Derivs - FX

BNP Paribas is planning to launch a service allowing private banks and securities firms to input electronically preferences for a structured product and get a price.

Thursday morning fx options activity centered largely around risk aversion over geopolitical risk in the Middle East, said fx traders in New York and London, and even extended itself to G-10 currencies.

Melbourne-based Antipodean Capital Management, which manages the Antipodean Capital Global Currency Fund, has been buying short-term puts on the Australian dollar/U.S. dollar and Australian dollar/Canadian dollar over the last month.

Shyamala Gopinath, deputy governor of the Reserve Bank of India, has said that the central bank would be open to ideas on allowing offshore parties to hedge rupee exposure onshore, but spurned the notion of opening an onshore non-deliverable forward market.

Onshore central counterparties may be more practical for Asian countries in which that country’s currency is not openly traded, according to Thomas Treadwell, head of over-the-counter client clearing for Citi Asia Pacific in Hong Kong.

Firms may begin making arbitrage plays on the various renminbi options markets this year as the Hong Kong-based CNH options market continues to develop.

Some players scooped profits this week after buying back volatility they had sold weeks earlier on the euro/Swiss franc cross, according to an fx trader in New York. The volume of the buybacks landed around a few hundred million in euro notional, said the trader.

Banks who already hold a derivatives license in China will automatically be granted an ordinary license under new rules, according to a Chinese-language question and answer released by the China Banking Regulatory Commission.

Swaps counterparties would be blocked from using updated and improved valuation methods, under a proposal by the Commodity Futures Trading Commission. They’d also get locked in to prices on the swaps that reflect the mid-market point, not actual traded prices, say lawyers and advisors in New York.

New York hedge fund Ore Hill Partners will deploy interest rate swaptions, credit default swaps and currency options in a new fund. Ore Hill Japan Credit Opportunities Fund is being launched after the positive performance of the strategy in the firm’s Ore Hill Fund attracted investment, a firm portfolio manager told Derivatives Week.

Société Générale strategists are recommending investors buy a three-month call spread going short the Indian rupee, long the U.S. dollar with strikes at INR46.5 and INR47.5 and a six-month call spread on the same cross with strikes at INR50 and INR52.

Asian and U.S. firms that don’t plan to market securitized transactions to European Union credit institutions theoretically could get hit with a new E.U. law concerning risk retention if anyone buying into part of the deal enters into over-the-counter derivatives with an E.U. institution.