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BME welcomes the start of the process of certain reforms to the Spanish clearing, settlement and registry system
BME to participate actively in the follow-up committee, which will analyse certain aspects of the Spanish post-trade system
The Spanish clearing, settlement and registry model has attained a recognized robustness
Interesting business opportunities open up for BME
The work of the Committee is expected to be finalised by the end of 2010 and the subsequent regulations over the course of 2011 and 2012
February 12, 2010--Bolsas y Mercados Españoles (BME) welcomes the start of the process which will culminate in a Report on certain reforms of the Spanish clearing and settlement system, as announced today by the Spanish supervisor, the Comisión Nacional del Mercado de Valores (CNMV).
BME is a member of the ad-hoc follow-up committee and will actively participate in its work, which will analyse a possible reform of the Spanish post-trade system to update it and maintain its security and reliability.
The Spanish clearing, settlement and registry model has attained a recognized robustness since its inception and has proven to be very positive for the Spanish securities industry.
BME considers that new business opportunities arise for the company as well as the chance to expand its current business areas, in fields such as clearing, deposit, custody and settlement of international securities.
A Report is expected by the end of 2010 and subsequent regulations over the course of 2011 and 2012. Based on this calendar, Spain will be better prepared for T2S and it will be possible to take into account some of the actions announced by the European Union or others globally oriented, such as the review of the standards on which CPSS-IOSCO are currently working, with respect to the subject matters. These initiatives could lead to improvements and adjustments of the Spanish system.
Source: Bolsas y Mercados Españoles (BME)
DB Index Research -- Weekly ETF Reports -- Europe
February 11, 2010--Highlights
ETF Volume
Exchange based Equity ETF turnover rose by 6.4% on the previous week. Daily turnover for the previous week was E1.4bn. European fixed income ETF turnover rose by 10.9% to E264.6m.
In exchange based bond ETFs, db x-trackers US Dollar Money Market ETF has the highest daily turnover of E19.78m. Among the Equity ETFs, iShares DAX (DE) has the highest daily turnover of E69.89m.
There were 3 new listings last week. Comstage issued three new ETFs on NYSE Euronext Paris. All the new listings were primary listings.
European Regional ETFs remained at the top position as leading product area with total turnover of E396m with 28.41% of total ETF turnover followed by Style ETFs with total turnover of E377m accounting for 27.05% of total ETF turnover. The DAX ETFs remain the dominant country products with total average daily volume of E156m across the fourteen listed products and accounting for 11.2% of all equity ETF volume.
DJ Euro STOXX 50 ETFs accounted for 14.0% of turnover trading E195m per day with liquidity split across 17 ETFs and 44 different listings on 9 exchanges.
Market Share
The Deutsche Borse XTF platform has the largest market share with 35.9% of total turnover. The Euronext NextTrack platform has 20.5% market share. The LSE’s combined Italian Exchange and London market share is now 27.1%.
Assets under Management (AUM)
Total European Equity related AUM declined by 1.2% to E109.7bn during last week. AUM for DJ Euro STOXX 50 ETFs was E20.3bn accounting for 18.5% of total European AUM. Fixed Income ETF AUM remained at about the same level at E36.4bn.
Overall, the largest ETF by AUM was iShares S&P 500 Index Fund (IUSA), an Equity based ETF, with AUM of E4.7bn. The largest Fixed Income ETF by AUM was the iShares € Corporate Bond with AUM of E3.3bn.
To request a copy of the report
Source: Aram Flores and Shan Lan -DB Index Research
BME Expands Its IBEX35® Index Family - They Will Be Calculated And Disseminated In Real Time As Of April
They will be calculated and disseminated in real time as of April
February 11, 2010--Bolsas y Mercados Españoles (BME) will expand its IBEX35® index family with five new tradable indices, all of which are based on the IBEX35®. The new indices, called IBEX 35® NET RETURN, IBEX 35® DOUBLE SHORT, IBEX 35® TRIPLE SHORT, IBEX 35® DOUBLE LEVERAGE and IBEX 35® TRIPLE LEVERAGE, will start to be calculated and disseminated in real time in April.
The IBEX 35® NET RETURN incorporates the changes in the price of the index constituents as well as the return, net withholding tax, resulting from dividend payments and other shareholder remuneration. In this way the index shows the impact that the net amount of this type of remuneration has on a portfolio that tracks the IBEX35®
The IBEX 35® DOUBLE SHORT duplicates the daily variation in the IBEX 35® WITH DIVIDENDS in the opposite direction, that is, if the return on the IBEX 35® WITH DIVIDENDS on a single session is negative, the return on the IBEX 35® DOUBLE SHORT on that session will be positive and double the amount.
The IBEX 35® TRIPLE SHORT, which triples the daily variation in the IBEX 35® WITH DIVIDENDS in the opposite direction, that is, if the return on the IBEX 35® WITH DIVIDENDS on a single session is negative, the return on the IBEX 35® TRIPLE SHORT on that session will be positive and triple the amount.
The IBEX 35® DOUBLE LEVERAGE, which offers double exposure to the daily return on the IBEX35®, through the investment of an initial capital plus an equivalent loaned capital. A positive daily return on the IBEX35® yields an also positive return, but double that amount for the IBEX 35® DOUBLE LEVERAGE and viceversa.
The IBEX 35® TRIPLE LEVERAGE which offers triple exposure to the daily return on the IBEX35® through the investment of an initial capital plus double the loaned capital. A positive daily return on the IBEX35® yields a positive return, but triple that amount for the IBEX 35® TRIPLE LEVERAGE and viceversa.
These new indices are intended to serve as underlying assets for financial products, such as certificates or Exchange-Traded Funds (ETFs). BME will start a proposal selection process in order to grant index licenses for ETFs. These new indices provide investors with a broad range of investment strategies.
Source: Bolsas y Mercados Españoles (BME)
SWIFT: European Parliament votes down agreement with the US
February 11, 2010--Parliament refused on Thursday to give its consent to the EU's interim agreement on banking data transfers to the USA via the SWIFT network, amid concerns for privacy, proportionality and reciprocity. This move renders the text signed between the US and the 27 EU Member states legally void. MEPs propose to negotiate a new agreement.
The resolution rejecting the agreement was approved by 378 votes to 196, with 31 abstentions. It also asks the Commission and the Council to initiate work on a long-term agreement with the USA on this issue. MEPs reiterate that any new agreement must comply with Lisbon Treaty requirements, and in particular the Charter of Fundamental Rights.
A proposal by the EPP and ECR groups to postpone the vote was rejected by 290 votes to 305, with 14 abstentions.
"Council has not been tough enough on data protection" said rapporteur Jeanine Hennis-Plasschaert (ADLE, NL), who argued that the rules on data transfer and storage provided for in the interim agreement were not proportionate to the security supposedly provided.
In order to continue sharing financial data in the purpose of fighting terrorism, the EU and the United States still rely on a Mutual Legal Assistance agreement allowing for exchange of data within the framework of EU member states national law.
The European Commission announced yesterday, in a letter to EP president Jerzy Buzek, that it is to adopt draft negotiation guidelines for a long term agreement "in the coming weeks". The guidelines "will address the European Parliament and Council's concerns" and ensure "the utmost respect for privacy and data protection".
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Source: European Parliment
The Istanbul Stock Exchange welcomes Koza Gold
February 11, 2010--Koza Gold (Koza Altýn Ýþletmeleri A.Þ.) which operates in the field of exploring and operating gold mines in Turkey, will start trading on the Istanbul Stock Exchange on February 12, 2010.
Koza Gold offered 30 per cent of its capital to the public between February 3-5, 2010 and the shares of the company will start to be traded on the ISE National Market under the ticker symbol “KOZAL”.
The executives of Koza Gold will visit the ISE to celebrate the company’s first trading day. In honor of the occasion, Mr. Hüseyin ERKAN, ISE Chairman & CEO, and Mr. Akýn IPEK, Chairman of Board of Directors of Koza Gold will deliver speeches in a ceremony. After the ceremony, Mr. IPEK will ring the opening bell and start the stock trading session at 09:30. The opening ceremony will be open to the the press.
Koza Gold’s public offering is the third after the announcement of the Public Offering Campaign by the ISE, Turkish Capital Markets Board, The Union of Chambers and Commodity Exchanges of Turkey and The Association of Capital Market Intermediary Institutions of Turkey on October 19, 2009.
Source: Istanbul Stock Exchange
Sweden signals early interest rate rise
February 11, 2010--Sweden’s central bank has predicted it will raise interest rates earlier than previously forecast in a sign of confidence that European economic recovery is gathering pace.
The Riksbank left its key interest rate unchanged at a record low of 0.25 per cent on Thursday, but said it expected to start raising rates in the “summer or early autumn”, having previously indicated the move was unlikely before the autumn.
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Source: FT.com
Pressure eases on Greek bonds after EU pledge
February 11, 2010--Pressure eased on Greek sovereign bonds on Thursday after European Union leaders vowed to support the country's battle against a massive deficit and debt.
The yield on 10-year Greek bonds fell to 5.912 percent at 1700 GMT compared to 6.004 percent at the same time on Wednesday. Bond prices and yield move in opposite directions.
This compared to the dramatic rise of the yield, which represents the interest rate that Greece must pay on bonds it issues to borrow money in the markets, last month when it surpassed the seven-percent mark.
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Source: EU Business
New TABB Research Tracks the Impact of Competition under MiFID in Major Index Stocks from 2005 to 2009
Report Shows Average Effective Spreads Declined in 92% of 60 European Equities Measured amidst Competition, IT Upgrades, Tick Size Adjustments, Fragmentation and High Frequency Trading
February 10, 2010--Competition under MiFID is evident in the decline of effective spreads in 60 European stocks across the FTSE 100, DAX 30 and CAC 40 indices over a four-year period, from September 2005 to September 2009.
Based on new research from TABB Group tracking the impact of competition under MiFID, average effective spreads declined in 92% of the European equities measured and in some case, spreads have at least halved.
Miranda Mizen, a principal at TABB Group and author of the TABB Pinpoint report, “Effective Spreads in European Equities,” says competition under MiFID is alive and well evident in the decline of effective spreads over four years in European equities in terms of price differential. She adds that technology upgrades, competition, fragmentation, high frequency trading and tick size adjustments have all contributed to the spread decline. “Two distinct waves are seen, the first in the third quarter of 2007 due to improvements in technology, MiFID’s implementation, high-frequency trading and firms meeting MiFID’s best-execution requirements. There was a second wave in the same quarter a year later, 2008, as competition increased, tick sizes were reduced and algorithmic trading increased.”
Although declining markets have exaggerated the narrowing of spreads, she says, the competitive pressure has been maintained as the European markets recovered after the Lehman Bros. collapse and despite lower trading volumes.
According to Mizen, “It’s usually a close call amongst competing execution venues for the best effective spread, and this has kept the pressure on. At the end of the period measured, the lowest effective spreads are, for the most part, between Chi-X and BATS for UK stocks, and between Chi-X and the main market for CAC 40 and DAX 30 stocks.”
She notes, however, that the correlation between the effective spread and volatility and volume does become less evident as effective spreads narrow under the weight of MiFID competition.
The purpose of the study, a three-step process covering spreads, basis and value, was to document the trend of average effective spreads for each trade over a specific course of time, examining factors that affect the tightness of spreads across multiple venues as well as the cost of liquidity. Using stocks trading since September 2005, TABB used Reuters tick data from the primary market, Chi-X, Turquoise and BATS. Spreads were measured in terms of price differential and results incorporate the up/downward pressure on the spread caused by movement in the share price.
The new Pinpoint report is available now for download by TABB Group Equity Research Alliance clients and pre-qualified media at https://www.tabbgroup.com/Login.aspx. For more information, visit http://www.tabbgroup.com or write to info@tabbgroup.com.
Source: TABB Group
NYSE Euronext European ETF Activity - January 2010
February 10, 2010--European ETF activity highlights for January 2010:
At the end of January, NYSE Euronext had 514 listings of 466 ETFs from 15 issuers. These ETFs cover more than 300 indices exposed to an extended range of assets and strategies (Equity, Fixed Income, Commodities, Short, Leverage, etc…).
In January 2010, the number of ETFs increased by 33.5% compared to end of January 2009. An additional 17 new ETFs have already been listed during the first month of the year.
Both daily average turnover and the daily average number of trades saw an impressive growth in January 2010. On average, daily turnover was at €343.7 million, representing an increase of 30.68% versus December 2009. The daily average number of trades registered and even greater boost from December 2009 to January 2010, increasing from 6 074 to 8 658, or 42.54%. On January 22, ETF trading even reached an all-time high on NYSE Euronext with 15 228 trades. Close to €600 million was exchanged.
At the end of January, the combined Assets Under Management of all ETFs listed on the NYSE Euronext European markets totaled €106 billion, an increase of 38.4% from the €76.6 billion at the end of January 2009.
The combination of the flow of 19 first-class Liquidity Providers, competitive market makers, client orders and our high capacity, low latency technology contributed to a median spread of 29.98 bps of all listed ETFs in January 2010, down from 59.99 bps in January 2009.
NYSE Euronext’s Liquidity Providers program continued to expand as well over the course of January. At the end of the month, 19 Liquidity Providers had a total of 872 liquidity provision agreements, providing firm bid/ask quotes with minimum size and maximum spread requirements for the entire trading session on all ETFs. In January, 51 new LP contracts were added.
Visit www.euronext.com/etf for more information.
Source: NYSE Euronext
ETF Statistics January 2010-London Stock Exchange
February 10, 2010--The ETF Statistics January 2010 of the London Stock Exchange are now available.
view report
Source: London Stock Exchange
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