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How do you hedge the short rates - fx cross gamma in a callable PRDC (Power Reverse Dual Currency note) ?

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  • $\begingroup$ Are these structures still being traded? I thought everyone toned them back about a decade ago and lost interest in them... They're back? $\endgroup$ – will Apr 20 at 21:03
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You generally can’t. There aren’t enough suppliers. Therefore you end up living with it , which means that the correlation between US swap rates and USDJPY Fx can get very high since many dealers have it.

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