MSIM retools renminbi options wager
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US manager rebuilds USD/CNH call book to $15.7 billion, but with strikes closer to spot and cheaper premiums
Morgan Stanley Investment Management’s (MSIM) long-running Chinese renminbi foreign exchange options strategy would have paid out just once since 2020 at a cost of nearly $650 million in premium, according to Risk.net research. Now, the fund manager has revised its approach and is building up notionals based on closer-to-the-money strikes.
Regulatory filings show the US fund manager’s holdings of
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