence expires on May 25, threatening bond payments and deliverable ruble settlement
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Automated market-making for fiat currencies
A framework to exchange fiat currencies on-chain consistently with off-chain prices is presented
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.