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ESMA launches bond liquidity system under MiFID II
May 2, 2018--The European Securities and Markets Authority (ESMA) has published today its first liquidity assessment for bonds subject to the pre-and post-trade requirements of the Markets in Financial Instruments Directive (MiFID II) and Regulation (MiFIR).
ESMA's assessment of the European bond market for the first quarter of 2018 found 220 bonds (out of 71,000 for which the assessment was executed) to be sufficiently liquid to be subject to MiFID II's real-time transparency requirements. The full list of liquid bonds is available through ESMA's Financial Instruments Transparency System (FITRS).
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Source: ESMA
ECB publishes European framework for testing financial sector resilience to cyber attacks
May 2, 20187--TIBER-EU is the first European framework for controlled cyber hacking to test resilience of financial market entities
Framework facilitates testing for cross-border entities under oversight of several authorities
Goals are to help entities gain insight about their protection, detection and response capabilities and to help them fighting cyber attacks
The European Central Bank (ECB) today publishes the European Framework for Threat Intelligence-based Ethical Red Teaming (TIBER-EU), which is the first Europe-wide framework for controlled and bespoke tests against cyber attacks in the financial market.
The TIBER-EU framework facilitates a harmonised European approach towards intelligence-led tests which mimic the tactics, techniques and procedures of real hackers who can be a genuine threat. TIBER-EU based tests simulate a cyber attack on an entity's critical functions and underlying systems, such as its people, processes and technologies. This helps the entity to assess its protection, detection and response capabilities against potential cyber attacks.
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Source: ECB
Increased trading volumes, new records for ETFs
May 2, 2018--The high trading volume on the cash markets since the beginning of the year has led to new records in ETF trading on Xetra, Europe's leading platform for exchange-traded funds. The first quarter of 2018 saw a total of more than 1.9 million orders executed, the highest number since the products were introduced in 2000, and around 30 percent up year on year.
The number of tradable ETFs also rose to a new high of 1,264 at the end of April. In total, Deutsche Börse's cash markets generated a trading volume of €127.2 billion in April – a plus of 20 per cent compared to last year (€106.2 billion), despite a return to lower volatility in the markets. Of the €127.2 billion, €117.1 billion were attributable to Xetra (April 2017: €96.9 billion). The average daily turnover on Xetra was thus €5.9 billion. Order book turnover on Börse Frankfurt totalled €2.9 billion (April 2017: €3.4 billion) and on Tradegate Exchange €7.2 billion (April 2017: €5.9 billion). Split by asset classes, cash market turnover in equities reached about €113.5 billion. Turnover in ETFs/ETCs/ETNs amounted to €12.2 billion. Turnover in bonds was €0.4 billion, in structured products €1.0 billion and in funds €0.1 billion. The DAX security with the highest turnover on Xetra in April was Bayer AG at €5.4 billion.
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Source: Deutsche Börse Cash Markets
Algos all go?
May 2, 2018--Most academic studies find that algorithmic trading improves the quality of financial markets in normal times by boosting market liquidity (so larger trades can be executed more quickly at lower cost) and enhancing price efficiency (so market prices better reflect all value-relevant information).
But what about in times of market stress? In a recent paper looking at the removal of the Swiss franc cap, we find that algorithmic trading provided less liquidity than usual, at worse prices, and that its contribution to efficient pricing dropped to near zero. Market quality benefits from a diversity of participants pursuing different trading strategies, but it seems this was undermined in this episode by commonalities in the way algorithms responded.
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Source: bankunderground.co.uk
Increase in sector investing and sector ETFs amongst UK wealth managers
May 2, 2018--Over half (53 percent) of the 50 UK wealth managers survey revealed they use sector exchange-traded fund (ETF) investment strategies, according to SPDR ETF.
According to the research, one in five said they are using them more today than they were 12 months ago, while 44 percent are expecting sector ETFs to be used more over the next 12 months.
When choosing a sector ETF, 40 percent of the wealth managers said liquidity is the most important selection criterion.
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Source: assetservicingtimes.com
Introducing the EDHEC-Princeton Retirement Goal-Based Investing Index Series-an answer to the retirement problem
May 2, 2018--Introducing the EDHEC-Princeton Retirement Goal-Based Investing Index Series-an answer to the retirement problem
With the growing need to supplement public and private retirement benefits with voluntary contributions, individuals are becoming increasingly responsible for their own retirement savings and investment decisions.
This global trend poses substantial challenges to individuals, who typically lack the expertise required to make such complex financial decisions. Unfortunately, current investment products such as target date funds that are often used as default options in retirement accounts, hardly provide a solution to investors' and households' replacement income needs in retirement.
view the Applying Goal-Based Investing Principles to the Retirement Problem
Source: EDHEC-Risk Institute
Societe Generale to launch new range of Exchange Traded Products (ETPs) for UK Investors
May 2, 2018--Societe Generale, one of the leading European financial services groups, has listed 74 ETPs on the London Stock Exchange, so UK sophisticated retail and professional investors can leverage their exposures to equities, commodities and currencies.
The launch is one of the largest seen in the leveraged ETP sector, in the UK. It includes products covering four of the world's most prominent indexes-S&P 500, FTSE 100, DAX, and Euro Stoxx 50. The launch also includes coverage of hard commodities (oil, silver, gold, copper and natural gas) and currencies (GBP/USD, EUR/USD and JPY/USD).
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Source: Societe Generale
Monday Morning Memo: Are European fund investors in "risk-on" mode?
April 30, 2018--Looking at the headline figures, first quarter 2018 could be considered a business-as-usual quarter for the European fund industry, since the assets under management (+€10.5 tr) hit a new all-time high at the end of March. After a year of record inflows the European fund industry enjoyed further net inflows of €81.5 bn over the course of first quarter 2018.
Assets Under Management in the European Fund Industry
The assets under management in the European fund industry increased from €10.4 tr to €10.5 tr over first quarter 2018. This increase was mainly driven by net new sales (+€81.5 bn), while the market performance contributed €21.3 bn net.
Since ETFs have become an important part of the European fund industry, it is essential to review that market segment separately to get a better picture of the underlying trends in the market.
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Source: Detlef Glow, Head of EMEA Research-Thomson Reuters Lippe
S&P Dow Jones Indices-Europe Dashboard
April 30, 2018--Summary
A strong start to the earnings season and easing geopolitical tensions competed with concerns of a trade war to hold the market's attention in April. Fundamentals won the day; the S&P Europe 350 gained 4.76%, pushing the European equity benchmark into the black for 2018.
Energy led the way among equity sectors this month, outperforming in Europe by a whopping 8% in total return.
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Source: S&P Dow Jones Indices
Mifid II regime shines light on trading relations
April 29, 2018--From Monday, asset managers must show the top five brokers they have used for trading over a calendar year, for each class of financial instrument. They must also show they are getting the best prices on their share, bond and derivative deals.
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Source: FT.com