Yen rise triggers PRDC hedging
The yen hit its highest level against the dollar since August 1995 on March 17, spurring activity by banks rushing to hedge exposures to power-reverse dual currency notes (PRDCs) and other similar structured products, say dealers.
The currency touched Yen95.76 against the dollar on March 17, up from Yen111 at the beginning of the year. It subsequently closed at Yen99.71 on March 27. The sharp appreciation has left dealers jostling to rebalance PRDC hedges in the yen swaps and options markets.
"Y
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Structured products
Risk Management
US banks harbour concerns over agencies’ cyber risk rule
Lack of reporting template means “people can give the least amount of data possible”, warns CISO
Receive this by email