Foreign exchange
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
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
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
Banks turn to analytics playbook to take on FX platforms
Dealers aim to lure clients from high-fee multi-dealer platforms with improved investment analytics
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Asia moves: senior hires at Citi, Crédit Agricole and more
Latest job news across the industry
Offshore waves: how the ruble is becoming a painful trade
As liquidity dries up in markets affected by sanctions, trading is shifting from electronic venues
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
UniCredit cuts market RWAs by 9%
Removal of capital requirements for FX risk sheds standardised RWAs by 68% in three months
MSIM holds half of FX options notionals among US funds
Counterparty Radar: Manager tops up on USD/RMB calls to extend lead and helps Goldman into second place among dealers
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
JP, Goldman and TD surge in FX forwards as Citi falls back
Counterparty Radar: Citi drops to fifth, losing a third of market share with US mutual funds
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
‘Broken’ euro FX options market facing liquidity concerns
Traders worry about market depth as surge in put buying sees risk reversals hit extremes
Estimating value-at-risk using quantile regression and implied volatilities
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations