Derivs - FX

Institutional investors have been tapping significant notionals in U.S. dollar/yen options. During Thursday afternoon New York trading, investors bought over USD1 billion notional options with strikes at JPY105.

Financial counterparties and non-financial counterparties will be required to delegate risk-management procedures and arrangements to an asset manager who is providing portfolio management services to the counterparty on an agency basis, according to the European Securities and Markets Authority.

Barclays is recommending going long the U.S. dollar against the yen via call spreads, to position for further JPY weakness in 2014.

Rules from the U.S. Commodity Futures Trading Commission that require derivatives to be traded on a swap execution facility have resulted in fragmented liquidity and decreased derivatives trading volumes, according to a survey conducted by the International Swaps and Derivatives Association.

Investors have been looking to roll two-week risk into longer-dated G10 currency options such as two and three-month tenors in a bid to look for more value in the low volatility environment.

Filippo Olivetti, managing director and co-head of markets structuring for Asia Pacific at the Royal Bank of Scotland in Tokyo, has taken a sabbatical.

Traders are seeing a strong demand for put options on the Australian dollar against the U.S. dollar as the pair continues to decline.

Tapering of the U.S. Federal Reserve’s bond buying program could provide a boost for Japanese long-dated fx-yen denominated structured products in 2014, such as power reverse dual currency transactions.

Traders are seeing strong demand for downside protection on the Australian dollar, U.S. dollar cross, with three-to-six-month puts at .88-to.85 strikes being sold as of Friday.

Vincent Craignou, the ex-global head of fx and precious metals derivatives at HSBC in London, has joined Brevan Howard as a portfolio manager.

The Volcker Rule, which was approved by five regulatory agencies on Tuesday, is fundamentally flawed and imposes significant obligations upon market participants at a considerable cost, according to Scott O’Malia, Commissioner at the U.S. Commodity Futures Trading Commission.

The International Swaps and Derivatives Association has sought understanding from the Basel Committee on Banking Supervision and the International Organization of Securities Commissions’ Working Group On Margin Requirements to develop a standard initial margin model for margining non-cleared derivatives.