Foreign exchange
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
LCH mulls FX spot clearing as buy-side demand grows
Anticipated ForexClear service could reduce funds’ reliance on prime broker credit lines
Crédit Agricole’s VAR jumps 88% on fixed income blow-up
Trading risk gauge reached the highest since Q2 2020
GFMA proposes disruption settlement framework for FX
Russian ruble close-out pain triggers calls for voluntary multilateral pricing framework
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
UniCredit rebounds on ruble rally, Russia RWA cut
Strengthening profile of Russian operations added 62bp to the bank’s CET1 ratio in Q2
India onshore/offshore NDF markets tipped to converge
Local banks will increasingly take advantage of price differentials and close gaps, say market participants
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Almost half of top LPs yet to publish GFXC disclosures
FX market disclosure remains patchy, fuelling buy-side concerns over transparency
Banks prepare to unleash FX swap bots
BNP Paribas, JP Morgan build execution algos to plug into platforms – but swaps liquidity needs to catch up first
JP Morgan fined for not reporting half of FX swap trades
US bank incorrectly believed one-day swaps did not have to be reported
Systematic hedge funds eye outsourcing to bank algos
Cost pressures encourage new stream of clients to pass FX algo trading to banks
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