State Administration of Foreign Exchange, Circular on Issues Relevant to the Handling of the Renminbi-foreign Exchange Option Portfolio Business by Banks
国家外汇管理局关于银行办理人民币对外汇期权组合业务有关问题的通知
Safe puts forward risk-reversal option portfolios.
Issue: December 2011/January 2012
CLP Reference: 3700/11.11.08
Promulgated: 08 November 2011
Keywords (click to search):
renminbi-foreign exchange option
option portfolio
risk reversal
put option
call option
Issued: November 8 2011
Applicability: For the purposes of this Circular, the term “option portfolio” means the portfolio that arises when a customer simultaneously purchases one and sells one renminbi-foreign exchange standard European option of identical currency, term and contract principal, including:
(1) foreign exchange put option portfolios: the customer, in respect of an actual future need to convert foreign exchange, purchases a foreign exchange put option with a relatively low strike price (here and hereinafter calculated using a...
Please login or register below to read this article.