Derivatives
BMV Proposal on changes in the calculation of the Weighted Average Price when it coincides with futures expiration
MexDer and the Derivatives Traders Committee of AMIB asked for an expansion of the period in which the Weighted Average Price (known as the PPP) is calculated, from 20 to 60 minutes, when it coincides with futures expirations (four times a year). In response, the Equity Market Committee performed a study on the possible impact on market-on-close trades and on the market's overall functioning. Industry representatives agreed to extend calculation of the PPP to 30 minutes on these dates, and to re-consider a longer period of time if necessary in the future, following analysis and justification.
Credit derivatives
Committee representatives have been working with the authorities to have the regulations include the corresponding authorization for brokerage firms, mutual fund managers, retirement funds and development banks, to invest in credit derivatives. The following activities have been carried out:
- Comparative analysis of brokerage firm and bank capitalization levels, in order to demonstrate that the applicable regulations are equivalent, and can sustain this type of transaction.
- Meetings with the CNBV's Vice Present for Market Supervision.
- Inquiries with the Mexican Bankers' Association (ABM) regarding:
- > Lack of a standard-form contract for this type of transaction;
- > Obstacles to incorporating those transactions into the Derivatives Contract developed jointly by the ABM and AMIB.
- > Current use of the ISDA contract, which has New York jurisdiction and includes specific definitions (copyright protected) for Credit Derivatives, until there is enough activity to justify that is the same time symmetrical (mirror trades) under the ISDA definition.
Finally, AMIB plans to take up the matter again with Banco de Mexico to encourage authorization for brokerage firms, mutual fund managers, retirement funds and development banks to invest in those instruments.
Clearinghouse for OTC Derivatives
In 2007, Industry representatives explored the possibility of creating a clearinghouse for over-the-counter (OTC) derivatives products. A work group created for this project researched topics such as:
the carry cost of OTC instruments, setting attractive commissions, tax matters (withholding, for example), and how European and American OTC clearinghouses function.
Investment of excess margins in mutual funds
A number of measures were taken with MexDer and the Clearinghouse (Asigna) to allow excess margins administered by Global Account Traders to be invested in debt funds, in addition to the instruments permitted by MexDer's Internal Regulations.
Trading in Interest Rate Swap Futures
We also obtained authorization for brokerage firms to trade interest rate swap futures referenced to the TIIE.
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