Yen rise triggers PRDC hedging
On March 17, the Japanese unit touched ¥95.76 against the dollar for the first time since August 1995. At the beginning of the year it was at ¥111. The rapid rise spurred banks to rebalance PRDC hedges in the yen swaps and options markets.
"You've seen some fairly large moves in the Japanese interest rate markets, with widening basis swap levels, which has been due to the dollar/yen falling and banks scrambling to hedge positions they have due to these products," said Bilal Hafeez, global head
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