Derivs - FX

A major U.S. dealer was buying two-month, three-month and six-month straddles on the euro/U.S. dollar on Wednesday, likely to cover a short position, traders said.

Ramesh Swamy, managing director and head of Asia ex-Japan sales for JPMorgan has left the firm.

Hedge funds are buying worst of baskets, best of baskets and dispersion strategies in foreign exchange to take advantage of still-elevated correlation among currency pairs.

Morgan Stanley strategists are recommending buying a 6-month volatility swap on the U.S. dollar/yen at 12.45% and selling a 2-year volatility swap on the same pair at 14% to take the view that a very steep volatility curve will flatten out in coming weeks.

The first offshore USD/CNY deliverable forward trade was completed last week in Hong Kong.

The specter of corporates defaulting on their derivative trades is being raised as lawmaker efforts to grant margin exemptions to the Dodd-Frank Act appear to have lost steam.

RBC Capital Markets has launched a 15-year callable so-called constant maturity swap rate countdown range accrual note that pays out a maximum return of 1.375% each quarter.

BNP Paribas’ Cyril de Lambilly, a fixed income structurer, is tipped to flip from New York to Singapore to head the firm’s Asia ex-Japan fx and rates structuring business, said a person with knowledge of the move.

Market makers bought around USD1 billion in one-week at-the-money calls and puts late last week on the euro/U.S dollar, both with strikes at USD1.2850.

Draft proposals in Germany would limit foreign counterparties’ ability to terminate contracts with German institutions at risk of insolvency, which market participants fear will put a damper on trading with them.

The limited development of the derivatives markets in Asia-Pacific helped to reduce the potential losses to counterparties during the credit crisis three years ago, the Bank of International Settlements said today.

Goldman Sachs has reportedly lured Vinod Garg from BNP Paribas into a senior fx structuring role at the U.S. firm.