Derivs - FX

Corporate income statement volatility will fall under the International Accounting Standards Board’s proposed accounting standard changes for derivative transactions released last week.

Hedge funds were buying five-10 year U.S. dollar/yen at-the-money calls this morning, while others were purchasing six-month to one year calls on the pair, according to fx traders in London.

Jefferies, Cantor Fitzgerald and Mizuho Financial Group, as well as other firms, are building out their fixed income operations in Europe with recruitment campaigns.

Segregating client collateral via individual accounts in clearing over-the-counter derivatives is gathering popularity among endusers, according to speakers at the Futures and Options World Derivatives Conference on Wednesday.

The exotic fx derivatives values have dropped dramatically in the past three years, from a worldwide outstanding notional of USD37 billion at the end of June 2007 to USD1 billion at the end of 2010, according to a survey from the Bank for International Settlements.

Citigroup fx strategists are touting one-week euro/U.S. dollar one-touch digital options as a hedge against a projected sharp drop in spot on today’s European Central Bank meeting.

Insurance companies, among other investors, were by and large not coaxed into increasing their equity hedge plays over the past week, even as the euro swooned against the U.S. dollar and eurozone bailout concerns mounted.

The Commodity Futures Trading Commission introduced a proposed rule today that includes a four-part test for exempting financial entities from being designated as swap dealers. The rule also includes proposed thresholds for the designation of major swap participants.

StormHarbour has begun offering broker-dealer services in Tokyo as part of the integration of NSH Securities Co., which was recently acquired by the company.

A single European central counterparty backed by the European Central Bank is still being considered by some members of the European Parliament, according to Kay Swinburne, member of the Parliament’s Economic and Monetary Affairs Committee.

Low volatility levels on the Australian dollar/yen cross could foster medium-term forward volatility agreements plays within the next week, according to Greg Anderson, fx strategist at Citigroup in New York.

Exchanges have already begun the process of preparing to set up clearinghouse capabilities for over-the-counter derivatives in Canada, senior exchange officials told Derivatives Week.