Yen carry unwind causes PRDC trading standstill
Trading in power-reverse dual-currency (PRDC) swaps, the most popular structured derivatives product in Japan in volume terms, came to a near halt in Tokyo in the middle of August. The development was due to violent swings in overseas markets ahead of the weekend of August 17, amid concerns over the fallout and contagion from problems in the US subprime mortgage market.
Several major swap houses halted quoting of PRDCs from August 17-20, says a senior fixed-income banker in Tokyo. "Smaller houses
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