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Nomura Launches Innovative Global Emerging Market Risk Index
December 10, 2009--Nomura today announces the launch of its flagship Global Emerging Market Risk Index, GEMaRI, an early warning system for emerging market currency and balance-of-payments crises.
GEMaRI calculates the risk of currency crises occurring in 35 emerging market economies over the following 12 months and assigns a score to each country.
The index incorporates 16 specially selected and weighted indicators which are integral to accurately measuring the risk of a currency crisis in an emerging market economy.
Please follow the attached link to the full initiation report including information detailing how the index is constructed: http://www.nomura.com/research/getpub.aspx?pid=351579
Source: Nomura
FSA consults on strengthening firms' capital standards
November 10, 2009--The Financial Services Authority (FSA) has today issued proposals aimed at ensuring the financial soundness of firms by strengthening the prudential regime. The consultation paper sets out the FSA’s proposals for implementing changes that are required following amendments to the EU Capital Requirements Directive.
The wide range of changes address some of the lessons learned from the financial crisis and follows up on aspects of the Turner Review.
The proposals include:
Improving the quality of firms’ capital by establishing clear EU-wide criteria for assessing the eligibility of hybrid capital to be counted as part of a firm’s overall capital. The proposals specify the features that hybrid capital must have regarding permanence, flexibility of payments and loss absorbency to be eligible as tier one capital;
Strengthening the capital requirements for the trading book to ensure that a firm’s assessment of the risks connected with its trading book better reflects the potential losses from adverse market movements in stressed conditions;
Enhancing the management of large exposures by restricting a firm’s lending beyond a certain limit to any one party; Improving the risk management of securitisation, including a requirement to ensure that a firm does not invest in a securitisation unless the originator retains an economic interest; so called ‘skin in the game’;
Imposing higher capital requirements for re-securitisations to make sure that firms take proper account of the risks of investing in such complex financial products; and
Upgrading disclosure standards to increase market confidence.
The consultation period closes on 10 March 2010. The FSA plans to issue feedback to this consultation together with a policy statement confirming the final rules later on in 2010.
The rules must come into effect on 1 January 2011.
view the consultation paper-CP09/29: Strengthening Capital Standards 3
Source: FSA
Deutsche Börse Launches Trading with Exchange Traded Notes on Xetra
Extended offering provides access to equity market volatility/ iPath ETNs tradable in Europe for the first time
December 10, 2009--Deutsche Börse is expanding its product range on Xetra, giving investors the opportunity, since Thursday, to invest in exchange traded notes (ETNs). ETNs are debt securities based on the performance of underlying reference indices. Unlike exchange traded commodities (ETCs), which have been tradable with Deutsche Börse since 2006, ETNs are based on indices outside the commodities sector.
The first two ETNs were issued by Barclays Capital under the brand name iPath. They track the volatility indices S&P 500 VIX Short Term Futures Index TR and S&P 500 VIX Mid-Term Futures Index TR and enable investors to participate in the development of the implied volatility of the S&P 500 Index. The S&P 500 Index comprises the 500 largest companies in the US, which are weighted in the index according to their market capitalization. The launch of iPath ETNs on Xetra is also the first time they have been tradable in Europe.
ETN name: iPath S&P 500 VIX Short-Term Futures Index ETN
ISIN: DE000BC1C7Q6
Management fee: 0,89 percent
Distribution policy: accumulating
Benchmark: S&P 500 VIX Short-Term Futures Index TR
ETN name: iPath S&P 500 VIX Mid-Term Futures Index ETN
ISIN: DE000BC1C7R4
Management fee: 0,89 percent
Distribution policy: accumulating
Benchmark: S&P 500 VIX Mid-Term Futures Index TR
“We are happy to be able to offer investors another product innovation in cooperation with Barclays Capital,” said Rainer Riess, Managing Director of Xetra Market Development at Deutsche Börse. “The new iPath ETNs enable investors to make cost-efficient investments in a new asset class as well as further diversify their portfolios.”
Uwe Becker, Head of Investor Solutions Europe at Barclays Capital, said: “The iPath VIX products demonstrate the characteristics which are vital for the success of any benchmark instrument. They are straightforward to understand, transparent and through our ETN platform, are easy to access for a broad range of investors to trade. They have removed the need for investors to trade volatility through variance swaps or futures.”
Parallel to the start of ETN trading on Xetra, Deutsche Börse is combining the ETC and ETN asset classes into the new product class exchange traded products (ETPs). Deutsche Börse’s ETF and ETP product range currently comprises 543 ETFs, 141 ETCs and 2 ETNs.
Source: Deutsche Börse
IFC and S&P launch low carbon index for emerging markets
December 10, 2009--The International Finance Corporation, part of the World Bank group, has teamed up with Standard & Poor’s to launch a carbon-efficiency index for emerging markets using data from Trucost, the London-based carbon analysis firm.
The index was launched in Copenhagen today. The IFC said the new S&P/IFC Carbon Efficient Index aimed to mobilize more than $1bn (€680m ) in capital investment for carbon-efficient companies over the next three years. The index will closely track the performance of the S&P/IFC Investable Emerging Markets Index – while reducing the carbon footprint of their portfolios by 24%.
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Source: Responsible Investor
Four Source ETCs on Individual Industrial Metals Launched on Xetra
December 9, 2009--Four additional Exchange Traded Commodities (ETCs) issued by Source Commodity Markets are tradable on Xetra®.
ETC name: S&P GSCI Aluminum Source T-ETC
Asset class: Commodities
ISIN: XS0470829358
Management fee: 0.49 percent
Distribution policy: non-distributing
Benchmark: S&P GSCI Aluminum Total Return
ETC name: S&P GSCI Copper Source T-ETC
Asset class: Commodities
ISIN: XS0470829432
Management fee: 0.49 percent
Distribution policy: non-distributing
Benchmark: S&P GSCI Copper Total Return Index
ETC name: S&P GSCI Nickel Source T-ETC
Asset class: Commodities
ISIN: XS0470829192
Management fee: 0.49 percent
Distribution policy: non-distributing
Benchmark: S&P GSCI Nickel Total Return Index
ETC name: S&P GSCI Zinc Source T-ETC
Asset class: Commodities
ISIN: XS0470829515
Management fee: 0.49 percent
Distribution policy: non-distributing
Benchmark: S&P GSCI Zinc Total Return Index
The four ETCs from Source Commodities Markets give investors the opportunity to participate in the performance of the individual futures contracts on the industrial metals aluminum, copper, nickel and zinc. Source T-ETCs are exchange-traded bonds backed by US treasury bonds (T-bills) and cash.
The product offering in Xetra’s ETC segment currently comprises 141 exchange-traded commodities from the offering of three issuers. The monthly trading volume of ETCs averages around 400 million euros.
Source: Deutsche Börse
ETF Securities: Commodity ETC Assets Triple over past 12 months to $17bn as Demand for Gold, Energy, Agriculture and Other Hard Assets Surge
December 9, 2009--Commodities bounced back strongly this year following the recent credit crisis, with ETFS Forward All Commodities DJ-UBSCI-F3SM (FAIG) up 20% year-to-date and 268% over the past 10 years based on data to the end of November.
ETFS Industrial Metals (AIGI) was the best performing ETC, with YTD growth of 67%. Industrial metals significantly outperformed developed market equities, outperforming the Dow Jones Euro STOXX 50 by 37 percentage points since the start of 2009. Industrial metals have also outperformed bonds, cash and real estate over the same period as the global recovery has become more entrenched and market appetite for plays on the recovery has accelerated. The precious metals sub-sector was the next best performing major sector, with ETFS Physical Silver (PHAG), ETFS Physical Platinum (PHPT) and ETFS Physical Palladium (PHPD) all returning over 60% YTD.
Commodities remain the best performing major asset class over a 10 year horizon, with ETFS Forward All Commodities DJ-UBSCI-F3SM (FAIG) registering cumulative growth of 268%, compared to a 10% rise in the Dow Jones Euro STOXX 50, a 13% rise in the FTSE 100, a 6% rise in property1 and 75% return on bonds2.
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Source: ETFS Securities
CESR publishes an update on the assessment of the proposals for MiFID pre-trade transparency waivers
December 9, 2009--The MiFID compliance of these functionalities has been assessed at CESR level on the basis of the new joint process that CESR launched in February 2009.
The table(Ref. CESR/09-324) includes information on a new assessments made at CESR level regarding an application for a waiver to be granted on the basis of the MiFID Implementing Regulation that CESR considered not to be compliant with MiFID.
BM&FBOVESPA Authorizes Trading Of Flexible Call And Put Options On iShares Ibovespa Index Fund (BOVA11) Contracts
December 9, 2009--The Brazilian Securities, Commodities and Futures Exchange has authorized, as of 12/07/2009, Flexible Call and Put Options on iShares Ibovespa Index Fund (BOVA11) for trading. This new OTC derivatives contract allows financial institutions to structure an array of investment strategies for their clients like, protected capital, for example.
The BOVA11, is one of the four Exchange Traded Funds (ETFs) offered by BM&FBOVESPA. They track the performance of Ibovespa, IBR-X 50, Mid-Large Cap Index, and Small Cap Index, indexes developed and calculated by the Exchange.
The new contract is registered in the derivatives OTC market, under the code FBC, for flexible call options, and FBP for flexible put options. Each contract corresponds to the share value multiplied by the number of shares to be freely agreed upon between the parties, subject to the minimum trading lot of 100 shares.
Source: Online News
Osmosis Investment Management to launch climate solutions ETF
December 9, 2009--Osmosis Investment Management has launched the Osmosis Climate Solutions ETF.
The exchange-traded fund will give investors access to a broad range of global companies whose primary business is to create technologies, products and solutions that help the world move towards a more sustainable, low carbon economy.
The ETF will track the Osmosis Climate Solutions Index, which was developed with the assistance of HSBC’s quantitative techniques business. The index comprises 100 companies with more than 50 per cent of earnings derived from products or services focused on the efficient use of natural resources and the mitigation of climate change. The universe is further screened for liquidity, and weighted to provide diversified global exposure to climate solution technologies.
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Source: ETF Express
NASDAQ OMX Launches New Swedish Portfolio Index
December 9, 2009--The NASDAQ OMX Group, Inc. (NASDAQ:NDAQ) announces that it has launched a new portfolio index for the Swedish equity market, the OMX Stockholm All-Share Cap GI Index (OMXSCAPGI). The weight of the shares included in the index is based on the company's total market value but limited to ten percent to comply with the fund rules in the EU directive UCITS .
“The index represents all shares listed on NASDAQ OMX Stockholm and is a great indicator of the overall market performance,” said Magdalena Hartman, Vice President NASDAQ OMX Global Index Group. “The UCITS compliance will allow the index to serve as an excellent benchmark for funds investing in the Swedish equity market.”
The OMX Stockholm All-Share Cap GI Index is calculated as a total return, market capitalized weighted index where the constituents are weight limited in order to comply with the UCITS directive. The index rule book is transparent and market adapted. The index has a very high correlation of 0.9999 with the uncapped total return version of OMX Stockholm All-Share.
The index has a base date of December 29, 2006 with a base value of 100 and historical data available from that date. The index value is updated once a minute and it currently holds 288 constituents.
Source: NASDAQ OMX