Derivs - FX

Baring Asset Management is considering using total return swaps to get exposure to equities indices in its new Baring Dynamic Emerging Markets Fund.

The Society for Worldwide Interbank Financial Telecommunications and Depository Trust & Clearing Corp. have jointly proposed to create and operate a new repository for fx derivatives.

Credit default swap spreads on Venezuela’s sovereign debt have narrowed 15.8% since a rally began June 20, thanks to improved investor optimism and speculation about the health President Hugo Chavez.

Short-term currency options in euro/U.S. dollar have been trading in size over the past 24 hours according to traders, despite the high premiums and trading desks’ reluctance to offer downside strikes.

The Banco Central do Brasil sold 74% of offered reverse swap contracts, off-exchange swaps where the bank receives onshore U.S. dollars against the local interbank lending rate, in an auction today.

The firing of Alex Bernand as one of Deutsche Bank’s top derivatives traders in late 2009 is said to have led to an investigation by the U.S. Securities and Exchange Commission into alleged improper valuation of some of the assets in its derivatives portfolio.

The Competition Commission of India has fined the National Stock Exchange Rs 55.5 crore (USD12.35 million) after finding the bourse had engaged in predatory practices in the fx derivatives market.

BNP Paribas has reorganized its fixed income business as it looks to build out U.S. dollar, emerging market and Asia Pacific capabilities, according to a memo from the firm.

Volatilities on euro currency pairs were increasingly unstable this week and the market is bracing for Greece’s austerity measure vote next Tuesday, which could limit the supply of euro downside options if budget cuts do not pass.

Citigroup strategists are recommending investors buy three-month Australian dollar puts/Canadian dollar calls with a reverse knock-out based on the view that the pair has historically had a negative correlation with risk appetite.

Two reverse knock-in puts, one with an overall notional of around USD500 million, hit the market Wednesday.

China’s State Administration of Foreign Exchange has announced that it will relax some regulations on banks’ fx conversion for their own businesses, effective July 1.