Foreign exchange
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
Asian NDF fixings threat signals yet another deadline drama
Extraterritorial reach is not new to region, but EU Benchmarks Regulation poses real risks
Mark Yallop on conflicts in fixed income
Banks and their clients need protocol on information sharing, says FMSB chair
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
Three Asian FX fixings threatened by benchmark rules
European regulations would block use of fixings that account for 40% of LCH NDF volumes
European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…