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ICMA European Repo Council paper explores official concerns about "shadow banking" and repo
March 20, 2012--ICMA’s European Repo Council (ERC) has today published a paper entitled: 'Shadow banking and repo' which explores concerns raised by regulators about 'shadow banking',
particularly in the context of the European repo market.
The paper, written by Richard Comotto of
the ICMA Centre, is intended to inform the ‘securities lending and repo’ workstream set up by the Financial Stability Board within its shadow banking project and the European Commission’s own deliberations discussed in yesterday’s green paper.
Godfried De Vidts, Chair of ICMA’s European Repo Council said: “Comotto’s paper frames a number of technical issues in a way which allows properly informed consideration of regulatory concerns. We should not lose sight of the fact that repo is a legitimate funding tool used by regulated banks and financial institutions and an instrument of financial policy for central banks. On the transparency issue the ICMA ERC already collects data on the size and structure of the market though its long established survey. A new survey of haircuts in the European repo market will add to the understanding of the functioning of repo in difficult market conditions.”
view the Shadow banking and repo paper
Source: ICMA
ICMA ERC submits comments on draft technical standards for the Regulation on OTC Derivatives, CCPs and Trade Repositories
March 20, 2012--The ICMA ERC has submitted comments to ESMA, in relation to its consultation paper on draft technical standards for the Regulation on OTC Derivatives, CCPs and Trade Repositories.
view more
Source: ICMA
Publication of responses to the consultation on Draft Technical Standards for the Regulation on OTC Derivatives, CCPs and Trade Repositories
March 20, 2012--ESMA has published the responses to the consultation on Draft Technical Standards for the Regulation on OTC Derivatives, CCPs and Trade Repositories
view responses
Source: ESMA
Dow Jones Indexes To License Dow Jones Russia GDR Index To Lyxor
New Index to Measure the Performance of Russian GDRs, an Expanding Portion of the Equity Market
March 20, 2012--Dow Jones Indexes, a leading global index provider, today announced that Lyxor has licensed the new Dow Jones Russia GDR Index to serve as the basis for its Lyxor ETF Russia (Dow Jones Russia GDR Index).
The euro-denominated version of the ETF is listed on the NYSE Euronext, Deutsche Boerse, Borsa Italiana and Bolsa de Madrid exchanges; the U.S. dollar-denominated versions are traded on the SIX Swiss and Singapore Exchanges.
The Dow Jones Russia GDR Index aims to measure the performance of the leading Russian Global Depository Receipts (GDRs) traded on the London Stock Exchange. GDRs are bank certificates traded as domestic shares of a local company, but offered for sale globally through foreign branches of an international bank.
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Source: Dow Jones Indexes
SPDR S&P 500 ETF launched on Xetra
March 20, 2012--The SPDR S&P 500 ETF (SPY5 GY) issued by SPDR ETFs in Europe has been tradable on Xetra for the first time since Tuesday.
The counterpart SPDR S&P 500 ETF (SPY US), which was issued in the US in 1993, is one of the largest and most traded ETFs worldwide.*
ETF name: SPDR S&P 500 ETF
Asset class: equity index ETF
ISIN: IE00B6YX5C33
Total expense ratio: 0.15 percent
Distribution policy: distributing
Benchmark: S&P 500 Index
The SPDR S&P 500 ETF enables investors to participate in the performance of the S&P 500 Net Total Return Index. The index is weighted according to free float market capitalisation and tracks the performance of the 500 largest US stock corporations. The index is calculated on the basis of the reinvestment of dividends after the deduction of any tax.
The product offering in Deutsche Börse’s XTF segment currently comprises a total of 944 exchange-listed index funds, making it the largest offering of all European stock exchanges.
Source: Xetra
EEX offers Eurex participants further trading possibilities in the commodity segment
March 20, 2012--The European Energy Exchange (EEX) and Eurex will extend their existing product cooperation to all commodities offered for trading on the energy exchange.
From 3 April, the customers of the Eurex derivatives exchange that are admitted on EEX will also be able to trade and clear the products on the Natural Gas Derivatives Market through their existing infrastructure. This comprises the futures for the GASPOOL and NetConnect Germany (NCG) gas market areas. In addition, all new products on the Derivatives Market for Emission Allowances will also be available for trading from the end of April. Moreover, it is planned that Eurex participants will be able to trade coal futures probably from the middle of the year.
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Source: Eurex
March 20, 2012--Neue Renten-ETFs von db X-trackers bilden Entwicklung von Anleihen hochster Bonität ab
March 20, 2012--db X-trackers, Deutsche Bank Exchange Traded Funds (ETFs), hat heute zwei neue ETFs an der Deutschen Börse gelistet, die die Entwicklung von Bundesanleihen beziehungsweise von Euro-Anleihen mit höchster Bonität verfolgen.
Der db x-trackers II iBoxx Euro Germany 3-5 Total Return Index ETF hat das Anlageziel, die Wertentwicklung des iBoxx Euro Germany 3-5 Total Return Index möglichst genau abzubilden. Dabei handelt es sich um einen Renten-Index, der die Entwicklung von Staatsanleihen mit Laufzeiten von 3-5 Jahren verfolgt, die von der deutschen Bundesregierung begeben wurden. Für alle Anleihen ist ein ausstehendes Volumen von mindestens zwei Milliarden Euro erforderlich, um für eine Aufnahme in den Index in Betracht zu kommen.
mehr
Source: db X-trackers
db x-trackers bond index ETFs on euro zone and German government bonds launched on Xetra
March 20, 2012--Two new exchange traded funds issued by db X-trackers II, a subsidiary of Deutsche Bank, have been tradable in the XTF segment on Xetra since Tuesday.
ETF name: db x-trackers II iBoxx € Germany 3-5 TRI ETF
Asset class: bond index ETF
ISIN: LU0613540854
Total expense ratio: 0.15 percent
Distribution policy: distributing
Benchmark: iBoxx € Germany 3-5 Index
ETF name: db x-trackers II iBoxx € Sovereigns Eurozone AAA 1-3 TRI ETF
Asset class: bond index ETF
ISIN: LU0613540938
Total expense ratio: 0.15 percent
Distribution policy: non-distributing
Benchmark: iBoxx € Sovereigns Eurozone AAA 1-3 Index
The db x-trackers II iBoxx € Germany 3-5 TRI ETF offers investors access to the government bond market of the Federal Republic of Germany with the opportunity to react to interest rate expectations within the maturities of three to five years.
The db x-trackers II iBoxx € Sovereigns Eurozone AAA 1-3 TRI ETF enables investors to participate in the performance of government bonds with maturities of one to three years, issued by euro zone governments and with average ratings of AAA.
Source: Xetra
IMF Working paper-CDS Spreads in European Periphery--Some Technical Issues to Consider
March 19, 2012--Summary: This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic recovery in CDS models when estimating probability of default (PD) and suggests that stochastic recovery may be a better harbinger of distress signals than fixed recovery.
Similarly, PDs derived from CDS data are risk-neutral and may need to be adjusted when extrapolating to real world balance sheet and empirical data (e.g. estimating banks losses, etc). Another technical issue pertains to regressions trying to explain CDS spreads of sovereigns in peripheral Europe - the model specification should be cognizant of the under-collateralization aspects in the overall OTC derivatives market. One of the biggest drivers of CDS spreads in the region has been the CVA teams of the large banks that hedge their exposure stemming from derivative receivables due to non-posting of collateral by many sovereigns (and related entities).
view the IMF Working paper-CDS Spreads in European Periphery--Some Technical Issues to Consider
Source: IMF
Taking action on shadow banking: avoiding new sources of risk in the financial sector
March 19, 2012--So that the EU learns all the lessons from the crisis, it is implementing ambitious regulatory reforms in the financial sector in general and in the banking sector in particular.
This will contribute to creating a stronger and sounder financial sector at the service of the real economy. As part of these reforms, it is now time to deal with the growing area of non-bank credit activity, or so-called "shadow banking", which has so far not been a prime focus of prudential regulation and supervision. To a certain extent, shadow banking performs important functions in the financial system. For example it creates additional sources of funding and offers investors alternatives to bank deposits. But it can also pose potential threats to long-term financial stability because unknown sources of risk accumulate in the financial sector and there are potential spill-over effects from the shadow banking sector to the regular banking sector.
In response to invitations by the G20 in Seoul in 2010 and in Cannes in 2011, the Financial Stability Board (FSB) is in the process of developing recommendations on the oversight and regulation of these entities and activities. With today's consultation in the form of a Green Paper, the Commission is participating actively in the ongoing FSB work.
Internal Market and Services Commissioner Michel Barnier said: "The European Union has shown global leadership in implementing ambitious reforms in the area of financial regulation, in particular for banks. What we do not want is for financial activities and entities to circumvent existing and foreseen rules, allowing new sources of risk to accumulate in the financial sector. That is why we need to better understand what shadow banking actually is and does, and what regulation and supervision may be appropriate, and at what level. We must shed light on all parts of the financial sector."
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Source: Europa
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