Derivs - People and Markets

CME Group’s European clearinghouse, CME Clearing Europe, has received authorisation as a central counterparty clearinghouse for over-the-counter derivatives under the European Market Infrastructure Regulation.

The Montreal Exchange could see more liquidity from US-based equity dealers wanting the benefits of exchange trading, while retaining the ability to protect their positions from front running by other market participants. TMX’s exchange rules allow dealers to hedge their positions before executing their trade, helping reduce delta risk - or the option’s price compared to the underlying stock.

Structured products issuers are already looking to use ICAP’s newly launched daily repo index for eurozone sovereign bonds as an underlying for upcoming transactions.

CME Group saw record trading volumes on their S&P 500 options contracts late last week, with trading reaching over 1.1 million on the bourse’s e-mini contracts late last week.

A mid-sized fixed income asset manager-based in New York has been buying three-to-six month swap options on the Markit Credit Default Swap High Yield Index, in a bid to protect against expected higher volatility in the US markets.

The Securities Industry and Financial Markets Association’s Asset Management Group has submitted additional comments to regulators surrounding the aggregation of positions pertaining to agricultural commodity futures and option contracts, as well as physical commodity swaps, in a bid to make the proposed rules less arbitrary and more workable for investment managers.

Overall credit default swap notional that was reported to swap data repositories last week increased by 52% from the previous week, according to data from the International Swaps and Derivatives Association. This was a significant increase following a sharp decrease of 30% reported in the previous week. Overall interest rates derivatives trading that was reported, however, declined by 23%.

Investors have been trading short-dated risk reversals on high yield bond exchange-traded funds or big cap equity ETFs in a bid to hedge further declines in the US stock market.

Investors should look at buying euro zero-cost 1x2 receiver spreads due to the expectation that short and intermediate € rates will not durably or significantly follow US dollar rates up.

ICE Benchmark Administration has assumed the role of administrator for ISDAFIX, the benchmark for the International Swaps and Derivatives Association's annual swap rate.

The Chicago Board Options Exchange traded about 68,033 volatility futures contracts Thursday night, breaking a record it set in July for trading in non-US trading hours.

The International Swaps and Derivatives Association’s Americas Credit Derivatives Determinations Committee has resolved that a failure to pay credit event occurred in respect to Argentina.