Month: July 2017

LedgerX Becomes First CFTC-Approved Digital Currency Venue

The US Commodity Futures Trading Commission (CFTC) has issued an order granting LedgerX, an institutional trading and clearing platform for digital currencies, registration as a derivatives clearing organisation under the Commodity Exchange Act (CEA).

LedgerX will be the first US federally regulated exchange and clearing house for derivatives contracts settling in digital currencies.

Under the order, LedgerX will be authorised to provide clearing services for fully collateralised digital currency swaps. LedgerX, which was also granted an order of registration as a Swap Execution Facility (SEF) on July 6, 2017, initially plans to clear bitcoin options.

Shay Exits Nasdaq

John Shay has left his role as global head of fixed income, commodities and clearing Nasdaq.

Shay had been with the exchange group since September 2016, having joined from Virtu Financial, where he was a partner.

Shay spent most of his career with ICAP (Icap) before being recruited by Virtu’s founder, Vincent Viola, in 2007. At Virtu, Shay was responsible for managing all outside venue, vendor and trading relationships, including all prime and FCM counterparties, as well as all exchange, ECN and ATS relationships with a focus on fixed income, currencies and commodities.

A New Interpretation of The Sterling Flash Crash

Closer scrutiny of the data associated with the sterling flash crash reveals some surprising results, argues Paul Aston, CEO of Tixall Global Advisors.

Speaking after delivering a presentation at Profit & Loss’ Forex Network New York conference, Aston explains that his firm replicated the environment of the FX market during the sterling flash crash on a simulator.

“In the course of doing that you have to get very close to the data, analyse every tick, and what we discovered was it really wasn’t the headline grabbing price movement that we saw in the flash crash, where you’re printing all the way down to 1.13 handles, it was right before that which was the most surprising bit of data,” he says.

And Finally…

This is short and very sweet today because I want to offer my heartfelt congratulations to Sue Attwood who made history last week by becoming the first female president of ACI UK. To give this some perspective, ACI UK was established in 1956 so to break the gender barrier after 61 years is something.
I have had cause to work with Sue over the years, especially on the Dealing Simulation Course and her passion for ACI’s core values of education and professionalism is indisputable.

Downes Exits Commerz

Nick Downes has formally left Commerzbank in London where he was global head of electronic distribution.
Downes spent five years with Commerz having joined the bank from a two year stint with Bank of America Merrill Lynch, where he was head of e-FX sales for EMEA.
Prior to BAML, Downes was head of e-FX bank sales at Citi for two years, having joined the bank from a five year spell at UBS where he latterly was head of FX bank marketing.

Deutsche, JPM Move to Settle Libor Class Action

Deutsche Bank and JP Morgan have filed court documents seeking to settle a class action claim brought against them and other market participants over alleged Yen interest rate benchmark manipulation.
The documents were filed Friday in the US District Court of Southern New York and while the two banks do not admit liability or wrongdoing, Deutsche has agreed to pay $77 million and JP Morgan $71 million. These settlements are more than double those agreed by HSBC and Citi last year.

Assessing the Cost of Regulation

Although much is said about the rising cost of regulation in financial markets, there have been few attempts to empirically demonstrate the impact.
A new Staff Working Paper published by the Bank of England, entitled Dealer intermediation, market liquidity and the impact of regulatory reform, and written by Yuliya Baranova, Zijun Liu and Tamarah Shakir, seeks to assess the impact and finds that while the cost of regulation is higher in stable market conditions, in periods of stress benefits accrue.

CTAs Continue to Struggle in June

Managed futures traders lost -0.98% in June, according to the Barclay CTA Index compiled by BarclayHedge.

This was the largest monthly decline so far this year as the index is down -1.65% through the first two quarters of 2017.

The BTOP50 Index, which tracks the 50 largest investable CTAs, also fell, registering a loss of -2.60% in June, and is down -4.77% for the year as well.

“The first half of 2017 has been difficult for the CTA industry,” says Sol Waksman, founder and president of BarclayHedge. “The combination of low volatility and sharp trend reversals has helped to suppress returns for managed futures.”

CLS Volumes Up in June

The average daily volume (ADV) of trades submitted to CLS was $1.64 trillion in June, up 6% from $1.55 trillion in May, and up 1.64% year-on-year.

The main driver of this growth appears to have been an increase in swaps and forward activity. Swaps accounted for $1.08 trillion of the ADV submitted to CLS in June, up 9.3% month-on-month and 7.5% year-on-year.

The ADV of $108 billion in FX forwards in June represented a 3.8% increase from the previous month and a 20% growth from June 2016, when an ADV of $90 billion was recorded.

O’Brien Leaves BNY Mellon

Patrick O’Brien has left his position as managing director, foreign exchange, at BNY Mellon.

Based in Pittsburgh, O’Brien had been with BNY Mellon since 2006. Profit & Loss understands that his departure is part of a broader move by the custodian bank to consolidate its FX dealing room in New York.

Prior to working at BNY Mellon, O’Brien spent just under two years as a senior vice president, FX trading, at National Australia Bank (NAB) in New York.

Before joining NAB in 2005, O’Brien was a manager and chief dealer for spot FX at Commonwealth Bank for twelve years, operating out of both New York and Sydney during that time.