Derivs - FX

The Securities and Markets Stakeholder Group, an influential division of the European Securities and Markets Authority, has criticized a proposal from the pan-European regulator for technical standards on margin calculation models for central counterparties.

Japanese financial firms with over-the-counter derivatives holdings have not adequately decreased their wrong way risk--the combination of counterparty credit risk and market exposure--since the collapse of Lehman Brothers, according to Japan’s central bank.

Brian Lai, an onshore China yuan interest rate and fx options trader at JPMorgan in Shanghai, has resigned.

Standard Chartered analysts have scaled back their 2012 forecasts for onshore China yuan, with two-way variability more likely than straight appreciation against the U.S. dollar.

Mizuho Financial Group has set its sight on increasing its fx and interest-rate derivatives revenues by expanding its line-ups of options and other fx-related products in Asia’s emerging markets.

Barclays Capital has given Chris Colman, managing director and head of fx derivative trading in Singapore, responsibility for long-dated fx options trading, as part of a management shake up in global fx.

The People’s Bank of China’s moves in the week of April 14 to broaden the intra-day onshore yuan trading band and lift the short U.S. dollar ban onshore are clearly big steps towards further fx liberalisation. With nearly seven-years of history history, our regression study in this Learning Curve shows that there have been four major structural breaks in the PBoC’s CNY basket since the floating of CNY in July 2005. The latest break at the start of this year shows a further decrease of USD weight in favor of Asian currencies, which was compensated by a flattening of the appreciation trend. USD/CNY volatility will continue to increase as CNY trades more in line with Asian currencies.

U.S. dollar, onshore Chinese yuan non-deliverable forwards are consistently pricing in line with their offshore deliverable forwards, above the spot rate, suggesting CNY is now behaving like a normal deliverable currency.

Greece’s projected exit from the euro zone is unlikely to materially disrupt the normal functioning of global fx trading, according to Greenwich Associates.

Euro/U.S. dollar barrier options with strikes around USD1.2400 were knocked out as spot fell to a 22-month low of 1.2387 during late afternoon trading in London, according to traders.

Hedge funds invested heavily in Chinese stocks are purchasing one-year far out-the-money U.S. dollar calls against onshore Chinese yuan in a bid to hedge against a possible depreciation of CNY, according to traders and structurers.

Rahul Darbari, global head of fx options at Standard Chartered in Singapore, is set to join ANZ in a similar role.