Derivs - Equity

The European Securities and Markets Authority plans to launch later this week a consultation on exchange-traded funds that will scrutinize synthetic ETFs.

The outstanding notional of over-the-counter derivatives in South Korea grew 8.3% over the 12 months to KRW6,970 (USD6.57 trillion) through to the end of first quarter, according to Financial Supervisory Service figures.

UBS has expanded its equity structuring team and created a regional and global heads structure in an effort to expand product offerings and revenue.

There has been a trend on the outperformance of the SXP over the SX5E that has endured since Jan 2008 and that has accelerated in July 2011 having moved 5% wider.

The next wave of derivatives set for clearing will likely include interest rate swap-like non-linear products like swaptions and options, Garry O’Connor, ceo at the International Derivatives Clearing Group in New York, told Derivatives Intelligence in an interview. Cross-currency swaps and swaps with caps and floors will likely follow.

Santander has hired Lee Stone, a senior equity derivatives index trader at Nomura in London, in a new role trading the Eurostoxx 50 index.

Sovereign eurozone debt concerns and the U.S. budget issue will shake energy markets more than consumer staples markets if there is a rise in investor anxiety on either situation, therefore investors should buy volatility on the S&P 500 energy exchange-traded fund and sell vol on the staples ETF, according to strategists at BNP Paribas in New York.

Industry associations and U.K. firms have warned the Independent Banking Commission about the implications that ring fencing could have on a banking group’s derivatives use.

The U.K. Financial Services Authority is consulting on how it reviews the credit risk management of central counterparties.

Insurance companies may increasingly use equity and credit derivatives, in addition to interest rate derivatives, to better manage their portfolios as a result of Solvency II, according to a report from the Bank for International Settlements.

Counterparties should not have to post margin for non-cleared swaps on the same day of execution, nor should covered swap entities be barred from netting initial and variation margin requirements across asset classes and financial products, say the International Swaps and Derivatives Association and the Securities Industry and Financial Markets Association in a joint comment letter to bank regulators last week.

The International Swaps and Derivatives Association has published the 2011 Equity Derivatives definitions and signaled plans to create transaction matrices for U.S. and E.U. index variance swaps by August 31.