Derivs - FX

A major risk-reversal sell-off on the U.S. dollar against the yen was seen over the last 24 hours as the Japanese unit continues to depreciate.

Fx derivative volumes at Banca IMI, the investment bank of the Intesa Sanpaolo Group, have increased by more than 31%.

Benchmark-setting rules should apply to strategy and proprietary indices, as well as the widely-used benchmarks and indices already targeted by European regulators, according to the influential Securities and Markets Stakeholder Group.

Foreign investment firms and local banks based in the Philippines have until May to start complying with new limits on their Philippine peso non-deliverable forward exposure.

China-based corporate exporters sold around USD500 million in three-month U.S. dollar, China offshore yuan non-deliverable forwards this week.

Taiwanese corporates are waiting for greater liquidity in the offshore China yuan spot and non-deliverable forward markets before using options as hedges.

The proposed requirements on loss allocations arrangements for central counterparties to cover non-default losses may put U.K. CCPs at a significant disadvantage to their European and U.S. competitors.

The China Securities Regulatory Commission is allowing participants in the Renminbi Qualified Foreign Institutional Investors program to trade stock-index futures.

Registered swap dealers can now report over-the-counter trades for all five major asset classes to the DTCC Data Repository in the U.S., making it the first swap data repository to offer reporting across all asset classes.

Global investors, including U.S. and European corporates, are increasing their use of offshore China yuan structured notes and deposits. The structures include one-year capital protected USD/CNH digital puts that pay a coupon based on the depreciation of USD against CNH. The digitals can be structured with coupons of about 8% and are generally struck within 1-2% of spot.

The Korea Exchange is planning to launch voluntary clearing of Korean won-denominated over-the-counter interest rate swaps sometime between May-and-June via its central clearinghouse. Mandatory clearing will likely to start after August.

Strategists expect to see a renewed correlation between the Mexican peso and Canadian dollar, providing an opportunity to go long MXN options and finance the trade by selling topside Canadian dollar options.