Day: 10 August 2017

CTAs Limp into Positive Territory in July

Managed futures traders gained 0.64% in July, according to the Barclay CTA Index compiled by BarclayHedge. The index is down 1.04% for the year.

The BTOP50 Index, which tracks 20 of the largest CTAs, showed a modest gain of 0.6% and is down 4.2% through the end of July.

“Managed futures traders were able to eke out gains last month in spite of the cross currents in commodity markets,” says Sol Waksman, founder and president of BarclayHedge. “Profits resulting from US dollar weakness against the euro and a new record high in the S&P 500 were enough to overcome losses from trend reversals in energy and agricultural products.”

P&L Talk Series with John Deters

Profit & Loss talks to John Deters, chief strategy officer and head of multi-asset solutions at CBOE, about the potential for cryptocurrencies such as bitcoin to trade on regulated exchange platforms.

Profit & Loss: You recently announced a deal with Gemini to use its bitcoin market data to develop your own bitcoin derivatives and indices. What was the thinking behind this deal?

John Deters: We’ve been observing the evolution of the cryptocurrency space, and of bitcoin specifically, for some time. In parallel with that, we’ve been thinking about what sort of structures might work well for these products.

Cochinos Joins UBS

Richard Cochinos has joined UBS as head of macro sales and trading content, knowledge network Americas. He will be based in New York.

A spokesperson for the bank confirms the move.

He joins from Citi, where he initially worked as North America head for G10 FX strategy based in New York before moving to London to take on the position of head of Europe G10 FX strategy.

Before working at Citi, Cochinos worked as a vice president at Bank of America and as an FX strategist at Merrill Lynch.

Negara Issues Offshore Ringgit Warning

Malaysia’s central bank – Bank Negara Malaysia (Negara) – has issued a statement warning that offshore trading of the ringgit contravenes Malaysian laws.

The statement was issued to the recent introduction of ringgit futures at the Singapore Exchange (SGX) and the Intercontinental Exchange (ICE), with Negara claiming that these products are “inconsistent with Malaysia’s foreign exchange administration (FEA) policy and rules”.

Negara adds: “The Malaysian ringgit is a non-internationalised currency and thus, offshore trading of ringgit, in any form whether as a non-deliverable forward traded out of offshore financial centres or as a futures, options and other derivative contracts on exchanges outside of Malaysia, is against Malaysia’s policy.”

In the statement, BNM reminds market participants that failure to comply with the FEA rules is an offence under the Financial Services Act 2013 and Islamic Financial Services Act 2013.

CLS Volumes Dip Slightly in July

The average daily volume (ADV) submitted to CLS was $1.6 trillion in July, down 2% month-on-month, but up 11.9% year-on-year.

CLS recorded an ADV of $1.04 trillion in swaps in July, down from $1.08 trillion the previous month.

Spot ADV submitted to CLS in July was $453 billion, basically flat from the $455 billion recorded in June.

The ADV of forwards products submitted to CLS last month was $101 billion, down from $108 billion in June.

However, year-on-year, forwards ADV in July was up 46%, while spot ADV was up 13.9%. By contrast, the spot ADV submitted to CLS in July 2016 was $446 billion, only 1.6% less than July 2017.

NEX Unveils EMIR RTS Rewrite Solution

NEX Regulatory Reporting has launched a new solution to support the EMIR Regulatory Technical Standards (RTS) Rewrite.
Due to come into effect on 28 October 2017, ESMA’s EMIR RTS Rewrite aims to improve the transparency of the OTC derivatives market and reduce associated risks such as the mandatory clearing of some asset classes and the attribution of collateral against open positions, posted to secure these positions. Nex Regulatory Reporting has added the EMIR RTS Rewrite solution to its Global Reporting Hub.

And Another Thing…

Before getting onto today’s subject matter – which is last look – I wanted to clarify something from Monday’s column – which was about last look!
Some in the industry are definitely moving towards the moral high ground on this issue and along the way, hopefully, they will squeeze out those that still wish to abuse the practice. New initiatives and growing support for a crucial change mean I am, possibly for the first time, vaguely optimistic the problem of last look will be solved.

XTX Markets Commits to Zero Hold Time on Last Look

XTX Markets says it is now operating a ‘zero hold time’ (ZHT) model in its application of last look to its FX counterparty businesses. The firm says it is in response to market structure changes and is in accordance with the principles of the recently published Global FX Code.
Effectively XTX is removing a latency buffer that is applied in the last look window. Under a latency buffer the trade request is held for a brief, prescribed time delay before the price check is performed.

FX TCA Won’t Resemble Equities Any Time Soon

The structure of the FX market means that transaction cost analysis (TCA) within this asset class is unlikely to look like it does equities for the foreseeable future, according Dan Torrey, global head of FX e-commerce sales at Northern Trust.

TCA is clearly much easier to perform in the equities market because it has a consolidated tape, which provides one uniform data set from which firms can analyse the cost and effectiveness of their execution. This, says Torrey, turned equities TCA into “more of a science that’s very hard to dispute”.

By contrast, he points out that, not only is FX an OTC market without a central tape, but that the reference points for pricing has become more diverse over the past decade.

Hedge Funds Up in July – BarclaysHedge

Hedge Funds gained 1.11% in July according to the Barclay Hedge Fund Index compiled by BarclayHedge. The index has risen every month this year and is up a cumulative 5.48% for 2017. Emerging Markets continued their recent strong run and led all sectors with a gain of 2.65% in July. Pacific Rim Equities posted their best performance of the year with a gain of 2.12% and Technology, which is the top performer for the year to date, was up 1.72%.