CBOE prepares to list, trade credit derivatives
CBOE prepares to list, trade credit derivativesThe world of electronic derivatives trading continues to expand. First Eurex, now CME, CBOE and CBOT. Everyone wants to get into Credit Derivatives. I think some buy side participants may see these contracts as cost effective alternatives to OTC Credit Default Swaps. Yet it will take time to build market acceptance.
On June 19, the Chicago Board Options Exchange will launch credit-default options on a handful of companies including Ford, Lear, General Motors, Standard Pacific and Hovnanian Enterprises. "We are very pleased to receive US Securities and Exchange Commission approval for these products which we first proposed last June," said William Brodsky, chairman and chief executive officer of CBOE. "Investors can now take advantage of the synergies between options prices, volatility and credit risk, hedging all three on one electronic platform."
CBOE latest to add credit derivatives
Shanny Basar
08 Jun 2007
The Chicago Board Options Exchange has become the second US market this week to receive regulatory approval to list and trade credit derivatives.
The CBOE is going to launch credit default options on five individual companies on June 19 - General Motors, Ford, Lear, Hovnanian Enterprises and Standard Pacific - with Jane Street Specialists as the designated primary market maker.
William Brodsky, chairman and chief executive of CBOE, said: “We are very pleased to receive US Securities and Exchange Commission approval for these products which we first proposed last June. Investors can now take advantage of the synergies between options prices, volatility and credit risk, hedging all three on one electronic platform.”
Regulatory approval for CBOE’s credit default baskets is expected soon.
This week the Chicago Mercantile Exchange received regulatory approval for its Credit Index Event contract which is due to start trading on June 18 based on an index of 32 investment grade entities.
Last week the US Futures Exchange, which was formed last year when hedge fund Man Group invested in the former Eurex US, said it expects to offer contracts in the fourth quarter which are based on credit default swaps on Fannie Mae and Freddie Mac, the US government-backed agencies and the Chicago Board of Trade said it planned to launch credit futures on June 25.
David Boberski, head of interest rate strategy at Bear Stearns, said in a report: “The new CBOT contract offers a smart combination of design choices and is the most promising structure to date for an exchange to tackle corporate bond credit indices.”
full CBOE article
http://www.financialnews-us.com/?page=ushome&contentid=2347986664CBOT launches into credit derivatives
Shanny Basar
31 May 2007
The Chicago Board of Trade is launching its first product in the fast growing world of credit derivatives with an investment grade index futures contract for credit default swaps.
Credit default swaps are over-the-counter derivative contracts that allow buyers to hedge against potential credit losses, while sellers assume credit risk in exchange for payment. Market participants include banks, hedge funds and other institutional investors.
Bob Ray, senior vice-president for business development at CBOT, said: “The growth rate in the over-the-counter credit default swap market has been stunning but that brings heightened risk and the CBOT is an expert in helping price discovery and risk management. We wanted to create a product that would best emulate the trading and pricing in the OTC market.”
The new CBOT CDR Liquid 50 North American Investment Grade Index for futures contracts is scheduled to begin trading on June 25.
Gene Mueller, managing director for research & development at CBOT, said approximately a third of credit default swap trade volumes relate to index trading and two thirds is investment grade.
The new product is based on the CDR Liquid 50 NAIG Index developed and maintained by Credit Derivatives Research, an independent research provider. It includes 50 North American investment grade reference entities and is reconstituted every three months to ensure it includes the most liquid entities from the OTC market.
Credit Market Analysis, a data provider used by many buyside firms, will provide pricing information for all the underlying component issues within the CDR Liquid 50 NAIG index.
full CBOT article
http://www.financialnews-us.com/?contentid=2447933037CBOT, CBOE, EUREX, CME, derivatives products, electronic trading, credit derivativesLabels: CBOE, CBOT, CME, credit derivatives, derivatives products, electronic trading, EUREX
Instinet algorithm automates human-trading strategies
Instinet algorithm automates human-trading strategiesInstinet has launched Sidewinder, an algorithm that adjusts the rate at which a trading desk buys and sells a stock as its price hits certain benchmarks. The algorithm allows faster reactions to market shifts, enabling traders to quickly make "momentum" trades and take advantage of value strategies.
Instinet automates human trading strategiesMelanie Wold
29 May 2007
Agency brokerage Instinet has taken a traditional trading strategy and turned it into a new algorithm, to enable faster reactions to market forces than a human could achieve.
Instinet’s Sidewinder algorithm dynamically adjusts the rate at which a trading desk buys or sells a stock as its price moves relative to selected benchmarks. Sidewinder can take advantage of so-called "value" strategies, whereby the rate a trader buys shares slows down as the price moves away from his target, and speeds up as it moves closer.
Sidewinder also enables traders to do "momentum" trades automatically, where it buys more as the price goes up and less as it goes down, or vice versa.
The benchmark element means that if a stock is part of an exchange traded fund or index, there is a high correlation that the stock won’t move against movements of the ETF or index. So if it does momentarily get out of line, Sidewinder can take advantage of it.
Mike Plunkett, president of North America for Instinet, said it is difficult to be unique these days in algorithms, so it took a traditional trading strategy and added to it. “Truly useful algorithms mimic what any good trader would do intuitively, while at the same time making the trading process more efficient,” he said.
Sidewinder, available via Instinet’s trading platforms or partner FIX systems, allows clients to customize execution style, benchmarks and participation rates. Sidewinder can also be pegged to the widening or tightening of the spread between two stocks or between a stock and an ETF. Sidewinder uses Instinet’s SmartRouter to seek liquidity in displayed US dark pools.
Plunkett said the feedback from clients testing the algorithm has been positive. The target market for Sidewinder is buyside trading desks and single stock traders, he said.
full articleLabels: algorithmic trading, electronic trading, instinet
Algorithms Finding A Foothold In Fixed-Income Markets
Fixed-income algorithms find their wayThe main object of algorithms in the equities market is to find price discrepancies between markets offering the same security. The fixed-income market is made of markets with different structures, making algorithms harder to gauge. For the last few years, however, an algorithmic strategy for the fixed-income world has been taking place.
Algorithms Finding A Foothold In Fixed-Income MarketsAs Advanced Trading first attempted to gauge the extent to which algorithms have been deployed in the fixed-income market in the
November 2005 issue, it became apparent that it would be some time before these strategies became as prevalent in the market as they are in equities. While many of the structural issues discussed in
that first article — such as the format of the dealer-to-customer trading venues, which use a request-for-quote (RFQ) system — still exist, some of the major interdealer venues now are seeing high levels of automated trading, and there is automated arbitrage between them.
There now are algorithms that can be used on RFQ venues, and perhaps more important, algorithms are being written on the buy side to support decision-making and assist in transaction processing, lowering the effective cost of transactions. And while the entry of a new participant,
NYSE Bonds, has yet to cause a major ripple, its unconventional firm-quote platform for the most-active corporate bonds has the potential to change the paradigm for this dealer-driven market.
It is clear that the fixed-income market will never look like the equities market — which has few parameters and security types, and where the main object of algorithms is to capitalize on price disparities between markets offering the same security. In contrast, the fixed-income world is comprised of several markets that are structured quite differently from one another and each of which has thousands of securities and many specialized order types.
However, if one expands the definition of "algorithm" beyond the typical equities function of splitting an order and executing against a benchmark to include any automated routine that processes incoming market data and provokes trading activity, one could conclude that algorithms indeed are prevalent in the fixed-income world.
"Algorithmic trading has two pieces: one, decision support; and two, execution," explains Jon Dean, head of global connectivity at MarketAxess. Algorithms have been used in decision support — for example, tracking price correlation between bonds and futures contracts derived from those bonds, and creating hedging strategies based on the information — for some time. And now that price data is improving and electronic trading is becoming more prevalent, according to Dean, bond algorithms are moving closer to combining decision support and execution. Pricing data has become much easier to obtain since the National Association of Securities Dealers (NASD) began offering the
Trade Reporting and Compliance Engine (TRACE) in 2002, with adoption increasing steadily in 2005 and 2006, Dean says, making corporate bonds a much less murky category and paving the way for further automation.
If You Want It, Build ItAt present, most of the buy-side firms using fixed-income algorithms extensively build and deploy them in-house. Because of the amount of IT effort this requires, some firms, including Bank of New York (BNY) Asset Management, are making algorithmic development part of a firmwide integration strategy.
BNY recently completed an 18-month IT overhaul that produced a common trading and data information backbone called the Transaction Processing Layer (TPL). The goal of the initiative was to integrate trading and analytical platforms in all asset classes so that traders could see a representation of the market at any given point, says Eric Karpman, a VP at the firm and head of its FIX fixed-income technical committee.
The strategy came about because the bank was concerned with updating its asset allocation strategies across multiple asset classes, part of a growing trend toward sector-based trading, according to Karpman. The availability of TRACE data convinced bank executives that this would be a sound investment. "The proliferation of data gave us a reason to go forward," Karpman says. "Algorithmic trading was just a natural exploitation of the resources that were made available by the TPL."
The FIX-based TPL was built on Informatica's data-integration software. Drawing historical and real-time price and portfolio data off this backbone, BNY Asset Management's algorithms facilitate cross-asset trading across all desks, including the personal, global and institutional fixed-income desks; short-term money markets; institutional equities; and index funds, Karpman says. A team of 11 technologists built the system, but frequent input from other bank divisions, including securities master data, market data and quantitative analysts, also was required in order to obtain timely data and satisfy the business needs for each desk, he relates.
The first tier of assets to be automated consisted of foreign exchange, credit derivatives, government bonds and to-be-announced mortgage-backed-securities (TBA-MBS), Karpman notes. The second tier consisted of corporate bonds, municipal bonds and other structured products, he adds.
About 25 percent to 30 percent of BNY Asset Management's fixed-income trades in liquid areas, such as U.S. Treasury bonds and
credit default swaps (CDSs), are conducted algorithmically, Karpman says. "We use the TPL as the glue — there is indicative data, market data, price data, all in one central place," he relates. "We were able to easily create plug-ins for the trading systems to send the trades electronically through our custom algorithms."
Karpman admits that the system is probably more cutting-edge than what reigns at most institutions, which tend to be dependent upon vendors for technology solutions. However, he believes most large institutions working in multiple asset classes are close behind BNY on the way to an algorithmic apotheosis. "All the large buy-side firms have some kind of quantitative framework to analyze liquidity and find the best strategy for execution," Karpman asserts. "That is the first step in building an algorithm."
Buy-Side Demand on Rise
The increasing availability of price data and the shift of the entire financial services industry toward sector-based, cross-asset trading means that the production of elaborate strategies to capitalize on miniscule price adjustments across multiple asset types has probably only just begun, industry observers suggest.
"Corporates have been very interesting," notes Brad Bailey, senior analyst at Aite Group. "There has been more transparency in that market, and the credit default swap has risen as a means of giving greater transparency in pricing." Credit derivatives, typically used as a hedge against corporate bonds, have grown at about a 200 percent annual rate for the past few years, according to Bailey.
In the interdealer world, Icap and eSpeed have indicated that more than 20 percent of their order flow is from automated strategies, Bailey adds. Increasingly, this traffic is from hedge funds, such as those operated by Citadel Investment Group, as much as traditional dealers, he says. Algorithms are being used in the market both to arbitrage one platform against the other and to support the decision-making process, Bailey contends. Icap, eSpeed and Citadel officials did not return calls seeking comment.
In the dealer-to-customer area, algorithms are being deployed on the dealer side in order to generate prices, and to modulate those prices based on the class of customer requesting them and the up-to-the-second price data being fed in, says John Bates, founder and VP of Progress Apama Software, which creates risk management, event processing and trading algorithms for financial firms. "The more-recent engines are skewing the price of the bond in real time, based on data changing in real time, and may be changing the spread as corresponds to the tier of customer," Bates comments. "When a request comes in, you spawn a millisecond-length calculation that uses your analytic libraries built up over the years." In other words, dealer firms now can offer not only up-to-the-millisecond pricing based on real-time data feeds and historical information, they also can offer more-loyal customers a better price, or selectively offer improved pricing to less-frequent customers as an incentive to trade more frequently.
Algorithms also come into play when firms take a position in both futures and bonds at the same time, Bates adds. They can be programmed, he explains, to rehedge when set thresholds are crossed.
On the dealer-to-customer sites, such as MarketAxess, which primarily deals in corporate bonds, a few customers have created algorithms that attempt to exploit the latency in the RFQ model, MarketAxess' Dean says. "You can perform intraday arbitrage between RFQ and an order-driven system," he relates. "It can be solved programmatically, but it is not as optimum as in an equities scenario." Traders still must manually press the button to ensure the order has been executed because the information the algorithm was acting on was only an indicative price, Dean explains.
Dean says he believes that nearly all of the 100-plus buy-side firms that write to MarketAxess' application program interface (API) are using some type of automated strategy to inform their trading. But, he predicts, it will be six to 12 months before execution algorithms and cross-platform strategy trading really takes off among the mainstream institutional customers. And it may be even longer before traditional vendors of buy-side order management systems (OMSs) offer algorithmic fixed-income capability, Dean notes.
This frustrates potential customers, such as Travis Bagley, head of fixed-income transitions at Russell Investment Group in Tacoma, Wash. Bagley says his main goal in trading on behalf of his fund customers is cost-minimization rather than rapid profits.
"We are ready and poised to include some kind of algorithmic trading into our process as soon as they become available from vendors," Bagley says. "The algorithms that are out there and working today are created by proprietary users, such as hedge funds and prop trading desks doing arbitrage and alpha-generation strategies. What we'd like to see is one of the trading software vendors create an algorithm for cost minimization as we trade across multiple venues."
It seems that buy side-focused vendors, most of which grew up in the equities marketplace, may still be overwhelmed by the flurry of algorithms that brokers continue to develop for equities.
Sell Side PrioritiesFor the sell side, it makes sense to allocate technology and resources for the business lines that are most likely to pay off in the shortest amount of time. That means that fixed-income algorithm development ranks behind foreign exchange, options and futures at Credit Suisse's Advanced Execution Services (AES), according to Guy Cirillo, AES global sales channel manager. "We would develop fixed income further down the road as that pent-up demand matures," says Cirillo. "Once these markets are ready for algorithms, we will develop them."
There also must be a global market for the technology in order to fully commit to it, Cirillo notes. "With everything we do, we want to see it applied to not only the North American market, but also Europe and Asia," he says. "If there is something that is only in demand in one region of the world, we are more hesitant to develop that."
Another factor preventing widespread deployment of fixed-income algorithms is the variety of FIX flavors in the marketplace, according to Gary Maier, CIO at Five Mile Capital. Version 4.4, which has the greatest support for fixed income, has yet to be adopted by many brokers, and FIX 5.0 already is on the horizon, notes Maier. "They are mainly doing 4.2," he says.
In the structured product arena, FpML [Financial products Markup Language] is probably better than FIX. "Algorithmic trading will become more pervasive, but it is hard to anticipate when that happens," Maier adds.
FOR MORE ON ALGORITHMIC TRADING in the fixed-income space, view Wall Street & Technology's Editorial Perspectives TechWebCast at advancedtrading.com/events/ondemand.full articleelectronic trading, structured products, credit derivatives, fixed income, CDS, IRD, EQD, algorithmic tradingLabels: algorithmic trading, CDS, credit derivatives, electronic trading, EQD, fixed income, IRD, structured products
NYSE Demise of trading floor leads to volatility
NYSE Demise of trading floor leads to volatilityA New York Stock Exchange member is the latest to slam new US trading regulations, warning the demise of the Big Board’s trading floor is leading to a rise in volatility.
Joe Saluzzi, co-head of equity trading at Themis Trading, an agency broker for fund managers, said: “There’s no human specialist intervening to increase market liquidity anymore – it is all going to screen trading. In the old days, the specialist would get in between to make more of a stable market. Now that is going away, the end result is more volatility on NYSE.”
Volumes on NYSE’s trading floor have dwindled since the US regulator introduced Regulation National Market System on March 7. The trading rules, which were delayed by a month after NYSE requested more time to launch its hybrid system, require brokers to execute trades as effectively as possible, prompting a shift from the floor to screens. The exchange does not maintain data on floor-based trading activity but Saluzzi estimates the share of trading conducted manually has fallen by a third to half in the past two months.
John Thain, chief executive of NYSE Euronext, said this month: “Are we big enough to afford to maintain the cost of the floor in an environment that’s becoming increasingly electronic? The answer is yes. But we’ll see how the market evolves.”
But many of NYSE’s top brokers have reduced their number of floor staff this year. UBS took out 23 of its 30 floor positions in March, while Dutch marketmaker Van der Moolen, Bank of America, Lehman Brothers and Goldman Sachs have laid off specialists and direct market access staff. The exchange cut its staff numbers by more than a third last year to 2,578.
Saluzzi is the latest broker to have criticised Regulation NMS. Richard Rosenblatt, chairman of Rosenblatt Securities, said in March: “The benchmark is whether automation makes the process more efficient but I suspect NYSE and the Securities and Exchange Commission have gone too far with the assumption that transparency equals liquidity.”
Full articleLabels: derivatives trading, electronic exchanges, electronic trading, NYSE, sstock market
Fat finger trades continue to present problem
Fat finger trades continue to present problemFat finger trades continue to plague employers despite the presence of numerous checks and balances used by most trading houses. A recent fat finger incident at Morgan Stanley forced the global financial-services firm to implement preset trade limitations for its traders on the swaps desk and add another measure that forces traders to make a manual computer entry to verify that an anticipated trade will exceed a preset limit.
Read more...trading, sales, invesment banking, input errors, electronic trading, order entry, electronic markets, electronic exchanges
Labels: electronic exchanges, electronic markets, electronic trading, input errors, invesment banking, order entry, sales, trading
Hedge funds eclipse investment banks in bond trading
Hedge funds eclipse investment banks in bond tradingThe significance of hedge funds has increased thanks to computer-driven trading models that generate high trading volume for U.S. Treasury bonds. Electronic trading, and the ability to make trades quickly to exploit small differences in prices, is changing the trading field and has given hedge funds a leg up on investment banks.
Read this articlehedge funds, bond market, bond trading, electronic trading, US treasuriesLabels: bond market, bond trading, electronic trading, hedge funds, us treasuries
CME commodities to trade 24 hours a day starting in June
CME commodities to trade 24 hours a day starting in JuneAfter reaching record volumes in 2006, the Chicago Mercantile Exchange plans to offer round-the-clock trading of commodities beginning June 4. "CME is a global marketplace, and we are committed to meeting customers' risk management and trading needs whether they are located in Asia, Europe, Latin America or the U.S.," said Terry Duffy, chairman of the CME.
full storyCME, derivatives markets, global markets, trading, electronic tradingLabels: CME, derivatives markets, electronic trading, global markets, trading
Toronto Stock Exchange to team with ISE and launch derivatives exchangeTSX Group Inc., parent company of the Toronto Stock Exchange, and International Securities Exchange Holdings Inc. plan to spend about 26 million Canadian dollars (US$22.2 million) to create the DEX, a new derivatives exchange expected to begin operations in 2009.
The exchange will be 52% owned by TSX and TSX Venture Exchange and 48% owned by ISE.
full story Labels: derivatives, electronic trading, exchange, ISE, TSE, TSX
Japan goes crazy for currency trading
Japan goes crazy for currency tradingJapan is seeing another boom in individuals actively trading currencies online at home and even on their cell phones, and it is only likely to get bigger in coming months and years.
Full Story
electronic trading, FX markets, Japan
Labels: electronic trading, FX markets, Japan
NYSE: Electronic Trading on the Front Lines
SEC asks if NYSE's electronic-trading push played role in sell-off
The Securities and Exchange Commission wants to know if the NYSE's push into electronic trading may have played a role in Tuesday's market plunge. In November, the NYSE said it would cut costs by closing one of its five trading rooms. Now regulators are asking if that made it tougher for the NYSE to handle Tuesday's trading surge.
Full StoryComputer problem may have exacerbated massive fall on Wall StreetIn the midst of what was already a rough day on Wall Street, the Dow Jones industrial average suddenly plummeted 200 points within seconds -- one of the fastest falls in the history of the market. Now it appears that the decline may have been the result of a glitch in a Dow Jones computer system.
Full StoryRosenblatt says automation may make NYSE less effectiveRichard Rosenblatt, a member of the
NYSE since 1979 and chairman of Rosenblatt Securities, issued a warning about the automation of the exchange. "The benchmark is whether automation makes the process more efficient but I suspect NYSE and the Securities and Exchange Commission have gone too far with the assumption that transparency equals liquidity," Rosenblatt said.
Full StoryNYSE, NASDAQ, global markets, equity markets, electronic trading, automation, technologyLabels: automation, electronic trading, equity markets, global markets, NASDAQ, NYSE, technology
Man vs. machine: Algorithmic trading pressures locals
Man vs. machine: Algorithmic trading pressures localsExpensive machines running high-speed and complex algorithms are squeezing out the small futures traders known as "locals." Locals are fighting back with automated trading systems of their own, but market watchers worry that the locals, who provided much needed liquidity to markets, won't be able to compete.
full storyLittle guys suffer as Wall Street enters machine eraThe end of an era is approaching on Wall Street, where the number of humans who work the trading floors is dwindling. And although NYSE CEO John Thain said that there would always be a need for specialists on the exchange, no one expects to see a return to the teeming pits of yesterday. And perhaps the people most likely to be hurt by the change are the small merchants in Wall Street. "Machines and computers don't eat and drink," one bar owner said.
more infoNYSE, AMEX, NASDAQ, NYMEX, local markets, local business, electronic tradingLabels: AMEX, electronic trading, local business, local markets, NASDAQ, NYMEX, NYSE
Jobs: Financial Reporting, Controllers Analyst (NYC)
Role: Analyst - Financial Reporting Controllers/New YorkCompany: Goldman SachsIndustry: Investment BankingJob Description:The intermediate/senior analyst will be an integral part of the GS Execution and Clearing financial reporting team. This includes assisting in the preparation and submission of the balance sheet and supporting schedules on monthly basis. The analyst will interact with other divisions throughout the firm with regards to Consolidated reporting, FAS 140 disclosure, Inventory and other balance sheet and P&L transactions. Also experience with FAS 109 tax reporting would be a plus.
Principal Responsibilities:- Assist with Monthly Balance sheet preparation
- Subsidiaries financial statement preparation
- Estimate to actual reviewInventory broadening and review
- Tax accruals and associated analysis
- FAS 140 calculation
- Participate in the semi-annual and year end audits
- Special projects
Experience/Skills:
- Degree in Accounting
- 1-3 years relevant work experience (preferably with a public accounting or financial services firm)
- CPA a plus, but not requiredStrong PC skills (Excel, Word, Essbase, DBS Ledger)
- Strong analytical skills and detail orientation
- Excellent Interpersonal and communication skills
Contact via email for further information.
Careers@BizAnalyst.net and gloria.chen-li@gs.com
HR, jobs, derivatives, trading, risk management
Labels: accounting, careers, derivatives, electronic trading, finance analyst, goldman sachs, hr, investment banking, jobs, risk management, trading
Citigroup plans to cut costs by $1 billion
Citigroup plans to cut costs by $1 billionCitigroup, trailing its rivals in profit growth, plans to cut $1 billion in costs this year, Bloomberg reports, citing a source with direct knowledge of the plan. The cost-cutting measures will involve eliminating some jobs, moving others to less expensive locations and overhauling the risk-management unit.
Read this articleIs this the beginning of a cost cutting wave on Wall Street? Feast or Famine.
Take a look at the new hiring trends on Wall Street.HR, jobs, derivatives, trading, risk managementLabels: careers, citigroup, cost cutting, derivatives, electronic trading, hiring, hr, jobs, layoffs, reorg, risk management, trading
Credit Derivatives go electronic
Credit Derivatives go electronic.
Key index and single name CDS products migrate from OTC to exchange traded products.
Business Impact
- Transparent pricing, valuation and public market data on CDS products
- Potential STP for order routing, execution, margin, confirmation & settlement processes.
- Reduced processing costs via automation of key processes
- Reduced spreads per trade
- Increased trading volume & time (23hrs x 5days/week)
- Migration of OTC positions to exchange traded positions (especially on buy-side: hedge funds, asset managers)
Technology Impact
- Interconnectivity to major exchanges for CDS trading (EUREX,CME) via order routing gateways
- Real time market data (quotes, spreads, market depth, executions/fills)
- Increased trading volume
Eurex will start trading in credit futures in March 2007
European exchange Eurex will start futures trading in iTraxx index beginning March 27, 2007. Additionally, trading will start at some date in future on the segments of iTraxx index too.
The Eurex iTraxx® credit futures will closely mimic the risk structure of credit default swaps traded in the over the counter (OTC) market. Trading on Eurex will involve Eurex Clearing as central counterparty thereby reducing the counterparty and systemic risk and adding to the benefits the product will offer to users.
The contract will be based on the 5 year series, with a fixed coupon and semi annual maturity dates in March and September. The contract size is EUR 100,000; the tick size is set at 0.005 percent translating into 5 euros per tick. It will be quoted in percent with three decimal places. The product will be cash settled, with reference to the iTraxx® index values of IIC.
In the case of a credit event, cash settlement of the single name entity will be made with reference to the ISDA CDS protocol. The Eurex iTraxx® Europe futures contract will be supported by designated market makers, ensuring liquidity from launch.
This is claimed to be the world's first exchange traded credit derivative product.
In the meantime, Chicago Mercantile Exchange has also reported that it will start trading in credit event futures in the 1st quarter of 2007. Regulatory approvals, it seems, are still pending.
Questions or comments, contact our subject matter expert: Victor Smith [victor7@bizanalyst.net]
Labels: CBOT, CME, credit derivatives, credit futures, derivatives, electronic trading, EUREX, exchange, LIFFE, market gateway, OTC, risk management, technology, trading
Compensation & Negotiation: Please, Sir. I Want Some More.
Please, Sir. I Want Some More. Compensation Negotiation Article by
eFinancialCareersWhat if you're not satisfied when you get your bonus? Could you negotiate for more? Success is rare, and it could be a dangerous path to pursue. "In 20 years at Goldman, I never once saw anyone renegotiate their bonus after it had been announced, ever," says one former department head at Goldman Sachs...
full storyHR, jobs, derivatives, electronic trading, trading, risk managementLabels: careers, derivatives, electronic trading, hr, jobs, risk management, trading
Outsourcing Heads To the Outskirts
Outsourcing Heads To the OutskirtsGramIT brings tech-services jobs to rural areas-and transforms villagers' lives
Read the articletechnology, HR, jobs, derivatives, electronic trading, trading, risk managementLabels: careers, derivatives, electronic trading, hr, jobs, risk management, trading
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Financial advisers find efficiency in outsourcing
Financial advisers find efficiency in outsourcingGrowing numbers of financial advisers, often driven by a need for technology expertise, are turning to outsourcing "for everything from back-office services to client relations, and even asset allocation modeling." By shifting non-core work to outside firms, advisers can concentrate on financial plans and generating new business.
Read this articleLabels: derivatives, electronic trading, risk management, technology, trading
Legacy Application Modernization - Migrate or Stagnate
Legacy Application Modernization - Migrate or Stagnate
Has the mainframe seen it's end?
Technology is rapidly advancing. To stay competitive you must leverage
existing systems without giving up business agility.
Join Forrester Analyst, Phil Murphy, in this on demand webcast, as he
addresses the critical questions being asked by IT executives.
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Labels: derivatives, electronic trading, risk management, technology, trading
Wall Street adds jobs, boosts salaries in NYC, report shows
Wall Street adds jobs, boosts salaries in NYC, report shows
The securities industry added 9,500 jobs in New York City between 2003 and 2005, triple the rate of other employment figures, according to a report from New York state Comptroller Alan Hevesi. Average salaries on Wall Street have increased 28% since 2003 to reach $289,664.
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HR, jobs, derivatives, electronic trading, trading, risk management
Labels: careers, derivatives, electronic trading, hr, jobs, risk management, trading
