Key facts
- Morgan Stanley Investment Management has altered its long-running Chinese renminbi foreign exchange options strategy.
- The fund manager is now using strikes closer to the current spot rate.
- This adjustment aims to reduce premium costs.
- The fund manager's holdings of USD/CNH call options have been rebuilt to $15.7 billion.
Morgan Stanley Investment Management (MSIM) has reconfigured its strategy for Chinese renminbi foreign exchange options. The fund manager has been rebuilding its USD/CNH call book, with current holdings reaching $15.7 billion. This revised approach involves setting strike prices closer to the current spot rate, which consequently lowers the cost of premiums. According to Risk.net research, MSIM's previous strategy would have only paid out once since 2020, incurring nearly $650 million in premium costs.