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ELX Sets New Volume Record in US Treasury Futures with Over 100,000 Total Contracts Traded
January 5, 2011--ELX Futures, L.P. (ELX), a leading electronic futures exchange, announced today that it has established a new single-day total volume record for U.S. Treasury futures contracts with over 100K contracts traded on January 5, 2011.
The 30-year Treasury bond also set a new record with over 21K contracts traded. ELX’s end-of-day electronic market share exceeded 12% in the two-year Treasury futures contract and 5.5% in the 30-year Treasury bond. Overall market share was 4% at the end of the trading day.
These new records follow a solid 2010 year-end performance that showed a 14% jump in average daily volume (ADV) in U.S. Treasury futures contracts year-over-year and several record-breaking milestones in ELX’s Eurodollar futures contract, including a 38% increase in ADV per month since its launch in June 2010.
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Source: ELX Futures
CBOE To Apply VIX Methodology To Individual Equity Options
January 5, 2011--The Chicago Board Options Exchange (CBOE) today announced that for the first time it will apply its CBOE Volatility Index® (VIX®) methodology to options on individual stocks when it begins publishing volatility values on five highly active equities on Friday, January 7. CBOE will calculate values for Apple (ticker symbol: VXAPL), Amazon (ticker symbol: VXAZN), IBM (ticker symbol: VXIBM), Google (ticker symbol: VXGOG), and Goldman Sachs (ticker symbol:
VXGS).
The new benchmarks are designed to measure the expected volatility of the respective individual equities.
CBOE may expand the list of individual equities on which volatility values would be calculated in the future, depending on demand.
"As the leader in the volatility space, CBOE looks forward to expanding its suite of volatility benchmarks to individual equities, giving both personal and institutional investors the ability to track individual stock volatility for the first time," CBOE Chairman and CEO William Brodsky said. "CBOE has been extremely successful in developing highly-acclaimed volatility measures linked to stock indexes and to other asset classes including gold and oil. Applying our methodology to individual equity options is the next logical next step."
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Source: CBOE
Morgan Stanley-ETF Fund Flows Net Cash Flows Estimates
January 4, 2011-We estimate that net cash inflows into US-listed
ETFs were $42.8 billion during the fourth quarter of 2010. This report contains our estimates and
analysis of 4Q 2010 ETF flows for the US market. Once official data has been released, we will publish our more comprehensive flow analysis.
Net inflows into US-listed ETFs were $42.8 billion during the fourth quarter of 2010, which brings net inflows in 2010 to $115.1 billion. The $42.8 billion in net cash inflows was above the average quarterly rate
of $26.2 billion over the past six years. Total US-listed
ETF assets are now over $994 billion, which represents an increase of roughly 28% in 2010.
The largest net cash inflows went into ETFs tracking emerging market indices. This asset class had net cash inflows of $10.3 billion in 4Q 2010. ETFs tracking EM indices also had the highest net cash inflows for 2010 at $30.1 billion. Fixed income ETFs had the next highest inflows in 2010 at $28.7 billion, however, exhibited net outflows of $0.9 billion in 4Q10.
State Street Global Advisors (SSgA) had net cash inflows of $14.1 billion in 4Q 2010, the largest of any provider. For 2010, Vanguard had the highest net cash inflows at $40.1 billion, followed by BlackRock at $31.1 billion. As of 12/31/10, these three providers accounted for 79% of ETF assets.
There were 27 new ETFs launched in the US during 4Q 2010, bringing total issuance this year to 179. However, 49 ETFs liquidated, resulting in net new issuance of 130. As of December 31, 2010, there were 33 issuers with 967 ETFs listed in the US.
Roughly $9 billion in the total market cap of ETFs is from ETFs issued over the past year. The most successful of these (by total market cap) track platinum, palladium, and MLPs.
request report
Source: Morgan Stanley
Minutes Of The Federal Open Market Committee, December 14, 2010
January 4, 2010-The Federal Reserve Board and the Federal Open Market Committee on Tuesday
released the attached minutes of the Committee meeting held on December 14, 2010.
The minutes for each regularly scheduled meeting of the Committee ordinarily are
made available three weeks after the day of the policy decision and subsequently are published in
the Board's Annual Report.
The descriptions of economic and financial conditions contained in
these minutes are based solely on the information that was available to the Committee at the time
of the meeting.
view the Minutes of the Federal Open Market Committee-December 14, 2010
Source: FBR
CME Group Volume Averaged 12.2 Million Contracts per Day in 2010, up 19 Percent; Double-Digit ADV Growth for Fourth Quarter and December
Fourth-quarter volume averaged 12.0 million contracts per day, up 17 percent
December volume averaged 10.5 million contracts per day, up 15 percent
Fourth-quarter agricultural commodities average daily volume set record, up 42 percent
Fourth-quarter metals average daily volume set record, up 27 percent
January 4, 2011-CME Group, the world's leading and most diverse derivatives marketplace, today announced that 2010 volume averaged 12.2 million contracts per day, up 19 percent from 2009. Highlights for the year included average daily volume growth above 40 percent for foreign exchange (FX) and metals products, as well as double-digit growth in interest rates, energy and agricultural commodities.
Year-end open interest for 2010 increased 9 percent compared with year-end 2009. Fourth-quarter volume averaged 12.0 million contracts per day, up 17 percent from fourth-quarter 2009, and included record average daily volumes in agricultural commodities and metals and double-digit average daily volume growth in interest rates, FX, agricultural commodities and metals product lines.
December 2010 volume averaged 10.5 million contracts per day, up 15 percent from December 2009. Total volume for December was 232 million contracts, of which 83 percent was traded electronically.
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Source: CME Group
Open Meeting on Tenth Series of Proposed Rules under the Dodd-Frank Act
January 4, 2010--The Commodity Futures Trading Commission (CFTC) will hold a public meeting to consider the issuance of proposed rulemakings under the Dodd-Frank Wall Street Reform and Consumer Protection Act.
When:
Thursday, January 20, 2010, 9:30 AM (ET)
Where: CFTC’s Hearing Room, 1155 21st, NW, Washington DC
Topic:
Tenth Series of Proposed Rules under the Dodd-Frank Act.
Source: CFTC.gov
Open Meeting on Ninth Series of Proposed Rules under the Dodd-Frank Act
January 4, 2011-The Commodity Futures Trading Commission (CFTC) will hold a public meeting to consider the issuance of proposed rulemakings under the Dodd-Frank Wall Street Reform and Consumer Protection Act.
When:
Thursday, January 13, 2010, 9:30 AM (ET)
Where: CFTC’s Hearing Room, 1155 21st, NW, Washington DC
Topic: Ninth Series of Proposed Rules under the Dodd-Frank Act
This event is open to the public.
The Commission will consider proposed rulemakings on the following topics:
the issuance of a proposed rulemaking regarding position limits for derivatives;
the issuance of a proposed rulemaking regarding swap trading relationship documentation requirements for swap dealers and major swap participants; and
the adoption of a final rule that addresses requirements for derivatives clearing organizations, designated contract markets and swap execution facilities regarding the mitigation of conflicts of interest.
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Source: CFTC.gov
U.S. Corporate Credit Trends to Show Further Improvement with Modest Event Risks in 2011
January 4, 2011--Rating Outlook
U.S. corporate credit trends in 2011 should remain on the same trajectory as in 2010, with modest economic growth, improving operating profiles, and good liquidity offsetting a number of still-weak macroeconomic factors. As the risks of a double-dip recession recede, company-specific event risk will act as the primary catalyst for downgrades. Although the pendulum is clearly swinging back to equityholders as issuers and investors seek to boost returns in a slow-growth environment, global macro concerns remain tangible enough that most corporate issues remain cautious in their
outlooks on spending and investment.
Few companies see boom times ahead. Corporate concerns remain focused largely in two areas: the potential for global market dislocations, and the risks of regulatory/legislative actions at home.
The following credit themes are expected to be predominant in 2011.
Forecasted 2011 U.S. economic growth of 3.2% should support continued top-line and margin growth. Margin expansion will be more limited than the gains seen in 2010 due to higher raw material costs, cost-creep from the draconian cost cuts taken at the depth of the credit crisis, and a moderation of the inventoryrestocking gains achieved in early 2010.
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Source: Fitch Ratings
Van Eck Launches New CM Commodity Index Fund (CMCAX) 1/3/11
Constant Maturity (“CM”) fund seeks to track UBS Bloomberg Constant Maturity
Commodity Total Return Index and reduce the potential negative effects of contango
January 3, 2010--New York-based asset manager Van Eck Global, among the most respected names in commodity investing, has launched a new index-based, open-end mutual fund, the Van Eck CM Commodity Index Fund (tickers: CMCAX, COMIX, CMCYX). The Fund, a “second-generation” commodity product, is designed to reduce the potential negative effects of
contango that can significantly reduce the performance of commodity investments over time.
The passively managed Van Eck CM Commodity Index Fund seeks to track, before fees and expenses, the performance of UBS Bloomberg Constant Maturity Commodity Total Return Index (CMCI). The Index was designed to minimize investment exposure
to the front end of the futures curve and diversifies exposure across maturities. By diversifying exposure across multiple maturities,
the Index seeks to mitigate the impact of contango.
“Many traditional indices, and thus the funds that track them, suffer from negative roll yield during periods of contango. Van Eck has sought to minimize this problem in the construction of our new fund by using a benchmark that places less emphasis on the front end of the futures curve,“ said Kristen Capuano, Marketing Director at Van Eck.
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Source: Van Eck Global
Statement Regarding Position Limits and Interim Position Points
January 4, 2011--I have been reluctant to support the Commission’s issuance of a position limit proposal because what has been proposed so far has not met the congressionally mandated implementation schedule. I have been clear about this and have stated that since there is not support on the Commission to implement position limits on time, we should institute an interim position "points" system.
To be clear, speculative position points are not speculative position limits. Limits would be hard and fast levels. The Commission would mandate traders adhere to position limits. On the other hand, interim position points would serve first as a flag for us to obtain further data. Second, they would allow for a determination of the size of a trader’s net position. If a trader's net position is in excess of a speculative position point, we could use that information to make a determination as to what, if any, course of action to take, just as we do now with market surveillance information. We could do nothing, or we could urge the trader to reduce trading positions. In addition, the Commission has other authorities that could, following an affirmative vote by the Commission, be used to ensure that a trader does not exceed the position point—but that, again, would require additional action by the full Commission. Not less than monthly, staff will brief Commissioners on those traders who exceed position points.
Let me reiterate: position points are not position limits. Only with the implementation of an additional position limit rule as directed by Congress will actual limits be put in place. Since the time of our last public meeting on December 16th, however, I have been convinced that the interim position point system is, unfortunately, the best the agency can do at this time, given the lack of Commission support for moving forward on actual position limits now.
Therefore, while I cannot prejudge what or when the Commission will do regarding position limits, it is my intent to move the process forward with the Chairman's concurrence to adopt the interim position points approach despite what I consider flaws in the position limits proposal.
While I will now support publishing a position limit proposal for public comment, I will continue to make the case that we need to address excessive speculation in these markets immediately. We already have more speculative positions in the commodities markets than ever before. There are some who suggest that certain commodity prices are currently delinked from supply and demand fundamentals, and are being impacted by excessive speculation. The delayed implementation in the Commission proposal exacerbates this already troubling set of circumstances.
Source: CFTC.gov
