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Deutsche Boerse launches Intraday Volatility Forecast for Futures of DAX, EURO STOXX 50 and Euro-Bund
New analytic provides key input for trading algorithms and risk methodologies
October 5, 2015--Deutsche Börse Market Data+ Services is launching the new information product 'Intraday Volatility Forecast' on 23 November, The new analytic delivers ten-second, one-minute and ten-minute volatility forecasts for the futures of DAX, EURO STOXX 50 and Euro-Bund.
"Our forecasts can help traders assess the likelihood of price changes and therefore the risk involved in using certain automated strategies. The forecasts can also be used by screen traders in live trading and serve as input for pre-trade transaction cost analysis", said Georg Gross, Head of Information, Market Data + Services, Deutsche Börse. "With the Intraday Volatility Forecast, traders can profit from both our complete set of historical futures data as well as our data processing capabilities."
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Source: Deutsche Börse
Ukraine: Reforms Helped to Stabilize Economy, but Continued and Faster Reforms are Key
Ukraine's GDP to decline by 12 percent in 2015, but 1 percent growth is possible in 2016, projects World Bank
October 5, 2015--Despite a few encouraging signs of economic stabilization seen in July and August 2015, in its new Ukraine Macroeconomic Update the World Bank projects real GDP to fall by 12 percent this year, down from an earlier projected 7.5 percent decline.
The macroeconomic policy mix adopted by the authorities proved to be effective in mitigating a much more painful impact on the country's economy, but the on-going conflict in the east has made stabilization more difficult. Coupled with an unfavorable global economic environment, it has led to a much sharper contraction in the economy.
view the Ukraine Macroeconomic Update-October 2015
Source: World Bank
UK official holdings of international reserves: September 2015
October 5, 2015--This monthly release shows details of movements in the UK's official holdings of international reserves, or assets.
These consist of gold, foreign currency assets and International Monetary Fund assets.
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Source: HM Treasury
ESMA adds Index CDS to central clearing obligation
October 2, 2015--The European Securities and Markets Authority (ESMA) has today finalised and issued
a draft regulatory technical standard (RTS) for the central clearing of Credit Default Swaps (CDS), ESMA is required to develop RTS which implement the European Market Infrastructure Regulation (EMIR).
The draft RTS defines the types of CDS contracts which will have to be centrally cleared, the types of counterparties covered by the obligation and the dates by which
central clearing of CDS will become mandatory.
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Source: ESMA
Final Report Draft technical standards on the Clearing Obligation-Index Credit Derivatives
October 2, 2015--ESMA-Final Report
Draft technical standards on the Clearing Obligation-Credit Derivatives
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Source: ESMA
ESMA sees progress in reform of EU credit rating industry
October 2, 2015--The European Securities and Markets Authority (ESMA) has published two sets of Technical Advice (TS) and a Report on the regulation of credit rating agencies (CRAs) in the EU.
These papers provide an overview of competition and insight into the market dynamics of this industry. They also consider measures to provide stronger controls around credit ratings for structured finance instruments and to reduce reliance on credit ratings.
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Source: ESMA
Q&A-Implementation of the Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories (EMIR) (No.14)
October 1, 2015--The 14th update includes guidance on a procedure to be followed by counterparties and TRs in order to update counterparty's identifier in case where a counterparty obtains LEI or its LEI changes due to a merger or acquisition.
view the Q&A-Implementation of the Regulation (EU) No 648/2012 on OTC derivatives, central counterparties and trade repositories (EMIR) (No.14)
Source: ESMA
Switzerland's GAM shuts active ETF range
September 30, 2015--Swiss asset manager GAM Holding will close its range of actively managed exchange traded funds after admitting that the products are failing to gather assets.
The Zurich-based manager says that following a "thorough analysis" of the costs relating to the ETF format and the "limited prospects to increase their size in the foreseeable future" it will close its range of Julius Baer-branded Smart Equity funds
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Source: FT.com
Turnover at Deutsche Boerse's cash markets at 142.3 billion euros in September
September 30, 2015--Order book turnover on Xetra, Börse Frankfurt and Tradegate Exchange across all asset classes stood at €142.3 billion in September (September 2014: €100.9 billion).
Of the €142.3 billion, €133.9 billion were attributable to Xetra (September 2014: €93.4 billion).
The average daily turnover on Xetra stood at €6.1 billion in September (September 2014: €4.2 billion).
A turnover of €3.3 billion was attributable to Börse Frankfurt (September 2014: €3.8 billion). Order book turnover on Tradegate Exchange* totalled approximately €5.1 billion in September (September 2014: €3.7 billion).
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Source: Deutsche Börse
Eurex expands equity index derivatives segment
Mini DAX Futures contracts available from 28 October onwards
September 30, 2015--Eurex Exchange, the international derivatives market of Deutsche Börse Group, will launch a new equity index contract on 28 October 2015.
The Mini DAX Futures will be offered in addition to the existing DAX Futures (FDAX). Its key distinguishing feature is the significantly lower contract value, at only a fifth of the DAX Futures.
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Source: Eurex
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