Foreign exchange
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
CLS’s Nagia on overcoming the challenges of forex clearing
As CLS expands into cleared derivatives, its CRO must navigate uncharted risk territory
Evolutionary algos for optimising MVA
Alexei Kondratyev and George Giorgidze apply two evolutionary algos to MVA optimisation
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
FCA: buy side can stop work on VM rules for forwards
UK regulator follows up on statement from ESAs that urged forbearance
Currencies flow market-maker & Streaming liquidity provider of the year: XTX Markets
Risk Awards 2018: Direct client trading booming at the firm, as volumes up 50% year-on-year
Fintech start-up of the year: BestX
Risk Awards 2018: Cost analysis service set to expand into rates next year, after transforming forex
EC backs forex forward margin exemption
Need for change is “undisputed”, official says – but short-term relief expected to come via forbearance
Forex forward users delay VM plans amid uncertainty
Firms postpone plans to start margining before January 3 in case EU regulators scrap new requirement
Esma guidance on swaps transparency still leaves questions
Volatile instrument attributes removed from transparency determination, but further issues remain
Asian banks cry foul over FRTB’s currency risk weights
Basel’s risk weights under SBA said to unfairly penalise banks reporting forex risk positions in non-G3 currencies
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
Malaysian central bank strengthens onshore hedging
Bank Negara is complementing last year's NDF restrictions with a more open onshore market
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Managing FX risk: How to prepare for the unpredictable
Sponsored feature: HSBC
Surprise RMB strengthening prompts unwinds
“A lot of long [US$] positions were unsustainable and had to be re-evaluated,” says forex structuring head
BIS releases final forex code of conduct
BIS releases principles for good conduct in foreign exchange markets
Is wholesale banking disruption-proof?
Fintech threatens market-making, research and wealth management, writes eCo Financial Technology CEO
Documentation concerns slow CNY forex derivatives growth
Foreign fund managers need clarity before market can take off, say banks
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
A review of the fundamentals of the Fundamental Review of the Trading Book: standard foreign exchange rules are highly asymmetric with respect to reporting currencies
This paper develops a framework to fully characterize the invariance of the Delta capital charge for the FX book under a change in reporting currency.
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates