HONG KONG (Reuters) - A Bank of America Merrill Lynch employee has been arrested in Hong Kong in connection with the murder of two women, a source with direct knowledge of the situation told Reuters.

Hong Kong police said a foreign man had been detained after two women were found dead in an apartment in Wan Chai, a central city district known for its nightlife, on Saturday morning. Police declined to identify the man or give his nationality.

The man has not been charged.

Britain's Foreign Office in London said a British national had been arrested in Hong Kong, without specifying the nature of any suspected crime.

The body of one of the two victims had been hidden in a suitcase on a balcony, while the other, a foreign woman of between 25 and 30, was found lying inside the apartment with wounds to her neck and buttocks, police said in a statement.

The man had called police in the early hours of Saturday and asked them to investigate the case, police said.

A Bank of America Merrill Lynch spokeswoman in New York declined to comment.

Violent crime is a rare in Hong Kong and the city's homicide rate is one of the lowest in the world.

In one of Hong Kong's most talked-about killings, the so-called "milkshake murder", a Merrill Lynch banker was clubbed to death in 2003 by his wife, who drugged him beforehand by serving him a milkshake full of sleeping pills.

(Reporting by Farh Master, Anne Marie Roantree and Gregory Torode; Writing by Lisa Jucca; Editing by Sonya Hepinstall, Robert Birsel)