Foreign exchange
Portfolio traders turn to tech – A new generation of strategies
Chris Bruner, head of US credit product at Tradeweb, explores the products that can help managers express portfolio views and how they can maximise the benefits they can reap by evaluating and understanding the price, risk and relative value of each…
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
BNY Mellon’s markets head jumps to Royal Bank of Canada
Michelle Neal will join the Canadian firm in June as head of US Ficc
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders
Forex ‘Cartel’ not guilty but still paying a penalty
Despite acquittal, three former forex traders anticipate obstacles in trying to rebuild their careers
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008
Currencies flow market-maker of the year: Citadel Securities
Risk Awards 2019: Credit innovation opens up market-making to previously out-of-reach customers
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Exchange of the year/exchange innovation of the year: CME Group
Risk Awards 2019: FX Link, SOFR futures and Nex acquisition headline banner year for Chicago bourse
Streaming liquidity provider of the year: XTX Markets
Risk Awards 2019: Non-bank market-maker doubles direct relationship presence in forex
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
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…