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STOXX Ltd. Launches Dow Jones Euro STOXX 50 PutWrite Index
October 18, 2009--STOXX Ltd., the leading European index provider, today announced the launch of the Dow Jones EURO STOXX 50 PutWrite Index. The new index replicates a "reverse convertible" investment strategy and measures the performance of a hypothetical portfolio consisting of monthly put options on the Dow Jones EURO STOXX 50 Index. The monthly put options are fully collateralized by money-market investments in the three month Euribor market (euro interbank offered rate).
The Dow Jones EURO STOXX 50 PutWrite Index is the first of its kind in Europe and is designed to underlie financial products such as exchange-traded funds.
"The Dow Jones EURO STOXX 50 PutWrite Index is a unique and objective measurement tool for market participants who want to follow a collateralized put strategy for the euro zone," said Ricardo Manrique, chief executive officer, STOXX Ltd. "By combining money market investments and put options on Europe's most liquid listed options contract - based on the Dow Jones EURO STOXX 50 Index, we are adding another highly tradable and replicable index to the Dow Jones STOXX Strategy Index family."
The Dow Jones EURO STOXX 50 PutWrite Index replicates a "reverse convertible" investment strategy in which a variable number of put options are written on the Dow Jones EURO STOXX 50 Index on a monthly basis. These are fully collateralized by an investment into the three month Euribor market whose amount in euro is equal to the index close on the day before the options are written plus the premium from selling the put options.
Each month the Dow Jones EURO STOXX 50 PutWrite Index rolls from the previously expiring put options contracts into the new one-month put options contracts. The number of put options is determined by the total amount of the collateralization. The money market investment, the option premium and the interest earned must cover the potential worst-case loss on the underlying options contracts.
Since inception on December 31, 1999, the Dow Jones EURO STOXX 50 PutWrite Index has gained 102.06%[1], whereas the Dow Jones EURO STOXX 50 Index is down -41.00% over the same time. Historical data for the Dow Jones EURO STOXX 50 PutWrite Index is available back to December 31, 1999.
The Dow Jones EURO STOXX 50 PutWrite Index is part of the Dow Jones STOXX Strategy Index family, which comprises the Dow Jones EURO STOXX 50 BuyWrite, Dow Jones STOXX EURO STOXX 50 Leveraged, Dow Jones EURO STOXX 50 Short, Dow Jones EURO STOXX 50 Double Short, Dow Jones STOXX 600 Double Short and Dow Jones STOXX 600 Supersector Short indexes, as well as the VSTOXX.
Further information on the Dow Jones STOXX Strategy Indexes is available at www.stoxx.com.
Source: STOXX
Credit Suisse Launches 17 ETFs In Italy
October 19, 2009--Credit Suisse today announced that it is expanding Credit Suisse Xmtch, its successful ETF range into Italy . Over the past eight years, Credit Suisse has grown its ETF business to become the leading provider of ETFs in Switzerland with Euro 6.0 billion AUM in its Xmtch ETF products. Credit Suisse’s launch of ETF products in Italy is the first launch in line with the Bank’s plans to expand across Europe .
ETFs are passively managed index-tracking investment funds offering institutional and private clients an investment solution with a high degree of liquidity, diversification and transparency. Credit Suisse is launching 17 replication (cash based) ETFs on the Italian Borse, providing investors with access to equities, inflation linked and government bond ETFs with exposure over a range of maturities and with a regional focus on Europe, the United States, and Japan. Italy is the first country outside of Switzerland into which Credit Suisse has expanded its ETF range, responding to an increased demand for index-based products among its European investors.
Credit Suisse sponsored survey* among Institutional Investors showed that Italy , the UK and Switzerland have the highest appetite for index related investments with 61% of respondents in Italy indicating a preference for ETFs. The research also revealed that 86% of Italian investors surveyed would prefer replication products, rather than synthetic ETFs showing a shift in attitude towards counterparty risk. Respondents across Europe considered liquidity the most important criteria when investing in ETFs.
Oliver Schupp, Managing Director at Credit Suisse and Head of Beta Strategies said: “The challenging market conditions of the last eighteen months coupled with an investor base that is increasingly looking for transparency and flexibility means that we are seeing a rising demand for ETF products among our clients.”
Gerhard Fusenig, Head of Asset Management for the EMEA region, Credit Suisse added: “Credit Suisse’s expansion into the Italian market is a significant step forward in expanding our successful ETF platform across Europe . It is consistent with our goal of distributing our best products to our institutional and private clients around the world.”
More information on the ETF range from Credit Suisse is available at www.xmtch-etf.com
Source: Credit Suisse
Oslo Børs To Launch A New Regulated Marketplace
October 15, 2009--Oslo Børs is establishing Oslo Connect, a new regulated marketplace for trading in non-standardised derivatives (OTC derivatives). The launch of this marketplace will give investors a new and unique venue for efficient and secure trading in derivatives that are not stock exchange listed.
Oslo Connect will be structured as a Multilateral Trading Facility (MTF) and will be based on a set of marketplace rules that will ensure higher standards of consistency and openness than an unregulated marketplace can offer. Oslo Børs was granted authorisation by the Financial Supervisory Authority of Norway (Kredittilsynet) to establish an MTF earlier this week. The new marketplace will open for business later this autumn, but no date has as yet been set for the launch.
Oslo Clearing already offers flexible settlement services and takes over counterparty risk on behalf of the participants for both the standardised and OTC derivatives markets. By launching Oslo Connect, Oslo Børs VPS Group will offer investors access to the entire value chain, with a trading venue operated by Oslo Børs and Oslo Clearing taking over counterparty risk.
"Oslo Børs recognized OTC derivatives as an attractive market in which to operate quite some time ago. We believe that it should be possible to trade in a market as large as this on a regulated marketplace. In addition, the financial crisis has made market participants much more aware of counterparty risk, and we can meet their needs with the services of Oslo Clearing”, comments Bente A. Landsnes, President of Oslo Børs and Group Chief Executive Officer of Oslo Børs VPS.
The OTC derivatives market offers greater flexibility than the regular stock exchange market for derivatives. The parties to a transaction have greater scope to customise the terms and conditions of the deal (Tailor Made derivatives), including details such as the expiry date, exercise price and adjustments for dividend payments. The regular stock exchange market in Oslo offers trading in derivatives based on 15 underlying shares listed on Oslo Børs, and derivative contracts for the OBX index, but the OTC market makes it possible, in principle, to arrange derivatives trading on any underlying share.
Trading on Oslo Connect will take place either through the EDGE trading system (provided by Baymarkets) or through the Oslo Børs Market Place Service for derivatives (MPS). In addition to trading, the EDGE system will offer the opportunity to register trading interests and to access a pre-trading price information system. This will also make it possible to identify more than one potential counterparty, which will help to improve the price picture. The system will also allow members to negotiate contract parameters on an anonymous basis prior to entering into a trade.
Investment firms and other institutions that are authorised by Kredittilsynet or by an equivalent foreign supervisory body will be eligible to apply for membership of Oslo Connect in order to access the marketplace. In addition, Oslo Børs collaborates with EDX London, which means that members of Oslo Connect will also be able to trade OTC derivatives across national boundaries.
Source: Oslo Børs
German economy improving, think tanks say
October 16, 2009--Germany's economy will shrink less than expected this year and return to growth in 2010 as financial markets stabilize and demand grows for the country's exports, a group of leading economic research groups said Thursday.
The eight organizations, including Munich's Ifo Institute and Kiel's Ifw as well as think tanks from Austria and Switzerland, revised their April prediction of 6 percent contraction this year to 5 percent. For 2010, the group now forecasts 1.2 percent growth in gross domestic product, compared to its April prediction of a 0.5 percent contraction.
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Source: Todays Zaman
Impact of the proposed AIFM Directive across Europe
October 15, 2009--Charles River Associates (CRA) was asked by the Financial Services Authority (FSA) to conduct an assessment of the impact of the proposed Alternative Investment Fund Manager Directive (AIFMD) on investors, financial markets and enterprise across the European Union
and enterprise across the European Union (EU).1 The Directive affects a wide variety of fund types and we have investigated the impact of the Directive on: hedge funds; private equity and venture capital funds; real estate funds and investment trusts.
Our research has involved: gathering information on the alternative investment fund (AIF) industry in Europe; around 30 interviews with market participants including professional investors, trade associations at a European level and in the UK (since much of the management of the AIF industry is located in the UK) as well as companies involved in the provision of different fund types; and a cost survey focused on the parts of the Directive where interviewees indicated that the costs are likely to be most significant. Impact of the Directive on investor choice and returns Based on interviews, it has not been possible to identify the proportion of funds currently domiciled outside the EU that will re-domicile into the EU in order to continue to be marketed to EU investors. If funds do not re-domicile, the AIFMD will greatly reduce the availability of AIF for EU investors. Investors expressed concern that they will no longer have access to “best in class” funds from across the globe, thereby reducing both the variety and quality of funds.
view the report:Impact of the proposed AIFM Directive across Europe
Source: Charles River Associates
FSA warns on cost of new EU hedge fund rules
October 15, 2009--European institutional investors face billions in lost annual returns if new EU rules for hedge funds and private equity firms are approved, according to a study commissioned by the Financial Services Authority, the UK’s market regulator.
The findings are the first formal – and independent – impact assessment of the directive from an EU member state authority, and are expected to add considerable heft to efforts from several European countries, led by the UK, to amend the European Commission’s draft alternative investment fund manager directive in the coming months.
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Source: FT.com
UK's Financial Services Authority: Lehman-Backed Structured Products - Update
October 14, 2009--NDF Administration Limited (NDFA) and Defined Returns Limited (DRL) have today announced that they are going into administration. The two firms offered a variety of retail products, including Lehman-backed structured products.
This announcement follows an extensive Financial Services Authority (FSA) review of structured products and subsequent discussions with the firms. The FSA's review looked at the UK structured products market, including those backed by Lehman, and as part of this review examined the firms' systems and controls and marketing literature. As a result, the FSA asked the firms to assess their financial position in relation to potential claims by investors with Lehman-backed structured products.
As these firms are now in administration, consumers who had invested in Lehman-backed products with either of the firms may be entitled to compensation from the Financial Services Compensation Scheme (FSCS).
The firms' joint administrators, Andrew Hosking and Martin Ellis of Grant Thornton UK LLP, will shortly contact all customers who bought products through these firms, setting out what they need to do next.
The FSA's Moneymadeclear website provides further information on what this means for consumers who bought Lehman-backed structured products and other products from NDFA and DRL.
Further information on the FSA's structured products review can be found on the Wider Implications website. The FSA will publish the full findings of its review later this month.
Source: FSA.gov.uk
DB Index Research -- Weekly ETF Reports -- Europe
October 14, 2009-
Highlights
ETF Volume
Exchange based Equity ETF turnover rose by 3% on the previous week. Daily turnover for the previous week was E1.3bn. European fixed income ETF turnover rose by 3.9% to E192.6m, with money market ETFs continuing to be the main focus.
In exchange based bond ETFs, db x-trackers II EONIA TR Index ETF has the highest daily turnover of E20.64m. Among the Equity ETFs, iShares DAX (DE) has the highest daily turnover of E69.69m.
There were 17 new listings in the last week. UBS launched 7 new ETFs while Credit Suisse AM launched 3 new commodity ETFs on the Swiss Stock Exchange. HSBC launched 1 new ETF on the London Stock Exchange. BNP Paribas cross-listed 6 ETFs on Borsa Italiana.
European Style ETFs, led by short and leveraged products, kept its position as the leading product area with total turnover of E386m accounting for 30.53% of total ETF turnover, followed by European Regional ETFs with total turnover of E345m with 27.28% of total turnover. The DAX ETFs remain the dominant country products with total average daily volume of E164m across the nine listed products and accounting for 13.0% of all equity ETF volume.
DJ Euro STOXX 50 ETFs accounted for 13.8% of turnover trading E175m per day with liquidity split across 26 ETFs and 42 different listings on 9 exchanges.
Market Share
The Deutsche Borse XTF platform has the largest market share with 35.2% of total turnover. The Euronext NextTrack platform has 22.1% market share. The LSE’s combined Italian Exchange and London market share is now 26.9%.
Assets under Management (AUM)
Total European Equity related AUM rose by 3.5% to E99.8bn during last week. AUM for DJ Euro STOXX 50 ETFs was E19.4bn accounting for 19.4% of total European AUM. Fixed Income ETF AUM remained at about the same level at E33.1bn.
Overall, the largest ETF by AUM was the Equity based ETF, Lyxor ETF DJ Euro STOXX 50 with AUM of E5.0bn. The largest Fixed Income ETF by AUM was the iShares € Corporate Bond with AUM of E3.2bn.
To request a copy of the report click here
Source:Aram Flores and Shan Lan -DB Index Research
FSA outlines its approval and interview process for significant influence functions
October 14, 2009-The Financial Services Authority (FSA) has written to the CEOs of 5,000 regulated firms to reinforce how its intensive regulatory approach applies to approving and supervising senior personnel performing significant influence functions (SIFs).
The letter reminds CEOs that the responsibility to assess whether a candidate is fit and proper to carry out a role rests with the firm and that firms should, therefore, have robust recruitment, referencing and due diligence processes in place.
As part of the SIF approval regime, the FSA has said it will undertake close vetting of appointments and will expect to interview candidates applying for SIF roles. Therefore, firms are being encouraged to engage with the FSA early in the recruitment process and for major firms, this should be at the point of drawing up a shortlist rather than waiting until the preferred candidate stage.
Firms are also urged to provide sufficient information with their applications (including supporting documents – for example head-hunter reports) and the rationale they have used to conclude that the candidate is fit to proper to perform the role. Applications must be made in a timely manner and any failure to engage promptly with the FSA may impede a firm’s plans to publicly announce a new appointment.
The enhanced SIF regime is one of the FSA’s responses to the financial crisis, which exposed governance and risk management shortcomings across numerous firms in roles such as chair, CEO, and finance or risk director. In the 12 months since October 2008 the FSA has conducted 172 SIF interviews, resulting in 18 candidates withdrawing their applications which shows there is considerable scope for some firms to be more robust in their own recruitment processes.
Graeme Ashley-Fenn, FSA director of permissions, decisions and reporting, said:
“It is crucial, that at a time when effective governance has never been more important, candidates have the right levels of competence and capability to perform these senior roles and that they are fully aware of their responsibilities.
“The onus is on firms to ensure candidates applying for influential positions are fit and proper to perform the role. Our individually tailored approval interviews will help us assess whether the individual has the right experience and understanding but also whether they will enhance the overall management strength and insight of the firm.”
Source: FSA..gov.uk
Alliance Trust buys back shares
October 14, 2009--Alliance Trust, the FTSE 100-listed investment company, has bought back shares for the first time in its 121-year history.
The company spent £15.4m ($24.6m) to buy back 0.72 per cent of its share capital at 317p a share. Although this represented a discount to net asset value of 18 per cent, the shares are trading at their highest level in a year after a rally in equity markets.
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Source: FT. com
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