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ISDA-Unique Swap Identifier (USI): An Overview Document
June 7, 2012--Introduction
Various international regulators and supervisory bodies1 have called for the use of three unique identifiers in relation to derivatives data reporting:
Unique Swap Identifier (USI) or Unique Trade Identifier (UTI)
Legal Entity Identifier (LEI) or Unique Counterparty Identifier (UCI)
Unique Product Identifier (UPI)
This paper focuses on one of those identifiers: how to uniquely identify a trade or contract. The CFTC is furthest along in specifying the requirements for this trade identifier. We believe and hope that the majority of the principles can be leveraged and applied internationally and it is indeed the desire from the industry to come up with a global accepted solution for unique trade identifiers. For the remainder of this document though we will focus on the CFTC requirements and hence use the CFTC term of USI.
Federal Reserve Board Approves Final Rule To Implement Changes To Market Risk Capital Rule
June 7, 2012--The Federal Reserve Board on Thursday approved a final rule to implement changes to the market risk capital rule, which requires banking organizations with significant trading activities to adjust their capital requirements to better account for the market risks of those activities.
The final rule implements certain revisions made by the Basel Committee on Banking Supervision to its market risk framework between 2005 and 2010. The final rule will better capture positions for which the market risk capital rule is appropriate, reduce procyclicality in market risk capital requirements, enhance sensitivity to risks that are not adequately captured by the current regulatory methodologies, and increase transparency through enhanced disclosures.
view the Risk-Based Capital Guidelines: Market Risk
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices - A Deletion From The S&P/TSX Venture Composite Index
June 7, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The Toronto Stock Exchange announced today in the Daily Bulletin that the shares of Yellowhead Mining Inc. (TSXVN:YMI) will graduate to trade on TSX at the open of trading on Monday, June 11, 2012.
The ticker symbol will remain "YMI" and the CUSIP number will remain 98563A 10 0. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Friday, June 8, 2012.
Bond ETFs smash sales record in May
Investors desperate to find safe havens for their cash put a record $11bn into fixed income exchange-traded funds in May, of which half, totalling $5.6bn, flowed into sovereign bonds.
June 7, 2012--According to a survey by asset manager BlackRock, bond ETF inflows smashed a previous monthly record of $9.1bn set in January 2012.
Sales of ETFs across every sector saw gains of $19.2bn in May.
In the year-to-date, bond ETF inflows hit $36.5bn, a 150% increase on the same period a year ago. In the same period the entire ETF sector saw $85.3bn of inflows, an 18% increase.
CFTC prepares recommendations for swap-clearing requirements
June 7, 2012--Interest rate and credit index swaps will be the first derivatives to face clearing requirements this year under the Dodd-Frank Act, said U.S. Commodity Futures Trading Commission chairman Gary Gensler.
The agency’s staff is preparing recommendations to require clearing of fixed-to-floating interest rate swaps as well as indexes of North American investment grade and high-yield credit swaps, Gensler said in a speech prepared for the Sandler O’Neill Global Exchange and Brokerage Conference in New York.
First one a hit so Pimco rolls out three more bond ETFs
Launch comes on the heels of success of exchanged-traded version of flagship fund
June 7, 2012--Pacific Investment Management Co. LLC is following up the success of the Pimco Total Return ETF (BOND) with three more actively managed exchange-traded funds that mimic existing bond funds.
The Newport Beach, Calf.-based firm has filed with the Securities and Exchange Commission to launch ETF versions of its $23.8 billion Pimco Real Return Fund (PRTNX), $21.3 billion Pimco Low-Duration Fund (PTLAX) and the $5.7 billion Pimco Diversified Income Fund Ticker: (PDVAX).
Pimco files with the SEC-3 ETFs
June 7, 2012--Pimco has filed a post-effective amendment, registration statement with the SEC. This post-effective amendment No. 46 to the Registration Statement of PIMCO ETF Trust on Form N-1A is being filed pursuant to Rule 485(a) to register the PIMCO Diversified Income Exchange-Traded Fund,
PIMCO Low Duration Exchange-Traded Fund and PIMCO Real Return Exchange-Traded Fund, each a new series of the Registrant.
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
June 6, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The Toronto Stock Exchange announced yesterday in the Daily Bulletin that the shares of BTB REIT
(TSXVN:BTB.UN) will graduate to trade on TSX at the open of trading on Thursday, June 7, 2012. The ticker symbol will remain "BTB.UN" and the CUSIP number will remain 11777P 10 2. At the same time as the graduation, the units of the company will be consolidated on a 1-for-5 basis. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Wednesday, June 6, 2012.
BTB REIT is also a constituent of the S&P/TSX Venture Select Index. The company will be removed from this index effective after the close of Tuesday, June 12, 2012, at which time it will be listed on TSX.
Direxion files with the SEC CFTC Certifies Nine Contracts Submitted by Eurex Deutschland
The certified contracts include: Eurex’s STOXX Europe 600, STOXX Europe Large 200, STOXX Europe Mid 200, STOXX Europe Small 200, EURO STOXX, EURO STOXX Large, EURO STOXX Mid,
IMF Working paper-Intra-Regional Spillovers in South America: Is Brazil Systemic after All? view the IMF Working paper-Intra-Regional Spillovers in South America: Is Brazil Systemic after All? Moving Assets Into ETFs
There are currently $1.3 trillion in ETFs and close to $12 trillion in mutual funds. As passive investing becomes a larger portion of portfolio construction, we could see three, four or even five trillion dollars move out of Mutual Funds and into ETFs in the coming years. The process to move that amount of capital creates opportunities, challenges and the need for more education. VIX Investors Head to the Vix-its. First Asset Growth Spurs Name Changes and New Brand Strategy The name changes reflect a growth story that has seen First Asset and its divisions grow over 400 per cent in three years - from $600 million in assets in 2009 to $2.6 billion in 2012. U.S. derivatives industry slams CFTC's 85 pct rule
June 6, 2012--Direxion has filed a post-effective amendment, registration statement with the SEC.
view filing
Contracts may be Offered to U.S. Persons Through Direct Access
June 5, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight today certified nine contracts submitted by Eurex Deutschland (Eurex) for review on April 18, 2012.
The contracts satisfy the requirements of the Commodity Exchange Act and the Commission’s Regulations and may be offered or sold to persons in the U.S. through Eurex’s direct access terminals located in the U.S.
June 5, 2012--Summary: Shocks stemming from Brazil-the large neighbor in South America- have historically been a source of concern for policy-makers in other countries of the region. This paper studies the importance of Brazil's influence on its neighboring economies, documenting trade linkages over the last two decades and quantifying spillover effects in a Vector Auto Regression setting.
While trade linkages with Brazil are significant for the Southern Cone countries (Argentina, Bolivia, Chile, Paraguay, and Uruguay), they are very weak for others. Consistent with this evidence, econometric results show that, while the Southern Cone economies (especially Mercosur’s members) are vulnerable to output shocks from Brazil, the rest of South America is not. Spillovers can take two different forms: the transmission of Brazil-specific shocks and the amplification of global shocks—through their impact on Brazil’s output. Finally, we also find suggestive evidence that depreciations of Brazil’s currency may not have significant impact on output of its key trading partners.
June 5, 2012--ETF sponsors will tell you that the three biggest issues in the industry are education, education and education, especially in relation to the RIA channel.
There are countless numbers of websites, white papers, webinars and yes even bloggers and columnists that dissect the ETF structure and all of its usefulness but if you’re looking to move your client’s assets out of mutual funds and into ETFs, there is not much independent information to guide you.
June 5, 2012--While the VIX hasn't been on a moon shot- a fact noted earlier today on MarketBeat-it has moved higher since the latest eruption of worries about Europe and the pace of global growth.
On the surface, one might think that another Euro-land freak-out would have investors clamoring for exchange traded funds that track the VIX.
XTF Capital ETFs becomes First Asset ETFs; Criterion Mutual Funds becomes First Asset Mutual Funds
June 5, 2012--First Asset announced today that it has consolidated the branding of its three product lines -exchange traded funds, mutual funds and closed-end funds - under the existing "First Asset" umbrella, which to date referred only to its closed-end fund division.
Specifically, its mutual fund division, Criterion Mutual Funds, will now be called First Asset Mutual Funds and its ETF division, XTF Capital, will now be called First Asset Exchange Traded Funds.
June 5, 2012--CFTC hosts roundtable on Dodd-Frank's 85 percent rule
Derivatives exchanges push back on the reform
Gensler said final rule slated for vote later this summer
June 5, 2012--The U.S. derivatives industry on Tuesday criticized a rule it says would force exchanges to delist hundreds of contracts because of low volume, stifling innovation and damaging market liquidity.
The rule aims to protect price discovery in the swaps and futures markets by requiring at least 85 percent of a contract's trading to occur on an exchange's centralized market.
