Foreign exchange
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Sovereign risk manager of the year: Senegal’s Ministry of Finance and Budget
Risk Awards 2020: ADB guarantee cuts swap costs by 500bp, opening the door for a $1.4b forex hedge
Currency derivatives house of the year: BNP Paribas
Risk Awards 2020: Bank seeks spot market insights to bolster forex options trading
Currencies flow market-maker of the year: Credit Suisse
Risk Awards 2020: Swiss bank shows block trading can still compete in the age of the algo
Fintech start-up of the year: Baton Systems
Risk Awards 2020: With four million FX trades since launch, the “institutional PayPal” now aims to free trapped margin
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Bad clocks, Ion knocked, Sef-based swaps
The week on Risk.net, November 16–22, 2019
Credit Suisse uses neural nets to call minute-ahead forex
Bank encases AI in ‘control framework’ to curb risk and will stick to micro timeframe for now
Bad clocks block forex best-ex
To get a good deal in fast-moving forex markets, buy-side firms need to know the time. Some don’t
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Swiss banks ask, how about a magic trick?
Banks pull off an accounting trick – with the help of their regulator
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Lease finance accounting – A new standard
International Financial Reporting Standard 16 came into effect on January 1. The impact of the new standard can be felt across all industries, particularly those that rely heavily on rentals and leasing as part of their core business. A global leader in…
Morgan Stanley, JP clear first cross-currency swap at Eurex
Two more banks onboarding; CCP hoping to extend service to clients in 2020
Post-crisis rules roil US cross-currency basis – IMF
EU leverage ratio causes basis spikes at quarter-ends
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Machines can save 20% on routing orders, UBS says
Machine learning is navigating the labyrinth of venues, figuring out how best to land the trade
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Insight Investment wary of banks’ last-look claims
Buy side should “team up” in bid for more forex transparency, argues senior trader
Firms favour swaps over spot when trading FX – BIS
Forex swaps account for 49% of global average daily turnover in April
Buy side seeks more clarity on FX trade rejects
Schroders and BoE criticise code mish-mash, as Investment Association presses for standardisation