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Summary of a workshop on recent advances in modelling systemic risk using network analysis
January 7, 2009--Summary of a workshop on recent advances in modelling systemic risk using network analysis
In October 2009, the European Central Bank (ECB) hosted a workshop entitled “Recent advances in modelling systemic risk using network analysis”.
Today, the ECB is publishing a summary of the workshop, which was attended by experts from central banks and international organisations working in the fields of financial stability and payment system analysis/oversight.
The global financial crisis clearly illustrated the role of financial linkages as a channel for the propagation of shocks to and within the financial system. Recent research in the area of financial network analysis has shown that modelling and simulating the interlinking exposures between financial institutions and sectors of the economy or across entire national financial systems can reveal vulnerabilities that would otherwise remain undetected. The aim of the workshop was to exchange views and experiences in the field of financial network analysis. The workshop also aimed to improve awareness of network modelling in general and to enhance knowledge of the possibilities and limitations of this area of analysis.
Recent advances in modelling systemic risk using network analysis
Source: European Central Bank
Thomson Reuters MiFID Market Share Reports December 2009
January 7, 2009--The MiFID Market Share reports have been updated.
2009 Market Share Report (Jan - Dec)
2008 Market Share Reports
Source: Thompson Reuters
Report shows GHG reduction targets set by FTSE 100 carbon intensive sectors fall far short of reductions required by UK Climate Change Act.
January 7, 2010--The 2008 UK Climate Change Act, sets some of the world’s most aggressive national targets by introducing the first ever long-term, legally
binding, national framework to tackle dangerous climate change.1 The Act
sets a UK target of 80% reduction in greenhouse gas (GHG) emissions from
1990 levels, by the year 2050.
This is in line with scientific consensus on the required reduction levels for developed economies.3 The government
has also set an interim target of 34%-42% reductions in greenhouse gas
emissions by the year 2020, against 1990 levels.4
This research evaluates how UK FTSE 100 companies’ emission reduction targets compare against the national target and utilises the Carbon Disclosure Project (CDP) 2009 dataset5 to analyse how companies are currently setting emissions reduction targets and what level of reduction these targets will deliver.
Most FTSE 100 companies report having some form of emissions or energy reduction target in place, but the scope of these targets varies considerably. Therefore, the crucial question is, will these targets deliver sufficient reduction in emissions to deliver on UK national commitments. To answer this question CDP has calculated the expected annual reduction rate of greenhouse gas emissions across FTSE 100 companies based on their reported targets.
Key Findings
77% of FTSE 100 companies report having an emissions reduction target.
49% of targets are absolute, compared to 31% based on intensity. 19% of target setting companies have both absolute and intensity targets.
The average annual reduction rate for FTSE 100 company targets is 2.5%. A 2.4% annual reduction rate is required to meet the UK 2020 target.
Energy, Utilities and Materials sectors cover just 24 companies in the FTSE 100, but they are currently responsible for 87% of all FTSE 100 reported emissions. Their average reduction rate per annum is just 1.2% per annum. These carbon intensive sectors will need to take on more aggressive targets if they are to deliver in line with government commitments.
view the Carbon Disclosure Project-FTSE 100 Carbon Chasm report
Source: Carbon Disclosure Project
Treasury announces Eurobond issue, less IMF money expected
January 6, 2010--The Turkish Treasury announced on Tuesday that it has commenced the new year’s first external borrowing, an anticipated amount of $2 billion in Eurobonds, sparking comments that Turkey will obtain a “lower than foreseen” amount of money from a possible stand-by deal with the International Monetary Fund (IMF).
Observers argue that the Treasury’s decision over the Eurobond issue hints that government plans to secure a somewhat smaller IMF loan because the Treasury would have waited for lower repayment costs if the government planned to sign a “big deal” with the IMF. As early as Tuesday, government spokesman Cemil Çiçek said “a successful deal with the fund would benefit Turkey’s credit rating in the global financial arena.” Çiçek’s remarks, analysts note, clearly indicate that the government is concentrating more on giving the ailing markets a “morale boost” rather than securing a large amount of IMF cash.
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Source: Todays Zaman
Eurozone industrial prices rise in November
January 6, 2010--Eurozone industrial production prices rose by 0.1 percent in November, in a retreat from an upwardly-revised 0.3 percent recorded in October, official EU statistics showed on Wednesday.
Across the 27-nation European Union as a whole, which also includes Britain and eastern industrial powerhouse Poland, the prices rise was pegged at 0.2 percent, down from the previous month's similarly-revised 0.6 percent.
Compared to one year earlier, November industrial producer prices dropped by a significantly less severe 4.4 percent in the euro area and by 3.2 percent across the full bloc.
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Source: EU Business
EEX trading results for Natural Gas and CO2 Emission Allowances in December
January 6, 2010--2010. In December, the total Spot Market volume for Natural Gas
(Gaspool and NCG market areas) was 502,488 MWh (December 2008: 88,080 MWh). This volume includes 7,656 MWh traded in the Natural Gas auction launched on 15 July 2009.
The Spot Market price for the day-ahead delivery of Natural Gas ranged
between EUR 7.50 per MWh and EUR 15.05 per MWh.
The volumes on the Derivatives Market for Natural Gas (Gaspool and NCG market areas) amounted to 930,160 MWh (December 2008: 778,470 MWh). On 30 December 2009, the open interest was 5,849,270 MWh. On 28 December 2009 Natural Gas prices for delivery in 2010 were fixed at EUR 13.87 per MWh (Gaspool) and EUR 14.10 per MWh (NCG), respectively.
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Source: European Energy Exchange (EEX)
EEX Power Derivatives/EPEX Spot: Power Trading Results in December
January 6, 2010--In the framework of their cooperation European Energy Exchange AG (EEX) and the French Powernext SA have integrated their Power Spot and Derivatives Markets.
In December 2009, a total volume of 85.7 TWh was traded on the joint subsidiaries
EPEX Spot SE and EEX Power Derivatives.
Power trading in the day-ahead auction on EPEX Spot accounted for in total 17,984,051 MWh of this and can be broken down as follows:
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Source: European Energy Exchange AG (EEX)
CESR publishes an update on the assessment of the proposals for MiFID pre-trade transparency waivers
January 6, 2010--
06 Jan. 2010 - 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.
Source: CESR
ETF Landscape: European DJ STOXX 600 Sector ETF Net Flows week ending 31-Dec-09
January 7,2010--Highlights
Last week saw US$7.0 Mn net inflows to DJ STOXX 600 sector ETFs. The largest sector ETF inflows last week were in Oil & Gas with US$37.1 Mn and Banks with US$32.7 Mn while Construction & Materials experienced net outflows of US$25.4 Mn.
Year-to-date, Telecommunications has been the most popular sector with US$409.2 Mn net new assets, followed by Basic Resources with US$402.5 Mn net inflows. Financial Services ETFs have been the least popular with US$35.6 Mn net outflows YTD.
Visit Blackrock for more information. 61% believe supertax on bankers’ bonuses is unjustified, says CISI survey
Other comments included:
"Most of the people working in this industry are both diligent and competent. I cannot understand how it is fair or ethical to target a specific group of individuals with a different rate of tax on their earnings, purely on the basis of who their employer is.”
“No account has been taken of the longer-term impact this and similar measures will have on the City of London and other highly productive sectors of the British economy.”
Among the 39 per cent of respondents supporting the tax, comments included: “It is important that the industry cleans itself up” and “Most bankers would not have a job without the direct input of public money.”
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Source: ETF Research and Implementation Strategy Team, Blackrock
January 6, 2010--Sixty-one per cent of financial services practitioners believe the supertax on bankers’ bonuses imposed by Chancellor Alistair Darling is unjustified, a survey by the Chartered Institute for Securities & Investment (CISI) shows.
In his pre-budget report, the Chancellor unveiled a one-off 50 per cent tax on bank bonuses over £25,000. Respondents to the CISI survey were invited to give their views and a concern raised by many was that the tax could force bankers to leave the UK. “This is blatant electoral opportunism and will see wealth generators leave this country in their droves,” said one opponent of the measure, while another warned: “In the long term, talent will be driven away, London will be less competitive and we will no longer be at the forefront of the financial industry.”
Source: Chartered Institute for Securities & Investment (CISI)
