Forwards
CCP discounting big bang: convexity adjustment
The collateral transition to SOFR will create convexity adjustments that need to be modelled
Deal of the year: Deutsche Bank
Asia Risk Awards 2020
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
Goldman signs up as NDF client clearer at LCH
US bank expecting jump in cleared trades when initial margin rules hit buy side
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Jittery ringgit spurs options growth in Malaysia
Local corporates seek new hedging tools, but longer-term options liquidity lacking
Andreas König’s crisis playbook meets Covid-19
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
FX traders pull back to vanilla strategies for emerging markets
Spreads tighten on many currency pairs but liquidity still patchy
In choppy forex markets, algos buck expectations
Goldman, Nomura and others report increased volumes, although some clients revert to principal quotes
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
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…
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world