Currency
T+1 to increase cash drag and funding costs, investors warn
Faster settlement will create cash shortfalls for non-US asset managers
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
Large US funds shrink exposure to top FX forward counterparties
Smaller managers increase top-dealer allocations as big beasts pull back
MSIM cuts options strategy to lowest on record
Reduced USD/CNH positions coincide with declines in fund assets
FX options hint at potential for euro shock
Months-long rally powered by ongoing hikes, but euro-bears fear economy will crack
TMX eyes spot crypto trading launch next year
Exchange group would become first in North America to offer direct access to spot market in digital assets
Dealing with multi-currency inventory risk in FX cash markets
A market-making model that considers correlation, transaction costs and market impact is presented
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
SEB’s market RWAs drop 20% as FX positions recede
Fall in currency exposures below EU’s threshold in Q4 reversed Skr5.3bn RWA hit from previous quarter
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Morgan Stanley IM slashes FX options book
Counterparty Radar: Manager’s reduction tanks JP Morgan’s market share with sector
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
HKD de-peg bets gather steam
Options struck outside permitted band grew this year, with some dealers recycling flows via structured products
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
European corporates scramble for alternative credit sources
Credit lines with traditional bank counterparties exhausted since dollar rally against euro
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Currency derivatives house of the year: Standard Chartered Bank
Asia Risk Awards 2022
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps