Trading
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Hungary makes emergency intervention to defend forint
Action comes after the central bank said it would cease rate rises
Gilt volatility to live on in IM and capital models
Even if sterling rates vol subsides, it will impact interest rate and cross-currency swap costs for years
SA-CCR hit on US banks could hinder year-end dollar funding
Potential lighter presence of US banks in swaps market may affect buy side’s ability to roll hedges
UK budget gives sterling options traders a wild ride
Reaction to tax cuts sparks most active week for GBP/USD options traders since Brexit negotiations
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
BoJ currency intervention spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
JP Morgan increases FX options dealer lead as Goldman slips
Counterparty Radar: GSAM up five manager spots amid market decline, while MSIM holds RMB positions steady
BNP’s new macro trading unit to make greater use of FX algos
French bank plans to bring FX algos to US Treasuries for combined currencies and rates trading unit
HSBC claims top FX forwards spot as US banks fall back
Counterparty Radar: Morgan Stanley falls from pole position for first time since Q2 2021 amid wider volume decline
BNY Mellon, NAB and RBC latest to ditch additional hold times
Banks join growing list of LPs to have scrapped the controversial practice
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
BofA rehires Velani to head transactional FX trading
Velani rejoins BofA as bank continues to strengthen its foreign exchange ranks
Volatility could pave way for FXOs’ electronic evolution
Turmoil in markets gives options sector impetus to embrace automation, writes CME’s Chris Povey
Nomura hires Leng for dual global FX trading roles
Hire comes as Nomura looks to significantly bolster its FX and macro trading division globally
Nomura targets smaller Chinese banks after first CFETS trade
Japanese bank is one of seven offshore FX dealers offering G10 pricing on China’s interbank market
Should you hedge or should you wait?
New approach introduces quantitative framework for optimal FX hedging
Bingeing on block sets: DLT could give FX its ‘Netflix moment’
Blockchain’s proponents say faster settlement times make technology akin to TV’s streaming revolution
Streaming with the enemy: banks turn to non-bank liquidity
Larger banks are becoming more receptive to consuming FX prices from prop traders like Citadel Securities and Virtu
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
FX needs for Apac corporates in 2022
This white paper examines the results of a survey, conducted in association with Bloomberg, that offers insight into how corporations based in the Asia-Pacific region interact with the FX market
GFMA proposes disruption settlement framework for FX
Russian ruble close-out pain triggers calls for voluntary multilateral pricing framework
State Street is latest LP to publish a GFXC disclosure sheet
More liquidity providers expected to publish disclosures this week following GFXC deadline
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern