Japanese yen
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
Franklin Templeton steps back into FX options
Former biggest user of the instrument among US mutual funds returns with $7.6bn of USD/JPY strategies
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
JSCC presses for US client clearing exemption
Heightened yen rate risk adding urgency to US funds’ calls for swaps clearing access
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
JSCC and the future of clearing and settling yen-denominated trades
The Japanese Securities Clearing Corporation (JSCC) explores how market participants can benefit from a wide array of yen products while accessing robust risk and margin management frameworks with a high level of transparency
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
Hedge funds push yen options bets to next BoJ meeting
Target shifts as vol punts on change to rates policy fall flat
LCH Japan plan signals new fight for global clearing model
UK-based clearing house faces “uphill struggle” against JFSA location policy on yen derivatives
BoJ policy shift sends traders to hedge downside yen moves
Hedge funds and corporates rush to FX options following central bank move
BoJ action to strengthen yen spurs FX options traders
Traders turn bearish on USD/JPY FX vol over further central bank intervention
Power-reverse to the future: falling yen revs up PRDCs again
Pressure on Japanese unit sparks revival in power-reverse dual currency notes
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
CCPs’ successful Libor switch raises hopes for sterling move
Optimism follows hitch-free conversion of cleared yen, Swiss franc and euro Libor swaps to RFRs