Derivs - Interest Rate

The latest version of the European Market Infrastructure Regulation could give market participants more leeway in clearing intragroup transactions, according to speakers at yesterday’s International Swaps and Derivatives Association’s European conference in London.

BGC Partners has completed its first fully electronic over-the-counter Thai baht interest rate swap.

The Fixed Income Connectivity Working Group, led by 13 dealers and supported by interdealer brokers and electronic fixed income venues, is to look at ways of applying the standard FIX protocol to electronic trading of fx options.

UBS has sold over USD7 million in a fixed to floating rate structured note mostly to one large institutional investor that pays out at a higher level if the 3-month LIBOR rate rises after the first year, subject to a cap.

BNY Mellon has updated its derivatives margin management service servicing platform DM Edge Connect.

Investors looking for a bullish volatility play are being touted downside put options on the iShares 20-year Treasury Bond exchange-traded fund on the back of expectations for a third round of quantitative easing.

Asian hedge funds and propriety trading desks have been buying of out-of-the-money puts on Asian indices in size and increasing their exposure to convexity via over-the-counter variance swaps in recent weeks.

The Basel Committee is expected to release additional guidance on the risk capital treatment of initial margin and default fund contributions within the next four weeks.

I was recently conversing with a good European friend over the state of our respective domestic economies and regions.

The Korea Exchange has been given until the end of 2012 to set up a central clearinghouse for Korean won-denominated interest rate swaps by the country’s Financial Services Commission, according to lawyers familiar with the process.

The Chilean pension regulator has ruled that Undertakings for Collective Investment in Transferable Securities domiciled in Ireland are no longer approved for general investment.

Clearing of over-the-counter interest rate swaps via the Singapore Exchange’s central clearing counterparty AsiaClear fell in August, with total volume falling SGD10.5 billion (USD8.7 billion) to SGD22 billion (USD18.2 billion).