Derivs - FX

Ira Koyner, head of foreign exchange derivatives and local markets trading for Dresdner Kleinwort in New York, left the bank last week to join Citigroup as an options trader.

A New York hedge fund is buying call spreads on currency baskets that play commodities and emerging market currencies appreciating against the U.S. dollar, yen and British pound.

Deutsche Bank is recommending institutional investors sell correlation swaps on the euro/U.S. dollar versus the euro/Swedish krona. The currency pairs have opposite reactions to swings in the global equity markets and investors can profit from the dislocation.

Barclays Capital is looking to UCITS III-compliant mutual fund structures to attract private wealth investors in Asia who have begun shunning over-the-counter derivatives because of counterparty and issuer risk concerns.

An unidentified European bank has placed a long-dated knock in/knock out option on the U.S. dollar/yen cross to hedge vega risk in its books.

BNP Paribas is recommending hedge funds and other institutional investors who think the U.S. dollar will depreciate sharply against the Canadian dollar in the next two weeks buy a three-month at-the-money put struck at CAD1.20 with a knock-in call at CAD1.15.

Credit Suisse is looking to build its presence in asset liability management in Asia, where flow derivatives are used to help institutional investors manage long-term exposures.

Royal Bank of Scotland is integrating its derivatives structuring teams into a standalone group covering all asset classes globally.

Augustus Asset Management’s JB Currency Hedge Fund (Discretionary) has two options positions comfortably in the money.

Today’s Monetary Authority of Singapore policy announcement left some currency derivative players out of the money on U.S. dollar/Singapore dollar trades aimed at capturing a windfall from short-term movement in the pair.

Currency players convinced the Monetary Authority of Singapore will let the Singapore dollar depreciate have had to scramble after inadvertently putting on trades that expired too early.

Deutsche Bank currency options strategists are recommending investors who think the Australian dollar will appreciate against the U.S. dollar buy digital options.