Day: 27 February 2017

Tradition Extends Trade Compression to Uncleared Margin in FX

Inter-dealer broker Tradition says it has delivered an initial margin optimisation in FX, after extending its partnership with compression and analytics provider LMRKTS.
The two firms announced a strategic partnership in 2016 to handle execution and compression processing for G10 FX forwards and they say in February they completed a Standard Initial Margin Model optimisation for NDFs with a group of Tradition’s clients.
Tradition says it used its existing infrastructure and connectivity, in combination with LMRKTS’s analytics, to provide the end-to-end service for participants.

Icap Dismissed from Euribor Class Action

Nex Group says that the United States District Court in the Southern District of New York has dismissed two entities which formed part of the Icap Group (Icap plc and Icap Europe Limited) from a class action case brought by various investors who alleged manipulation of the Euro Interbank Offered Rate, Euribor.
The liability for for the two entities resided with Nex Group under the terms of the recently completed transaction with Tullett Prebon that saw Icap’s voice and information services business merged with that firm.

OTCXN Appoints Rasmussen as its CTO

OTC Exchange Network (OTCXN), a provider of blockchain technology, has appointed Drew Rasmussen as its new CTO.

As OTCXN’s CTO, Rasmussen will be responsible for overseeing all technical design, technological resources, and technology development. Additionally, he will be tasked with facilitating the overall architecture and development of the company’s proprietary Blockchain fabric, also known as distributed ledger technology (DLT).

He will report to Rosario Ingargiola, the company’s founder and CEO.
“We are thrilled that Drew will bring to OTCXN his unique expertise in developing Blockchain technologies specifically for large-scale use cases at global financial institutions,” says Ingargiola.

CloudMargin, SmartDX Partner to Tackle VM Rules

CloudMargin has partnered with SmartDX to produce a new offering aimed at helping firms comply with the new daily variation margin (VM) Rule that go into effect March 1.

CloudMargin provides web-based collateral and margin management solutions, while SmartDX offers automated trade and relationship document generation, collaboration and processing in the capital markets.

The two firms have now teamed up to produce an offering designed to enable buy-side investors and other over-the-counter (OTC) derivatives market participants to quickly and comprehensively sign new ISDA Documentation or “repaper” their OTC agreements with existing or new counterparties.

DTCC Moves Onto Next Stage for DLT Repo Solution

The Depository Trust & Clearing Corporation (DTCC) has completed its proof-of-concept for using a distributed ledger based solution to manage the clearing and settlement of US Treasury, Agency, and Agency Mortgage-Backed repurchase agreement (repo) transactions.

Working with Digital Asset, the two companies have demonstrated the successful netting of “start” leg repo transactions with prior end-of-day net securities obligations in the DTCC environment. With Phase One now complete, DTCC and Digital Asset have progressed to Phase Two, where they will form a Stakeholder Working Group comprised of leading market participants active in the $3 trillion per day U.S. repo and related transaction market to collect independent feedback and ensure the solution is aligned with industry needs.

CME Introduces “Triangulation” to Boost Options Liquidity

CME Group has gone live with the “triangulation” of its volatility quoted FX options (VQO), a new system that links the VQO, premium quoted options (PQO) and futures books in order to boost liquidity.

VQOs, which were launched on November 14, allow market participants to quote the standard 2:00pm expiration contracts in annualised volatility terms.

When using a VQO, once a trade occurs the implied volatility input is converted into a USD premium using a standard options pricing model and the participants exchange a standard premium option and a delta hedge of standard underlying futures. This enables market participants to trade in volatility and clear in premium.

And Finally…

The scenario sounds familiar. A front page in the next day’s UK press is released showing a Brexit-related story (in this case a second Scottish independence referendum) which is negative for the pound. Sterling starts selling off just after 10am Australian time and actually starts to sell off quite aggressively as the story spreads.
A story about October 7 and the sterling flash crash? Absolutely not. It happened this morning and would have prompted a few hearts to beat faster than usual on FX trading desks.

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