Currency
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
FX losses mount after Argentina’s devaluation
Citi, Adidas among those taking hits totalling over $3.3bn in Q4 as dealers cite lack of hedging tools
New trading platform costs weigh on FX dealers
As roughly 75 platforms vie for business, LPs complain of struggle to keep up with connectivity costs
Rabobank LCR down 7% on TLTRO prepayments
Decline expected to continue as bank pays off final loans extended via EU-wide funding scheme
Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs
Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Asia moves: Senior hires at Crédit Agricole, HSBC, Natixis and more
Latest job news from across the industry
FX disruption template paused due to Isda definition clash
GFMA’s close-out framework put on hold as Isda reviews 1998 FX derivatives rule book
Commerz’s market RWAs up 9% on EBA technical update
Updated list of closely correlated currencies removes lower fund requirements from 197 pairs
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
MSIM revived RMB options activity in Q1
Counterparty Radar: Investment firm added $2 billion in dollar/renminbi options, mainly with JP Morgan and StanChart
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