Americas ETP News
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SEC probes operators’ use of multiple markets
March 13, 2012--According to people familiar with the probe, SEC officials are focusing on whether operators use multiple exchanges
to appease customers which provide large order flows. This would allow them to ...
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Source: FT.com
Federal Reserve announces summary results of latest round of bank stress tests
March 13, 2012--The Federal Reserve on Tuesday announced summary results of the latest round of bank stress tests, which show that the majority of the largest U.S. banks would continue to meet supervisory expectations for capital adequacy despite large projected losses in an extremely adverse hypothetical economic scenario.
The Federal Reserve in the Comprehensive Capital Analysis and Review (CCAR) evaluates the capital planning processes and capital adequacy of the largest bank holding companies. This exercise includes a supervisory stress test to evaluate whether firms would have sufficient capital in times of severe economic and financial stress to continue to lend to households and businesses.
Reflecting the severity of the stress scenario--which includes a peak unemployment rate of 13 percent, a 50 percent drop in equity prices, and a 21 percent decline in housing prices--losses at the 19 bank holding companies are estimated to total $534 billion during the nine quarters of the hypothetical stress scenario. The aggregate tier 1 common capital ratio, which compares high-quality capital to risk-weighted assets, falls from 10.1 percent in the third quarter of 2011 to 6.3 percent in the fourth quarter of 2013 in the hypothetical stress scenario. That number incorporates the firms' proposals for planned capital actions such as dividends, share buybacks, and share issuance.
view Methodology and Results for Stress Scenario Projections
view Comparison of revisions
Source: FBR
Federal Reserve issues FOMC statement
March 13, 2012--Information received since the Federal Open Market Committee met in January suggests that the economy has been expanding moderately. Labor market conditions have improved further; the unemployment rate has declined notably in recent months but remains elevated.
Household spending and business fixed investment have continued to advance. The housing sector remains depressed. Inflation has been subdued in recent months, although prices of crude oil and gasoline have increased lately. Longer-term inflation expectations have remained stable.
Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee expects moderate economic growth over coming quarters and consequently anticipates that the unemployment rate will decline gradually toward levels that the Committee judges to be consistent with its dual mandate. Strains in global financial markets have eased, though they continue to pose significant downside risks to the economic outlook. The recent increase in oil and gasoline prices will push up inflation temporarily, but the Committee anticipates that subsequently inflation will run at or below the rate that it judges most consistent with its dual mandate.
To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee expects to maintain a highly accommodative stance for monetary policy. In particular, the Committee decided today to keep the target range for the federal funds rate at 0 to 1/4 percent and currently anticipates that economic conditions--including low rates of resource utilization and a subdued outlook for inflation over the medium run--are likely to warrant exceptionally low levels for the federal funds rate at least through late 2014.
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Source: FBR
DB Global Equity Research:US ETF Market Weekly Review : Mixed ETP flows suggest investors are standing by
March 12, 2012--Net Cash Flows Review
Last week, equity markets were mixed. The US (S&P 500) ended up by 0.09%. Other developed and emerging markets outside the US were down; the MSCI EAFE (in USD) dropped by 1.01%, while the MSCI EM (in USD) retreated by 1.82% during the week. Moving on to other asset classes, the 10Y Treasury yield advanced by 5bps last week, while the DB Liquid Commodity Index decreased by 0.14%.
Other sectors were mixed. The Agriculture sector (DB Diversified Agriculture Index), and Silver prices fell by 2.78%, and 1.42%, respectively; while WTI Crude Oil, and Gold prices were up by 0.66%, and 0.06%, respectively. Last but not least, Volatility (VIX) dropped by 1.04% during the same period.
The total US ETP flows from all products registered $1.8bn of inflows during last week vs $1.2bn of inflows the previous week, setting the YTD weekly flows average at +$3.9bn (+$38.8bn YTD in total cash flows).
ETP flows favored fixed income over equity for second week on a row. Equity, Fixed Income, and Commodity ETPs experienced flows of +$0.8bn, +$1.1bn, and -$0.1bn last week vs. -$1.1bn, +$0.9bn, and +$1.4bn the previous week, respectively.
Within Equity ETPs, Small Cap products experienced the largest inflows (+$1.6bn), followed by Dividend ETPs (+$0.4bn); while US Sectors vehicles experienced the largest outflows (-$1.4bn). Within Fixed Income ETPs all segments experienced inflows with Sovereign products recording the largest one (+$0.4bn), and Corporates the smallest one (almost flat). Within Commodity ETPs, broad benchmarked products recorded the largest inflows (+$0.1bn), while Precious Metals ETPs experienced the largest outflows (-$0.1bn).
Top 3 ETPs by inflows:
IWM (+$1.6bn), TLT (+$0.5bn), EWJ (+$0.4bn)
Top 3 ETPs by outflows: SPY (-$0.9bn), XLF (-$0.4bn), XLI (-$0.3bn)
New Launch Calendar: New Active ETF on EM corporate debt
There was one new ETF listed on NASDAQ during the previous week. The new fund will provide access to an active fixed income strategy focusing on Emerging Markets corporate debt.
Turnover Review:
turnover drops as things remain “under control”
Total weekly turnover dropped by 8.1% to $297bn vs. $324bn in the previous week. The largest decrease was on Commodity ETP turnover, which declined by $12.5bn or 38.7% to $20bn. Equity and Fixed Income ETP turnover followed with declines of 4.2% (-$11.4bn) and 14.4% (-$2.4bn), respectively.
Assets Under Management (AUM) Review: almost intact
Consistent with the market, total ETP assets barely moved. In absence of strong inflows, the total ETP assets retreated by $3.1bn or 0.3% down from the previous week’s AUM level. With $1.18 trillion in assets ETPs remain in the two-digit growth area with a 12.3% growth YTD. Assets for equity, fixed income and commodity ETPs moved -$1.9bn, +$0.5bn, and -$1.7bn during last week, respectively.
to request report
Source: Deutsche Bank - Global Equity Research
CFTC's Division of Swap Dealer and Intermediary Oversight Provides Annual Report Guidance to Commodity Pool Operators
March 12, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight has issued its annual guidance letter to registered commodity pool operators (CPOs).
The letter is intended to assist CPOs and their public accountants in complying with the Commission’s regulations on the preparation and filing of commodity pool financial reports, and to provide information regarding recent rule amendments.
view the 2011 Annual Report Guidance Letter to Commodity Pool Operators
Source: CFTC.gov
CME Group CEO Donohue to leave at end of year
March 12, 2012--CME Group Inc., owner of the Chicago Mercantile Exchange and the Chicago Board of Trade, said Monday that Chief Executive Officer Craig Donohue will step down when his contract expires at yearend.
Donohue, 50, has been CEO since 2004 and has led the company through robust growth and transformative changes in the market, including a swift march to electronic trading and the Merc’s 2007 acquisition of the Board of Trade.
CME said his duties will be shared by Executive Chairman Terrence Duffy and President Phupinder Gill, who will get the CEO title. CME said its board has extended both men’s employment contracts.
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Source: Sun Times
Tibra Joins ISE as CMM
March 12, 2012--The International Securities Exchange (ISE) announced that Tibra Trading America LLC (Tibra) has become a Competitive Market Maker (CMM) on ISE's options exchange.
Tibra is the most recent market maker to join ISE under its new CMM trading rights program, which went into effect in September 2011. Since the launch of the new CMM program, four new market makers have joined the exchange.
“We are very pleased to welcome Tibra as ISE’s newest Competitive Market Maker,” said Gary Katz, President and Chief Executive Officer of ISE. “In today’s market environment, the role of dedicated liquidity providers is more important than ever, and Tibra will join our existing market makers in providing liquid, competitive markets at ISE.”
Sam Dawson, Business Development Manager of Tibra, said, “ISE’s flexible market making program and robust technology platform offered us a compelling reason to join ISE’s market making community. We are excited to begin quoting on the ISE and to grow our business as a result.”
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Siource: International Securities Exchange (ISE)
New Study Finds That Certain Options- and Futures-Based Benchmark Indexes Could Help Manage Tail Risk of Traditional Indexes
March 12, 2012--The merits of using options-based and futures-based strategy benchmark indexes to hedge and manage tail risk is the subject of a new study-"Key Tools for Hedging and Risk Management"-released today by investment-advisory firm Asset Consulting Group (ACG).
The study, the second of two ACG papers commissioned by Chicago Board Options Exchange (CBOE), compares the performance of "traditional" indexes with the performance of five strategy benchmark indexes that use index options or VIX® futures: the CBOE S&P 500 95-110 Collar Index (CLL), CBOE VIX Tail Hedge Index (VXTH), S&P 500 VIX Mid-term Futures Index (VXMT), S&P 500 Dynamic VIX Futures Index (DyVX), and S&P 500 VIX Futures Tail Risk Index - Short Term (VTRsk).
view the Key Tools for Hedging and Risk Management study
Source: CBOE
Brazil takes more steps to curb currency
March 12, 2012--Brazil extended the reach of a financial tax on foreign debt on Monday in yet another attempt to slow an avalanche of dollar inflows that has driven up the value of its currency, threatening a fragile economic recovery.
President Dilma Rousseff extended the scope of a 6% tax known as the IOF on foreign borrowing, applying it to debt maturing in up to five years, according to a decree in the government’s official daily gazette on Monday.
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Source: FIN24
Warning on high-yield ETF returns
March 11, 2012--Investors are pouring money into high-yield bond funds as they move to embrace higher risk against a backdrop of desultory yields on investment grade corporate and sovereign bonds.
But some industry figures have warned investors that returns are likely to be significantly lower than those posted by the mainstream high-yield bond indices due to high trading costs and inefficiencies in the market.
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Source: FT.com
