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  • Eurex Exchange: Equity Index Highlights - August 2020 Edition

    Date 13/08/2020

    Market briefing 

    U.S. equities continued in an upwards trading channel for July. By contrast, European index benchmarks were slightly lower by the end of the month. Despite the support seen across equity markets, a red flag appears against this benign market backdrop, as gold pushes to new highs above the psychological $2,000 level. Gold, often perceived as a safe haven during turbulent times, also comes under the spotlight as an inflation hedge through its allure as a preserver of wealth. Gold is a non-yielding asset, no dividends, nor coupons, and if held via an ETF wrapper, there is a total expense ratio to consider. This explains the activity we see in our ETF option segment, which saw good volumes due to the rolling of iShares Physical Gold options from August to September expiry. Clients look to harvest the volatility risk premia through the sale of options to recoup some of these holding costs.  [...]

  • EBA: Consultation Paper On Guidelines On Criteria For The Use Of Data Inputs For The ES Risk Measure Under The IMA (EBA-CP-2020-21)

    Date 13/08/2020

    The European Banking Authority (EBA) launched today a consultation on draft Guidelines on criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc under the Internal Model Approach (IMA) for market risk. These Guidelines are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. The consultation runs until 12 November 2020.


  • Eurex Exchange: Fixed Bncome Highlights – August 2020 Edition

    Date 13/08/2020

    Market briefing

    Overall, July has been somewhat of a quiet month across the board. However, there have been a few bright spots within the product portfolio, namely Schatz futures and options (F&O), where we have seen continued volume growth of +14.1% and 128.5%, respectively. This has largely been underpinned from volumes in the top left of the OTC volatility grid, which has seen renewed interest in the swaptions space. A theme that has been evident in OTC markets has been the distortion in volatility flies and firming of 3y2y as fast money unwound short caps/floor positions. Options on Italian BTP's were well supported with a 26.7% increase in volumes and weekly options on bunds saw a 29.8% increase in volumes. Volatility in bunds remained under pressure and traded in a tight range for most of July, between 4.2% - 5.8%.

  • EBA Consults On Guidelines On Criteria For The Use Of Data Inputs In The Expected Shortfall Risk Measure Under The Internal Model Approach

    Date 13/08/2020

    The European Banking Authority (EBA) launched today a consultation on draft Guidelines on criteria for the use of data inputs in the risk-measurement model referred to in Article 325bc under the Internal Model Approach (IMA) for market risk. These Guidelines are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. The consultation runs until 12 November 2020. 

  • Moscow Exchange: Risk Parameters Change On Securities Market

    Date 13/08/2020

    CCP NCC cancels ban on short selling for AFLT shares on Securities market starting from August 18, 2020:

    TickerDescriptionCurrent ban attribute
    on short selling    		New ban attribute
    on short selling
    AFLT Aeroflot Yes No

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