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CBOE Futures Exchange Posts Weekly Record Trading Volume in VIX Futures for Third Time This Month
Volume Tops 210,000 Contracts Over Five Trading Days
November 22, 2010--The CBOE Futures Exchange, LLC (CFE) announced that the week of November 15 was the busiest week on record for the trading of futures on the CBOE Volatility Index (VIX).
The three most active weeks in CFE history for the trading of VIX futures have occurred during the first three weeks of November. The 210,995 VIX futures contracts that traded the week of November 15 now ranks as the highest, followed by the previous highs of 171,988 contracts for the week of November 1 and 170,196 contracts for the week of November 8.
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Source: CBOE
SAM And Dow Jones Indexes Launch DJSI World Enlarged Index
New Index Caters To Market Demand for a Broader Sustainability Investing Universe-Further Expansion of Pioneering Sustainability Index Family
Index Subset Allows for Exclusion of Certain Sectors
November 22, 2010--SAM, the investment boutique focused exclusively on sustainability investing, and Dow Jones Indexes, a leading global index provider, today announced the creation of the Dow Jones Sustainability World Enlarged Index (DJSI World Enlarged).
The new index will be launched on November 30, 2010, and is designed to accommodate increasing investor demand for a broader sustainability benchmark. As such, the DJSI World Enlarged tracks the performance of the most sustainable 20% of companies out of the largest 2,500 companies in the Dow Jones Global Total Stock Market Index.
In keeping with all Dow Jones Sustainability Indexes, the components for the DJSI World Enlarged are selected according to SAM’s systematic Corporate Sustainability Assessment, which analyzes company performance in terms of economic, environmental and social criteria. The new index has 513 components, is reviewed on an annual basis, and is weighted according to free float market capitalization. Additionally, there will be a subset index of 459 components that excludes companies from the following sectors: tobacco, alcohol, gambling, armament and firearms, and adult entertainment.
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Source: Dow Jones Indexes
CFTC Seeks Public Input for a Study Regarding the Oversight of Existing and Prospective Carbon Markets
November 19, 2010--The Commodity Futures Trading Commission (CFTC) has approved for publication in the Federal Register a Notice and Request for Comment that is expected to assist in the formulating of recommendations for the oversight of existing and prospective carbon markets.
Section 750 of the Dodd-Frank Wall Street Reform and Consumer Protection Act establishes an interagency working group headed by the CFTC to conduct a study on the oversight of existing and prospective carbon markets to ensure an efficient, secure and transparent carbon market, including oversight of spot markets and derivative markets.
The members of the interagency group are the Chairman of the CFTC, the Secretary of Agriculture, the Secretary of the Treasury, the Chairman of the Securities and Exchange Commission, the Administrator of the Environmental Protection Agency, the Chairman of the Federal Energy Regulatory Commission, the Chairman of the Federal Trade Commission and the Administrator of the Energy Information Administration, or their designees. In conducting the study, the Dodd-Frank Act directs the interagency group to consult, as appropriate, with representatives of exchanges, clearing houses, self-regulatory bodies, major carbon market participants, consumers and the general public.
Comments must be received on or before 21 days after publication in the Federal Register.
Source: CFTC.gov
Picard Joins Lyxor Asset Management, Further Strengthening Its U.S. Business
November 19, 2010---- Lyxor Asset Management Inc. ("Lyxor U.S.") has hired Robert Picard as U.S. Head of Managed Account Development. Mr. Picard is based in New York and reports to Lionel Erdely, CEO of Lyxor U.S.
Prior to joining Lyxor, Mr. Picard was Senior Advisor to Navigant Consulting's Financial Institutions Restructuring Solutions Team and active in advising emerging hedge funds. Earlier, he was Chief Investment Officer and Head of Hedge Fund Research at Optima Fund Management overseeing $6.5 Billion of hedge fund investments and a Managing Director at The Carlyle Group where he built and managed an institutional platform for alternative investments. Prior to joining Carlyle, Mr. Picard was Managing Director at RBC Capital Risk Advisors. His Group actively managed more than US $10 billion of Royal Bank's proprietary assets through arbitrage trading, hedge fund investments and structured private equity investments.
Source: Societe Generale
Opening Statement, Meeting of the Commodity Futures Trading Commission
Chairman Gary Gensler
November 19, 2010--Good morning. This meeting will come to order. This is a public meeting of the Commodity Futures Trading Commission to consider issuance of the following proposed rulemakings under the Dodd-Frank Wall Street Reform and Consumer Protection Act:
Protections of collateral of counterparties to uncleared swaps before and after commodity broker bankruptcies;
An advanced notice of proposed rulemaking regarding protections of collateral for uncleared swaps customers before and after commodity broker bankruptcies.
Requirements and duties of swap data repositories;
Real time public reporting requirements of swaps transactions; and
Recordkeeping and reporting requirements for swaps entities.
Before we hear from the staff, I’d like to thank Commissioners Mike Dunn, Jill Sommers, Bart Chilton and Scott O’Malia for all their thoughtful work to implement the Dodd-Frank Act. I’d also like to welcome members of the public, market participants and members of the media to today’s meeting, as well as welcome those listening to the meeting on the phone or watching the live webcast.
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Source: CFTC.gov
Statement on Support of the Dodd-Frank Rulemaking of Chairman Gary Gensler
November 19, 2010--Statements for the record on each rule:
Advanced Notice of Proposed Rulemaking on Protection of Cleared Swaps Customers before and after Commodity Broker Bankruptcies
I support the advance notice of proposed rulemaking concerning protection of collateral of customers entering into cleared swaps. There has been much public input into these matters, but I think it is appropriate to have a formal ANPR soliciting input on a number of options and questions on how best to protect customers’ collateral in the event of another customer’s default.
This is particularly important as we move forward to implement Congress’s mandate that for the first time standardized swaps must be cleared. I am hopeful that we will hear from a broad range of market participants, including clearinghouses, futures commission merchants, pension funds, asset managers and other end-users, on the costs, benefits and feasibility of various approaches to protecting customers’ money.
Protection of Collateral of Counterparties to Uncleared Swaps
I support the proposed rulemaking concerning protection of collateral of counterparties to uncleared swaps. The proposal includes important protections for end-users when entering into bilateral or customized swaps. The proposal follows the Congressional direction that end-users must have a choice to have any initial margin that they post with a swap dealer to be kept in a segregated account and with a third party custodian. The proposed rules would protect market participants while promoting the financial integrity of the marketplace. The proposal also includes necessary housekeeping details with regard to the Bankruptcy code.
Real Time Public Reporting
I support the proposed rulemaking to implement a real-time public reporting regime for swaps. The proposed rules are designed to fulfill Congress’s direction to bring public transparency to the entire swaps market, both standardized and customized swaps. This post-trade transparency will enhance price discovery and liquidity while ensuring anonymity and protection for large trades in appropriate cases. Per Congress’s direction, the proposal requires real time reporting for swap transaction and pricing data to occur as soon as technologically practicable for trades other than trades of large notional size or block trades. Congress mandated that these trades be reported without delay regardless of whether they are standardized or customized.
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Source: CFTC.gov
Latin America’s tumble puts decoupling thesis to test
November 18, 2010--Is it time to revisit the notion that emerging markets have decoupled? Maybe, at least in Latin America.
The old investment rubric used to be that when the US caught a cold, Latin America came down with pneumonia.
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Source: FT.com
Morgan Stanley Exchange-Traded Funds: 2010 Year-End CEF and ETF Tax Strategies
November 19, 2010--Closed-End Fund (CEF) and Exchange-Traded Fund
(ETF) prices have generally rallied in 2010, but there are still a number of funds trading below multi-year
highs, creating opportunities to implement tax swap strategies. We see opportunities for tax swaps within
the CEF and ETF markets and believe investors with unrealized losses in their portfolios could benefit from
tax-management strategies.
Tax swaps can be structured to comply with the wash sale rule. A tax swap involving the sale of one
fund and the simultaneous purchase of another with similar objectives may create losses while maintaining
market exposure and may not be subject to wash sale rules. These losses can be used to offset realized or future gains from other holdings.
Morgan Stanley & Co.’s strategists believe that QE2 will result in continued strong performance in risk assets and commodities and in the US Dollar weakening further. In addition, MS & Co.’s economists continue to expect growth from abroad, particularly within emerging markets, to result in a sustainable US economic recovery.
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Source: ETF Research-Morgan Stanley
BNY Mellon Analytical Insights - Third Quarter 2010 Edition
November 19, 2010--Market Review
The pace of US GDP growth continued to slow in the third quarter, as the US economy grew at an annualized rate of just 1.7%, according to the most recent revision. The slowdown in growth prompted the Federal Reserve to announce a second round of quantitative easing.
Financial Markets Review
For the eighth consecutive quarter, the Federal Reserve left the Fed Funds rate at the target of 0-0.25%. The treasury yield curve continued to flatten as it had in the second quarter. Treasuries at all maturities experienced decreasing yields although the drop was more pronounced at mid-to long maturities. The declining dollar led to strong positive returns for commodities. For the quarter, the S&P Goldman Sachs Commodity Index returned 8.3%. Real Estate, after another strong quarter, lead all major asset classes in the year-to-date and 1-year time periods, with returns of 19.1% and 30.3%, respectively. As the quarter drew to a close, investors in international equities had to contend with rising pressure on US lawmakers to encourage China to re-value its currency.
As of September 30, 2010, all major asset classes had positive returns for the quarter, year-to-date and 1-year time periods. Aided by the falling dollar, investors in international equities achieved the greatest quarterly returns. Equity investors in all regions experienced strong, positive third quarter returns.
Domestic Equity Review
Off-setting the losses across all styles in the prior quarter, the third quarter provided gains for US equity investors in growth, value, large and small strategies. Additionally, positive returns were achieved by investors in all US equity sectors. Volatility, as defined by the standard deviation of the Russell 3000 Index returns, increased slightly to 18.9% for the year ended September 2009. Confronted by the possibility of continued quantitative easing by the Federal Reserve, the equity markets rallied into the quarter’s end.
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Source: BNY Mellon
CFTC.gov Commitments of Traders Reports Update
November 19, 2010--The CFTC.gov Commitments of Traders Reports have benn updated for the week of November 16, 2010 are now available.
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Source: CFTC.gov
