United States dollar
BNPP appoints new head of US and CAD interest rate swaps
Eric Duclos joins from Crédit Agricole
Hedge funds push yen options bets to next BoJ meeting
Target shifts as vol punts on change to rates policy fall flat
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
MSIM option strategy set for payout
Manager has spent over $400 million buying options that have yet to generate returns – until now
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
Lazard and Pimco profit from shorting Hong Kong dollar
Repeat interventions from HKMA fail to revive a currency under pressure from rising US rates
Power-reverse to the future: falling yen revs up PRDCs again
Pressure on Japanese unit sparks revival in power-reverse dual currency notes
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
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
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
US dollar Libor transition: a new countdown in motion
With almost all Libor settings discontinued at the end of 2021, Philip Whitehurst, head of service development, rates at LCH, addresses what’s ahead for the final US dollar Libor transition to risk-free rates, what has and hasn’t been achieved so far,…
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
House of the year, Hong Kong: Crédit Agricole
Asia Risk Awards 2021
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts
Renminbi splurge lifts BNPP, MSIM in Q1 options data
Counterparty Radar: Morgan Stanley IM is largest options user, following series of huge renminbi calls
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Chinese exporters urged to ramp up US dollar hedges
Dealers join China’s Safe in sounding alarm at mounting unhedged FX exposures