Friday, August 19, 2011

News: Eye spy...HK, LSE, Interoperability, CCP & OTC....C2S results

I guess like everyone else this has been a hectic week:

HK eyes China

Oslo eyes LSE

EMCF eyes interoperability. My heartfelt sentiment remains on the ‘fairness’ of interoperability. That fairness being defined by the reciprocal access to trade feeds.

Markit eyes LCH...but they only want to peck at the OTC aye!

Every CCP eyes OTC

Wells Fargo eyes Citadel

NAB eyes Aviva

DTCC...reducing counterparty risk for it’s members by increasing margins?...that’s like reporting the US downgrades its debt to encourage citizens to invest off shore.

Likewise conflicting messages about volatility and volumes in the dark.

Aust eyes netting (important).

That’s enough eye spy for me.

More I better go and check some Nigerian hasn’t sold my pool. (swimming – not lit or dark)

WooHoo, City 2 Surf results available here:

I’m happy to have come in under 100 minutes at 95:37, a shade faster than last year.

Also had enough energy for many beers on Bondi beach after the race (about one beer per km which I think is fair).

Could have been sunnier on the beach, but hey, just great to be part of the worlds largest fun run.

Whenever I’m in Sydney I’ve run the City 2 Surf.

2000 1:26:14 This taught me you need to train.

2001 1:24.25 This one was ‘fun’

2009 1:42.10 I forgot to train.

2010 1:37.27 This one was fun too.

2011 1:35.37 This one was fun and the start of the 1 beer / km rule (post race!)


Well, Wales rolled England. Well done boy-o’s! And Canada rolled USA (does that matter?)

...and those wounded Wallabies...they scraped a win in too.

This week, Fiji, Wales, France, Scotland, Japan...and of course the AB’s all winners.

One day, I’ll get to sit back and watch all these games.

I’ll be doing some lawn bowls this w/end.

(Hopefully bare foot and with beers to hand!)

Have a great weekend all,


Platforms Asia


HKEx all eyes to China

The Board of Directors of Hong Kong Exchanges and Clearing Limited (HKEx) is pleased to announce that HKEx has agreed in principle to enter into detailed discussions with the Shanghai Stock Exchange and the Shenzhen Stock Exchange with a view to establish a joint venture company to be incorporated in Hong Kong.

HKEx enters joint-venture talks with Chinese exchanges
Hong Kong Exchanges and Clearing wants to tap into the yuan's liberalisation and the opening of Chinese financial markets through joint ventures with the country's stock exchanges. HKEx said it is in talks with the Shanghai and Shenzhen stock exchanges to create indices and derivatives products. Bloomberg (18 Aug.)

HSBC confirms HK dark pool refocus

Dark pools are currently the only form of alternative trading venue allowed in Hong Kong as HKEx’s monopoly is currently enshrined in law by the Securities and Futures Ordinance. Recently, the bourse was excluded from a new Competition Bill. ( Brokers that already operate dark pools in Hong Kong include Nomura, Deutsche Bank and UBS.

BM&F News

Oslo Børs to adopt LSE trading platform

Norwegian exchange operator Oslo Børs has confirmed it will be moving its equity and fixed income trading onto Millennium Exchange, the trading platform owned by the London Stock Exchange (LSE).

MarketAxess May Be Up For Sale

The operator of an electronic platform for trading in corporate bonds and credit default swaps has received expressions of interest, the Wall Street Journal reports.

The firm was founded by Bear Stearns, Chase Manhattan and J.P. Morgan. ABN Amro Bank NV, Credit Suisse Group AG, Deutsche Bank AG, Lehman Brothers and UBS AG later made equity investments in MarketAxess.

Swaps volumes on the increase……

IRS & CDS number of trades and volume traded on both Bloomberg & Tradeweb have drastically improved. See the attached chart from his report.


EMCF, Chi-X Join Push for Interoperability in European Clearing

Five of the world’s largest investment banks have thrown their weight behind EuroCCP, the pan-European central clearinghouse owned by Depository Trust & Clearing Corp., as their preferred clearinghouse for European trades on alternative trading platforms.

Four of the five -- Bank of America Merrill Lynch, Credit Suisse, Morgan Stanley and Nomura have picked EuroCCP

Chi-X offers four-way clearing as EMCF relents on interoperability

... the absence of any likelihood that Europe’s major exchanges would provide the necessary trade feed access to support full post-trade choice...

LCH.Clearnet Talking Only to Markit, Report Says

The talks apparently do not include Nasdaq OMX Group, which in June entered the takeover picture, seeking a minority stake.

CME, ICE Will Proceed With Swaps Data Repositories

The CME Group and Intercontinental Exchange both plan to launch their own repositories for transaction data being generated by new derivatives trading exchanges, the trade information site reported.

DTCC Unit Making Extra Margin Calls

With stock markets showing volatility, Depository Trust & Clearing Corp. Tuesday said its equities clearinghouse is reducing counterparty risk for its members through extra intra-day margin calls.

Close-out netting contracts: Government consults on proposed reforms

Inconsistencies between various Acts’ treatment of close-out netting have prompted the Australian Government to propose changes. But will these reforms introduce other concerns?

Treasury consultation paper available here: (BTW, consultation closed-out on 25th July)


Global Market Volatility: What’s the Surprise?

Exchanges Should Clip Excess Message Traffic, Traders Groups Say

The two traders groups said, in their response to the IOSCO report that a good example of “a creative,nonprescriptive, and effective approach to curtailing superfluous bandwidth usage” is IntercontinentalExchange’s “Weighted Volume Ratio” (“WVR”) messaging rule.

ICE’s WVR accomplishes all of this by defining a ratio between the number of messages (new orders, cancels, modifies, etc.) an electronic trading system (“ETS”) sends and the total volume of orders the ETS executes. If an ETS exceeds the posted WVR limits, the ETS’ owner is fined. If this behavior continues, the ETS’ owner faces possible suspension of direct market access privileges.

The truly creative part of this solution is that ICE assigns a weighting scale based on the message’s price level relative to the current best bid and offer. If the order in question has a price equal to the best bid or offer, the message does not count towards the WVR.

If it is one tick away from the best bid or offer, the message has a weighting multiplier of 0.5 for orders on outright futures and 0.25 for spreads. This multiplier continues to increase until the order in question is more than five ticks away from the best bid or offer. At that point, the message has a weighting multiplier of 3.0 for outright futures and 2.0 for spreads.

By imposing the WVR, ICE has simultaneously incentivized firms to submit orders that are likely to be filled while penalizing firms that submit orders that are unlikely to be filled.’’


POSIT's Volume Jumps 74% in August

Trading on the ITG dark pool, which handles big blocks for institutions, reached 144 million shares a day as stock markets experienced huge surges up and down, in prices.

Uncertain markets lower dark trading volumes

In the week ended 12 August, trading turnover on Europe’s dark MTFs – including those operated by Chi-X Europe, Turquoise and brokers UBS, Goldman Sachs and Nomura – averaged €1.6 billion per day, representing 2.29% of European stock trading

Liquidnet also reported rising volumes in Asia-Pacific, with available liquidity averaging US$11 billion per day between 1-11 August inclusive, compared to a year-to-date average of US$9 billion. Liquidnet also reported that daily volumes in Australia had tripled compared to a 50% increase in trading on the Australian Securities Exchange.

Citigroup Begins Clearing Derivatives on NYPC

The first trades were cleared for BlackRock, the large New York asset manager. New York Portfolio Clearing is a joint venture of NYSE Euronext and The Depository Trust and Clearing Corporation.

NYPC this week announced that, besides Citigroup Global Markets, that ABN Amro Clearing Chicago and Merrill, Lynch, Pierce, Fenner & Smith became clearing members.

Wells Fargo to Pick Up Citadel’s Investment Banking Operation

The Chicago-based hedge fund recently decided to unload after concluding that its plan to convert the company into an investment bank was not working out.

National Australia Bank buys Aviva Investors; wins two custody contracts
NabInvest, the direct asset management business of National Australia Bank Ltd., says it has acquired Aviva Investors Australia Ltd., which has about $5.5 billion in funds invested in Australian stocks.


Visa no longer world's largest card scheme
China UnionPay has surpassed Visa to become the world's largest card scheme.

Warren Buffet on Buying when everyone else is selling. “We’ve put a lot of money to work during the chaos of the last two years. It’s been an ideal period for investors: A climate of fear is their best friend … Big opportunities come infrequently. When it’s raining gold, reach for a bucket, not a thimble.”

No, not more Nigerian scammers selling Perth houses they didn’t own. Now it's landlords having the pool sold by their tenants. And they also took the pool fence.

“A month ago it was decided the prawn should be demolished. And when this leading retiree destination decides that something is passe, you can believe its time has truly passed,” Drewe suggested.

...and why Australia continues to be culturally (and intellectually) restrained...

But, hey, we’re great at sport! WooHoo!

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