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Thomson Reuters MiFID Market Share Reports November 2009
December 11, 2009-The Monthly Equity Market Share reports are sourced from our Equity Market Share Reporter. Both the Volume and Turnover data are calculated based on each individual trade reported by all European Exchanges, MTFs, and OTC trade reporting venues.
We separately identify the trading volumes of the Independent Dark Pools where these are reported through OTC Trade publication services such as Markit BOAT through reference to specific flags on these feeds or from specific trade flags on the feeds from the MTFs that provide their own feeds.
The definition of country in the country reports is based on the domicile of the stocks included through reference to the two character country code at the beginning of each ISIN.
Turnover is normalised to Euros at trade level using currnency spot rates from the date of trade.
In November we decided to enhance the reports to break out the data into separate sheets for Turnover & Volume per country and index. Within each sheet we now break out the data into the following trade types and provide a summary of the activity by each trade type at the bottom of the sheet
Order Book - trades generated by trading on electronic open limit order book excluding trades executed during an auction period
Auction Trades - trades executed during an auction period operated by electronic open limit order book
Dark Order Book - trades generated by a dark pool of liquidity or through the interaction of purely dark order on an open limit order book
Off Order Book - trades reported under the rules of an exchange which may be as a result of trading on quotes from market makers or just OTC trades reported under the rules of a regulated market or MTFs.
MiFID OTC - trades reported through pure reporting venues like Markit BOAT or the equivalent services offered as off-exchange reporting by the exchanges such as Euronext or Nasdaq OMX.
view the 2009 Market Share Report (Jan - Nov)
Source: Thompson Reuters
ETF Stat November 2009-ETF Plus Market
December 11, 2009--The November ETF Stat report of the Borsa Italiana are now available.
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Source: Borsa Italiana
Britain, France unite behind bank bonus tax plans
December 11, 2009--Britain and France are to place one-off "community" taxes on bankers' bonuses at the heart of a joint bid to impose new social responsibilities on profitable financial firms.
British Prime Minister Gordon Brown, who faces a general election in the new year, and French President Nicolas Sarkozy used a "convivial" 30-minute "tete-a-tete" in Brussels on Thursday evening to ram home crowd-pleasing measures.
Their meeting, on the sidelines of a European Union summit, was also designed to dispel recent Anglo-French tensions stemming from EU banking supervision rows, and revisited ideas for a so-called 'Tobin,' or social tax on financial services.
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Source: EU Business
FSA strengthens stress testing regime
December 11, 2009-The Financial Services Authority (FSA) has strengthened its stress testing regime by requiring firms to improve their stress testing capability, enhance their capital planning stress testing and by introducing a reverse stress testing requirement for firms.
The FSA’s integrated approach to stress testing consists of three main elements:
Firms' own stress testing – The FSA expects firms to develop, implement and action a robust and effective stress testing programme which assesses their ability to meet capital and liquidity requirements in stressed conditions, as a key component of effective risk management
FSA stress testing of specific firms – As part of its more intrusive supervisory approach the FSA runs its own stress tests on a periodic basis for a number of firms. This is carried out regularly for specific high impact firms and for other firms as the need arises, to assess their ability to meet minimum specified capital levels throughout a stress period.
Simultaneous system-wide stress testing – This is undertaken by firms using a common scenario for the purposes of specific system-wide analysis for financial stability purposes. The FSA is taking steps now to strengthen all elements of its stress testing approach although the changes mentioned in this policy statement refer to firms’ own stress testing.
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Source: FSA
DB Index Research -- Weekly ETF Reports - Europe
December 10, 2009--Highlights
ETF Volume
Exchange based Equity ETF turnover declined by 8.7% on the previous week. Daily turnover for the previous week was E1.3bn. European fixed income ETF turnover declined by 2.6% to E172.1m.
In exchange based bond ETFs, iShares € Corporate Bond has the highest daily turnover of E13.20m. Among the Equity ETFs, iShares DAX (DE) has the highest daily turnover of E59.96m.
There were 4 new listings last week. Xact Fonder AB issued two new leveraged ETFs on Stockholmborsen. UBS and Source listed one new ETF each on Deutsche Borse. All new listings were primary listings except for the ETF issued by UBS.
European Style ETFs, led by short and leveraged products, kept its position as the leading product area with total turnover of E395m accounting for 31.03% of total ETF turnover, followed by European Regional ETFs with total turnover of E344m with 27.03% of total turnover. The DAX ETFs remain the dominant country products with total average daily volume of E167m across the fourteen listed products and accounting for 13.1% of all equity ETF volume.
DJ Euro STOXX 50 ETFs accounted for 12.7% of turnover trading E162m per day with liquidity split across 16 ETFs and 43 different listings on 9 exchanges.
Market Share
The Deutsche Borse XTF platform has the largest market share with 38.0% of total turnover. The Euronext NextTrack platform has 21.1% market share. The LSE’s combined Italian Exchange and London market share is now 24.7%.
Assets under Management (AUM)
Total European Equity related AUM rose by 5% to E106.7bn during last week. AUM for DJ Euro STOXX 50 ETFs was E21.1bn accounting for 19.8% of total European AUM. Fixed Income ETF AUM remained at about the same level at E33.9bn.
Overall, the largest ETF by AUM was Lyxor ETF DJ Euro STOXX 50, an Equity based ETF, with AUM of E5.1bn. The largest Fixed Income ETF by AUM was the iShares € Corporate Bond with AUM of E3.2bn.
To request a copy of the report
Source: Aram Flores and Shan Lan -DB Index Research
Hedge funds: ideas for new legislation
December 10, 2009--Improving transparency and regulatory control of alternative investment funds, such as private equity and hedge funds, to reduce the risks involved, is the key aim of a report tabled in the Economic and Monetary Affairs Committee on Tuesday.
When comes to regulating alternative investment funds (AIF), "no area of the financial sector can escape our attention", said Parliament's rapporteur Jean-Paul Gauzès (EPP, FR), presenting his proposals to the Economic and Monetary Affairs Committee.
The Gauzès report backs a Commission proposal for a directive to ensure that all AIF managers in the EU are subject to supervision, by establishing a binding authorisation and supervisory regime for all entities that deal with managing AIF.
No exemptions
The Gauzès proposal reduces the exemptions set out in the Commission proposal, removes the investment threshold (the Commission had proposed that only entities managing AIF portfolios with total assets of over €100 million) and replaces it with the proportionality principle, to take account of the size of funds.
All managers of alternative investment funds, including e.g. pension funds, set up and operating in the EU should be subject to a legally-binding authorisation and supervisory regime, which should apply irrespective of the legal domicile of the AIF managed, says the report.
Any AIF manager operating in the EU would also be required to hold and retain a minimum amount of capital which, according to the rapporteur, should correspond to the amounts set by the Undertakings for Collective Investment in Transferable Securities (UCITS) Directive, which aims to ensure that investors receive useful cost and performance disclosures.
Depositories' liability
Depositories' responsibilities must be clearly defined, says the rapporteur, who acknowledges that his proposals here are more stringent than the UCITS Directive, but argues that this is a logical response to the economic and financial crisis.
Leverage, valuators and remuneration policy
Fund managers should describe their leverage policies to the regulator, who should decide whether or not they should be implemented, says Mr Gauzès. He also proposes "more flexible rules" for valuators, adding that further provisions are needed in this context to prevent conflicts of interest.
AIF managers' remuneration should reflect long-term value creation, not excessive risk-taking, says Mr Gauzès.
European passport: don't close the door to non-EU funds
"The EU should not be a fortress" but should remain open to AIF from outside Europe, says Mr Gauzès, who backs the idea of a "European passport" to allow fund managers operating in the EU and funds located in the EU to market funds throughout Europe, provided that EU Member States other than their own are notified of this fact.
To avoid "closing the door" to non-EU funds, Member States should be free to allow them to operate on their territory via their respective national private placement regimes, he adds.
Mr Gauzès would also welcome harmonised rules for private investment, but, accepting that this is currently "not realistic", he proposes transitional periods for introducing such rules.
Further steps
Economic and Monetary Affairs Committee MEPs have until 21 January 2010 to table amendments, which should be debated in committee on 22 February put to a committee vote on 12 April. The plenary vote is scheduled for the July I session.
view Report by Jean-Paul Gauzès
Source: European Parliment
Vanguard launches Global Small-Cap Index Fund
December 10, 2009--Vanguard Investments Europe has launched a new equity index portfolio, the Vanguard Global Small-Cap Index Fund.
The portfolio is the 31st portfolio in the Irish-domiciled Vanguard Investment Series funds.
The fund aims to track the performance of the MSCI World Small Cap Index, which includes companies with a market capitalization between EUR190m and EUR2.1bn across developed markets.
This is the only index fund available in the European marketplace that provides exposure to this broad market within a single fund.
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Source: ETF Express
Euro summit falls short on hard cash for climate talks
December 10, 2009--European Union leaders fell short Thursday of a target to pledge six billion euros to help the developing world combat global warming, but talks were set to continue through the night, the EU presidency said.
At a summit in Brussels, the 27 nations closed in on their goal, determined to underline the EU's leadership role in fighting climate change and set the tone for the on-going international climate conference in Copenhagen.
"We are still working on putting together what European countries on a voluntary basis are able to put on the table," Swedish Prime Minister Fredrik Reinfeldt told reporters at a late-night press conference.
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Source: EU Business
German leader concerned as Greek debt balloons
December 10, 2009--Europe's biggest concern as Greece battles a debt crisis is maintaining a stable euro single currency, German Chancellor Angela Merkel said Thursday.
"We are agreed within the Eurogroup (of eurozone finance ministers) that we need to respect the criteria of European stability on budgetary matters," she said as she arrived at the start of a two-day EU summit in Brussels.
"We will discuss with the nations in the greatest difficulty how to maintain a stable euro, that's everyone's concern," she added.
Greece's sovereign debt, worth 442 billion dollars, was downgraded this week by the international ratings agency Fitch, prompting fears of dangerous spillover effects for the 16 countries that use the euro.
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Source: EU Business
ISE Chairman & CEO Mr. Hüseyin Erkan and ATHEX Chairman Mr. Spyros Capralos Officially launch the “GT-30 Index”
December 10, 2009--A ceremony for the official launch of the “Greece-Turkey 30 Index” (GT-30) took place today at the Istanbul Stock Exchange (ISE) with the presence of ISE Chairman & CEO, Mr. Hüseyin Erkan and Athens Exchange (ATHEX) Chairman, Mr. Spyros Capralos. The Chairman of the Capital Markets Board of Turkey, Professor Vedat Akgiray, the STOXX Ltd Director of Business Development, Mrs. Rosa Anna Grimaldi and the General Manager of ISE Settlement and Custody Bank, Mr. Emin Catana also made presentations during the event.
At the event Mr. Achilleas Kontogouris, CEO of NBG Asset Management and Mr. C. Özgür Güneri, CEO of Finans Asset Management, described during their presentations the advantages of the new ETFs on the GT-30 index, which the two institutions are going to issue early next year.
Mr. Hüseyin Erkan pointed out during his speech: “The Athens and Istanbul Stock Exchanges have a long history of close cooperation starting with the South East European Cooperative Initiative (SECI). And today, we are harvesting the fruits of a long term work and cooperation with the Athens Exchange by the GT-30 Index. This index will surely add more visibility to the Greek and Turkish stock markets. Launched at a time when the world markets are gradually recovering from the financial turmoil, we expect the GT-30 Index to draw more attention to both exchanges and to offer an additional investment tool for both individual and institutional investors to gain exposure to the upper and most liquid tier of the Greek and Turkish stock markets at lower costs. I am also happy to announce that we have already received two applications for ETFs based on the GT-30 and I am confident that more will follow.”
For his part, Mr. Spyros Capralos said: “With this new joint index, as well as the products that will be issued on it, we are providing additional choices, new opportunities and alternative options to the investors of the two markets. Furthermore, taking into consideration that the only direction we can follow, towards stronger and larger markets, is the facilitation of the cross border access for investors as well as the improvement of efficiency and reduction of costs, we have a strong faith that the GT30 as well as the ETF created on it, will be helping both Exchanges down that path.”
The event, which was hosted by the Istanbul Stock Exchange, brought together member brokerage houses and banks, portfolio managers as well as representatives of the Greek and Turkish companies included in the GT-30.
About the GT-30 Index The Greece & Turkey 30 Index (GT-30), a STOXX Customized index launched on 28 September 2009 comprising of 30 companies, 15 from each market with the largest market capitalisation among the companies listed in the two exchanges is the first concrete act of the long term collaboration between the two markets.
STOXX calculates the GT-30 Index as price and return indices denominated in TRY and EUR terms. The base date of the Indices is December 31st, 2005, and the base value is 1,000.
Source: Istanbul Stock Exchange (ISE)