Latest: BNP Paribas to fund Latam non-profit via structured note sale proceeds

The French bank’s new structured notes campaign will help The Forgotten International, an independent non-profit organisation developing programmes to alleviate poverty.

The donations raised from the campaign will specifically benefit one of the organisation’s projects at La Comunidad de Niños Sagrada Familia, a large school, orphanage, and medical clinic in Peru, housing over 1,000 children.

BNP Paribas will donate to The Forgotten International a portion of the bank’s proceeds from structured notes sales.

The donation will fund the cost of a child’s daily meals for children housed at the orphanage for every $10,000 of structured products notes purchased by the bank’s clients, said Nathalie Texier-Guillot (pictured), BNP Paribas head of equity sales US.

Macquarie partners with Protean to launch QIS index based on machine learning

Macquarie’s Commodities and Global Markets Group and UK fund manager, Protean Capital, have executed the first Quantitative Investment Strategy (QIS) index, that uses signals based on a reinforcement learning (RL) model to inform systematic FX volatility carry trading strategies.

Macquarie leveraged its technology platform, incorporating machine learning models, to develop a RL algorithm. The algorithm sizes the number of options to be sold as part of the FX volatility carry strategy.

Through these RL techniques, Macquarie was able to improve the strategy’s downside risk profile and risk adjusted returns, said Arun Assumall, head of Macquarie’s QIS team.

The UK manager has £81.5m (US$113.4m) AUM in its VT Protean Capital ELDeR Fund – a fund using derivatives, structured products issued by global financial institutions, transferable securities, financial derivative instruments, debt instruments and government bonds to provide consistent income in a wide range of market conditions.

Protean have been working with RL techniques to improve client portfolio returns for several years but had found it difficult to find a partner bank to provide concrete implementations, said Bob Champney, MD at Protean Capital.

‘Macquarie were the only bank that provided a skill set and platform which enabled Protean to fully benefit from these techniques,’ he said.

Bank of China International goes live with Horizon with Structured Products RFQ module

Electronic trading solutions and algorithmic technology, Horizon Software, has announced that the Bank of China International (BOCI) has chosen to go-live with its Structured Products RFQ Solution to maximise efficiency and deliver automated solutions to their clients.

The aim of this project is to provide BOCI with a system to receive, handle and monitor structured product RFQ requests that come in from clients via both email and messaging systems. As a result, the bank will be able to monitor the different RFQs, to price those RFQ requests using BOCI’s Numerix pricer, generate responses, and remove manual actions from sales traders.

By deploying the RFQ module, BOCI will be able to handle a larger volume of RFQs on vanilla ELN, accumulators, and range accrual notes and help to reduce the time required to respond to the individual needs of clients, according to Emmanuel Faure, head of sales Apac at Horizon Software.

Headquartered in Hong Kong with more than 50 subsidiaries around the world, BOCI provides clients with a full range of investment banking products and services in both mainland China and overseas capital markets, including share issuance, merger and acquisition, bond issuance, fixed income, private banking, private equity, global commodities, asset management, equity derivatives, and leveraged and structured financing.

Morningstar introduces EU climate indexes

Morningstar Indexes has rolled out the Morningstar EU Climate Indexes to help investors progress toward meeting EU Climate Transition Benchmarks (CTB) and Paris-Aligned Benchmarks (PAB) requirements.

This new climate index series from Morningstar allows investors to target companies within a broad market index that are on track for decarbonisation in line with Paris accord targets, while minimising tracking error against the parent index. The series combines Morningstar core benchmarks with carbon emissions data and Carbon Risk Ratings from Sustainalytics, a Morningstar company and leading global provider of ESG research, ratings and data.

This new climate index suite from Morningstar adds to its growing investment in market indexes and data to support global investors.

In September, Morningstar announced the acquisition of Moorgate Benchmarks, a Europe-based global provider of index design, calculation, and administration, appointing Moorgate Benchmarks CEO Tobias Sproehnle as head of Morningstar Indexes in Europe reporting to Ron Bundy, president of Morningstar Indexes.

Cboe and MSCI expand partnership

Cboe Global Markets and MSCI have signed a licensing agreement that extends and broadens their strategic relationship.

The agreement builds on the collaboration between the two companies and extends Cboe's rights to offer options trading on MSCI global indices through 2031. The agreement also expands Cboe's and MSCI's relationship, creating opportunities for the companies to work together to pursue other strategic initiatives across capital markets, and combine their complementary strengths and visions to help drive future innovation for market participants globally.

The two companies have collaborated to offer options trading on MSCI global indices for many years. Under the agreement, initially signed in 2014, Cboe will continue to have the rights in the US to develop and list index options on the following six MSCI indices: the MSCI EAFE Index (MXEA), MSCI Emerging Markets Index (MXEF), MSCI All Country World Index, MSCI USA Index, MSCI World Index and the MSCI ACWI ex-USA Index.

In addition, the agreement enables Cboe to offer index options, subject to regulatory approval, on four additional MSCI ESG indices: the MSCI Emerging Markets ESG Leaders Index, MSCI EAFE ESG Leaders Index, MSCI USA ESG Leaders Index and the MSCI World ESG Leaders Index.

Cboe is currently the only US exchange that offers options trading on MSCI indices. In addition to index options, Cboe offers a series of BuyWrite and PutWrite strategy benchmark indices based on the MSCI EAFE Index and MSCI Emerging Markets Index.

Derivative warrants linked to Evergande resume trading

Hong Kong-listed derivative warrants (DW) on China Evergrande Group have gained little traction as the underlying shares fell 12.5% to HK$2.58 upon the trading resumption on Thursday before a 4.3% pickup on Friday. There were 14 live DWs with a tenor of five months to one year as of Friday 22 October, translating to an outstanding quantity of 136 million – a small volume compared with other DWs on the exchange.

The call warrants, which are issued by a total of seven banks led by Credit Suisse and J.P. Morgan, were already out of money from 267.3% to 527.5% with an implied volatility of 199% to 500% on Friday. They have seen an average turnover below HK$50,000 since mid-July when the underlying shares dropped to a four-year low following news of an asset freeze. In addition, they posted a money outflow of HK$16,500 on Thursday and inflow of 31,200 on Friday.

As part of the listing rules, trading in the listed derivative warrants will be suspended for a similar period if trading in the underlying share is suspended on the Hong Kong Stock Exchange. There’s no over-the-counter trading available for the warrants, thus investors can only wait till the trading resumption subject to significant time decay risk, two senior sources told SRP. If the warrant expires during the halt period, it’ll be settled in cash automatically based on the five-day average closing price of the underlying stock prior to the last trading date.