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’FX bots make fairweather friends…
BIS is joining the HFT scrutiny party with a paper (PDF) on high frequency trading bots in foreign exchange markets.
It’s a comprehensive study of automated trading in forex, although we’ve already seen several incidents that could be attributed to high volume trades.
SNB shows some pegleg
SNB: “Leave our dear Swissie alone. Seriously, leave it alone.”
Investors: ”But we don’t know where else to hide.”
SNB: “Right then, you’ll have to pay for it.”
Investors: “How much have you got?”
Introducing: the Black Cod Index
Regular readers may be familiar with The Big Mac Index, The Economist’s beef-based gauge of international purchasing power parity (PPP). They should also be aware of its biggest limitation, namely the socioeconomic uniqueness of every country measured.
Gold, Myrrh and the Confoederatio Helvetica Franc
The Swiss National Bank kept interest rates unchanged as expected on Thursday, saying it would leave the target rate for three-month Libor at 0.0-0.75 per cent, ideally at the lower range of around 0.25 per cent.
Euro-correlation max
Correlation, as we are now well learning, is a phenomenon which increases when market tensions rise.
That is because when investors flock to the exits, they tend to move more uniformly than usual.
So here’s the interesting thing.
The other currencies matter too
Econbrowser recently posted an interesting guest article by Willem Thorbecke, a research fellow at the Asian Development Bank Institute.
Thorbecke argues that the US shouldn’t ignore the exchange rates of other East Asian countries as it pressures China to let the RMB appreciate.
The renminbi’s release is speeding up
Now here’s a renminbi mystery.
Not only did the People’s Bank of China fix the USDCNY cross-rate lower for the eighth time running on Monday at 6.7110, versus Friday’s 6.7172 — the longest run of low fixes since October 2007.
Goldman anticipates QE2 dollar weakness
In a further sign that Goldman is putting all its eggs in the QE2 basket, the bank’s FX team was also out on Thursday, recommending quantitative easing-related dollar weakness positions.
As the team headed by Thomas Stolper wrote in a September note:
Chart du jour, emerging Europe FX loans edition
BNP Paribas analysts Vivek Tawadey and Oleksiy Soroka on Monday commented on the standoff between Hungary and the IMF over the small matter of a controversial bank tax, among other things.
As they put it:
The dollar shortage in one easy graph
BIS academic Stephen Cecchetti has been much exercised by the currency costs of international financial integration lately — quantifying the yen carry trade.
And now he’s taken another look at dollar shortages.
RBS on central banks’ underwater EUR positions
RBS FX strategist Alan Ruskin on Tuesday issued an interesting piece of research/chart porn regarding ‘the extent to which existing central bank Euro reserve positions are already under water.’ The short answer to which is,
A ride on Big Thunder Euro Mountain
Here’s the roller coaster action in EURUSD on Wednesday:
The post lunch swings in the euro-dollar cross-rate were seemingly being fueled by a series of unsubstantiated rumours.
First, that the ECB was ready to intervene in the market;
BNP Paribas calls for EURUSD parity by Q1 2011
Hot off the embargoed presses at BNP Paribas, a bold call for the Mighty Drachmark vs the dollar. Emphasis FT Alphaville’s:
We have revised our EURUSD projection sharply lower and now expect a decline to parity by Q1 2011.
Eurotrash-ing (again)
No letup in the Greek bailout-fuelled sell-off on Wednesday.
The euro continued its slide against the greenback, falling below the critical $1.30 level:
The FTSE 100, meanwhile, shed as many as 50 points in early London trade.
FX gyrations
Something is afoot in the foreign exchange market.
Both Citigroup and Barclays Capital put out notes on Friday suggesting the market should be in for some sizeable dollar selling, on the back of month-end portfolio fixings by fund managers.
What is a ‘basically stable’ renminbi?
The superior man is modest in his speech, but exceeds in his actions.
- Confucius, The Analects, Chapter IV
China’s leaders have long been known for their pragmatically gnomic political sayings.
Retail FX hustlers await their fate
On Monday, the CFTC will issue its decision on leverage caps in the forex punting business. It’s a make or break moment for all those firms that offer margin trading to those wanting to play currency pairs.
CVAs, regulation by stealth?
Our previous encounters with the concept of Credit Valuation Adjustments were at the height of the crisis, when banks started to book “profits” arising from the fact that their own debt had blown out (i.e.
No, it’s true – everyone is shorting the euro
We cautioned a few weeks ago that a little perspective was probably needed when discussing the “everyone is shorting the euro” story.
The CFTC data on which the stories were based, we argued, only reflected of a small sliver of the OTC forex market.
No, not everyone is shorting the euro
On Wednesday, Bank of New York Mellon’s FX analyst Simon Derrick proffered some wise words on the matter of currency speculation and the recent sell-off in both the euro and pound.
Just like FT Alphaville,
Deutsche Bank, the flow rider
Deutsche Bank reported net income of €5bn for the year 2009 on Thursday, compared to a €3.9bn loss in 2008.
This, we would say, is a pretty impressive turnaround in anyone’s business.
So what helped Germany’s premier financial institution do so well last year?
Well,
Five reasons why punters will continue to love FX
In the late noughties, banks and and platform providers seemed to go forex mad.
Some even decided to go after the retail buck — an area traditionally considered far too small for any big interbank player to care about.
More from the ‘save our leverage’ coalition
As reported earlier on FT Alphaville, the CFTC is cracking down on the US retail forex market in a big way.
As well as publishing proposals to license all off-exchange retail operators — which the industry broadly accepted as ‘fair enough’ — the regulator unexpectedly announced it wanted to curtail leverage extended to clients to 10:1.
A ‘London loophole’ for FX
The CFTC has had a busy week. On Thursday the regulator unveiled details of how it plans to curb excessive speculation in the energy market.
Earlier on Wednesday, meanwhile, it revealed proposals for the spot FX market — an area that has until now escaped the scrutiny of regulators due to its over-the-counter status.
Citi sells its electronic FX platform
There’s been some consolidation in the world of FX electronic trading platforms on Monday.
According to a statement released by foreign-exchange platform FXall, Citigroup has reached an agreement with the company to sell it its LavaFX foreign-exchange electronic trading platform for an undisclosed sum.
Swiss regulator dishes out first forex license
Back in April, Swiss regulator Finma decided to follow in the footsteps of US regulators and clamp down on unregulated Swiss-based foreign exchange firms providing retail customers with access to highly leveraged forex trading accounts.
Managing CEE’s FX addiction
Here’s a great chart from Reuters showing just how addicted many countries in emerging Europe have become to borrowing in foreign currency for everything from second homes to TV sets :
As Reuters notes,
CDS report: All eyes on Dubai World
Gavan Nolan of Markit wrote this CDS report
European credit indices rallied today as the economic climate remained supportive of risk assets. The Markit iTraxx Europe index closed at 84bp, 1.5bp tighter than yesterday’s level.
A Twin Cities FX scandal – SEC freezes Pat Kiley assets
Dum-di-di-dum, di-di-dum, di-di-do…. (click to listen)
With failing economies, failing banks and failing stocks, bonds, IRAs, mutual funds, you can make profits during chaotic times…