√CFTC专家称美国电子化交易风险规则需完善
ICE推出业界首个SONIA期权
洲际交易所(ICE)于12月7日推出SONIA期权，包括基于3月期SONIA指数期货的期权和中曲线期权。ICE表示，自2017年12月推出1月期SONIA期货和2018年6月推出3月期SONIA期货以来，目前累计成交量超过13万亿英镑，到2026年6月的未平仓合约达到创纪录的112723份。此次推出期权产品，ICE称其是首个上市与英国无风险利率挂钩的期权的交易所，为帮助市场实现对Libor的过渡和管理非线性风险提供了另一个工具。此外，ICE的伦敦子公司和基准管理机构ICE Benchmark Administration（IBA）已就其停止发布Libor相关产品开展咨询，包括对在2021年12月31日后立即停止公布所有英镑、欧元、瑞士法郎和日元的Libor相关产品，以及1周期和2月期美元Libor产品的计划的意见。
AFX计划推出前瞻型Ameribor利率
美国金融交易所(AFX)计划推出30天期和90天期的前瞻型Ameribor利率。Ameribor是美国银行间报价利率，是接替Libor的新利率SOFR的替代品。AFX表示，Ameribor旨在与美国约5000家区域型、中型和社区银行和储蓄机构保持一致，而SOFR则更适合大型银行。日前，AFX完成了EDF&Man Derivatives Products和印第安纳州曼西第一招商银行之间的首笔Ameribor利率互换交易。双方签订了1月期的Ameribor浮动利率互换，名义金额为2400万美元，该交易确认了Ameribor利率是全球价值约341万亿美元的互换市场的可行标准。此外，AFX还与花旗集团结成战略联盟，后者将加入AFX，利用Ameribor利率期货从事头寸对冲，并提供Ameribor利率互换市场的做市业务。
CFTC专家称美国电子化交易风险规则需完善
CFTC专员Rostin Benham表示，美国新的《电子化交易风险原则》规则没有解决金融市场中越来越多地使用自动化系统及其引发波动事件的可能性。新的电子化交易风险规则旨在解决指定合约市场(designated contract market,DCM)交易平台因电子化交易而遭遇市场中断或系统异常的潜在风险，涵盖了防止、检测和缓解市场中断的交易所规则的执行，以及交易所所有电子订单的交易前风险控制；还规定了交易所及时向CFTC通知市场中断的原则。Rostin表示，这些规则未能改善现有市场状况，只是为CFTC提供了一个“空白支票”以在未来以不同方式得以应用。在建立自动化交易的新规则时，他建议CFTC对“4.20”事件、广泛的Covid-19大流行事件，以及气候变化对自动化市场的潜在影响都进行更全面的审查。
ICE launches industry-first SONIA options
ICE launched on December 7 options on SONIA,including options and mid-curve options based on three-month SONIA Index Futures.In a statement,ICE said that since launching one-month SONIA futures in December 2017 and three-month SONIA futures in June 2018,cumulative volume is now equivalent to more than £13 trillion notional.Open interest,which is out to June 2026,stands at a record 112,723 contracts.ICE said it is the first venue to list options linked to the UK risk-free-rate,providing another tool to help the market transition from Libor and manage nonlinear risk.Besides,ICE's London subsidiary and Libor administrator,ICE Benchmark Administration（IBA）,has published a consultation on its intention to cease the publication of Libor settings,which invites feedback on its plan to cease publication of all sterling,euro,swiss franc and Japanese yen Libor settings,as well as the one-week and two-month US dollar Libor settings immediately on December 31,2021.
AFX plans forward looking term Ameribor rates
The American Financial Exchange (AFX) plans to introduce a 30-day and 90-day forward looking Ameribor rate.Ameribor,the American interbank offered rate,is an alternative to Libor replacement SOFR.AFX said that Ameribor is designed to align with the US’s approximately 5,000 regional,mid-sized and community banks and savings institutions,while SOFR is better suited to the larger banks.Few days ago, AFX completed its first Ameribor interest rate swap transaction between EDF & Man Derivatives Products and First Merchants Bank of Muncie,Indiana.The parties entered an one-month Ameribor floating rate swap with a notional amount of $24 million.The transaction confirmed the rate as a viable standard for swap markets valued globally at around $341 trillion.AFX has also formed a strategic alliance with Citigroup,in which the US investment bank will join AFX,engage in position hedging using Ameribor futures and provide market-making in Ameribor interest rate swaps.
CFTC expert admited the improvement of US electronic trading risk rules needed
New US rules on electronic trading risk principles do not address the growing use of automated systems in financial markets and their potential to trigger volatility events,according to Rostin Benham,one Commissioner of CFTC.The new rule seeks to address the potential risk of a designated contract market’s (DCM) trading platform experiencing a market disruption or system anomaly due to electronic trading.It covers the implementation of exchange rules to prevent,detect and mitigate market disruptions,as well as exchange-based pre-trade risk controls for all electronic orders.In a statement,Rostin said the rules fail to improve on the existing status quo while potentially providing a“blank check”for the commission to apply them differently in the future.In establishing new rules for automated trading,he suggested the Commission to have taken a more fulsome look at both the events of April 20,the Covid-19 pandemic more broadly,and the potential impacts of climate change on automated markets.
