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European repo market remains stable despite Eurozone difficulties, ICMA-ERC survey shows
January 18, 2012--The European Repo Council of the International Capital Market Association (ICMA) today released the results of its 22nd semi-annual survey of the European repo market, which took place in December 2011. The survey, which measures the amount of repo business outstanding on 7 December, sets the baseline figure for market size at EUR 6,204 billion.
Analysis of the figures for banks that participated in both the December 2010 and December 2011 surveys shows modest growth in the market of 2.6% year on year, although there was a contraction in market size of 3.3% from the June 2011 survey using a constant sample. The latest survey results reflect continued stability in the repo market despite underlying difficulties for Euro Sovereigns which furnish the majority of the collateral for repo activity.
Heightened risk-aversion among investors was evident in changes in the collateral composition of the market. Overall, the share of government bonds within the pool of EU originated collateral rebounded in this most recent survey to 79.1% of the market from 74.3% in the previous survey. The market share of German collateral continued to fall, touching 20.9% of the total (from 24.9% in December 2010), as risk averse investors became more cautious about lending these safe haven securities. The share of Italian collateral also fell to 7.0% (from 10.3% in the December 2010 survey) possibly reflecting credit concerns.
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Source: International Capital Market Association (ICMA)
EEX to launch OTC Clearing for NBP Gas Futures on 29 February
January 18, 2012--The European Energy Exchange AG (EEX) will expand its product portfolio and offer clearing for bilaterally concluded transactions on the National Balancing Point (NBP) from 29 February 2012.
As of this date, EEX participants can register UK NBP forward transactions conducted off exchange at EEX for clearing and nomination purposes. Clearing of OTC transactions is provided by European Commodity Clearing AG (ECC), which also assumes full settlement of the transactions including physical fulfilment.
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Source: EEX
New Ossiam ETF On The London Stock Exchange
January 18, 2012--Ossiam is listing a new ETF on the London Stock Exchange: Ossiam ETF FTSE 100 Minimum Variance.
The new ETF uses physical replication (no securities lending) to track the performance of the FTSE 100 Minimum Variance TR Index. It will be exclusively listed on the LSE.
Name: OSSIAM ETF FTSE 100 MINIMUM VARIANCE NR
Annual TER : 45 bps
ISIN: LU0705291739 – TIDM : UKMV
Listing date: 18/01/2012
Parity: 1/1
UCITS compliant
Dividend policy: accumulating
Subscription*/redemption in Cash or in kind
SIP and ISA Eligible
INAV : OSSIAM UKMV INAV
Symbol: IUKMV
ISIN : QS0011228788
Reuters RIC: .IUKMV
Bloomberg Ticker: IUKMV
The index is calculated and published b FTSE Group and seeks to deliver the net total return performance of a selection of stocks from the FTSE 100 with the intention of mitigating risk. As for our previously launched ETF on Minimun Variance approach, the methodology is intended to:
Benefit from asymmetric markets (bear and bull markets),
Mitigate drawdowns and volatility (below 1 year performance of previous indices developed with Stoxx and S&P)
The index methodology was developed jointly by FTSE and Ossiam.
Source: Ossiam
Ossiam offers the academic view for low volatility
January 18, 2012--Ossiam has launched a volatility-controlled exchange-traded fund that tracks the FTSE 100 Minimum Variance Index
Exchange-traded funds (ETF) provider Ossiam will list the first FTSE 100 Minimum Variance ETF on the London Stock Exchange (LSE) today, January 18. The ETF is designed to give investors exposure to liquid UK stocks that are weighted to minimise the volatility of the total portfolio.
"The concept of minimum variance is based on risk management techniques," says Isabelle Bourcier, director of development at Ossiam, "and intends to obtain an optimised portfolio that includes a selection of stocks where volatility is among the lowest in the investment universe. It is based on academic research, including works by Haugen et al in 2008, that demonstrates that historically low-volatility stocks had a very attractive performance."
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Source: Risk.net
Euro area annual inflation down to 2.7-EU down to 3.0%-December 2011
January 17, 2011--Euro area1 annual inflation was 2.7% in December 20112, down from 3.0% in November. A year earlier the rate was 2.2%. Monthly inflation was 0.3% in December 2011.
EU3 annual inflation was 3.0% in December 2011, down from 3.4% in November. A year earlier the rate was 2.7%. Monthly inflation was 0.3% in December 2011.
These figures come from Eurostat, the statistical office of the European Union.
Inflation in the EU Member States
In December 2011, the lowest annual rates were observed in Sweden (0.4%), Malta (1.3%) and Bulgaria (2.0%), and the highest in Slovakia (4.6%), Poland (4.5%) and Cyprus (4.2%). Compared with November 2011, annual inflation fell in twenty-one Member States, remained stable in two and rose in two.
The lowest 12-month averages4 up to December 2011 were registered in Sweden (1.4%), Slovenia and the Czech Republic (both 2.1%), and the highest in Romania (5.8%), Estonia (5.1%) and Latvia (4.2%).
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Source: Europe
EU bailout fund bonds see strong demand after downgrade
January 17, 2012--The EU's bailout fund, the EFSF, enjoyed strong demand Tuesday at an auction of six-month debt, Germany's central bank said, only a day after ratings agency Standard and Poor's downgraded it.
The Bundesbank, which organised the auction, said it received 4.6 billion euros' ($5.9 billion) worth of bids for the 1.5 billion euros of six-month bonds on offer, at an average rate paid to buyers of 0.2664 percent.
The bid-cover ratio, closely watched by the markets, was 3.1, meaning the auction of the first such EFSF offer of 6-month debt paper was heavily oversubscribed.
Christophe Frankel, deputy head of the fund, commented: "The success of today's auction confirms investors' confidence in the EFSF as a high quality issuer."
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Source: EUBusiness
Deutsche Börse acquires China Consumer Sentiment Survey
January 17, 2012--Deutsche Börse – Market Data & Analytics has acquired the China Consumer Sentiment Survey (CCSS), a leading indicator of consumer outlook across 30 major Chinese cities, from Intage Hyperlink Market Consulting (Shanghai) Co., Ltd. The deal closed on 30 December 2011 for an undisclosed amount of less than one million USD via Deutsche Börse subsidiary Market News International (MNI).
The CCSS is one of the most widely followed gauges of consumer confidence in mainland China. It measures consumer sentiment on current conditions and future expectations on a series of key variables, such as confidence about economic conditions, personal financial situation and the willingness to make major purchases, such as automobiles. It also measures consumers’ views about the state of stock and real estate markets and their sentiment about current and future inflation.
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Source: Deutsche Börse
Four new Lyxor commodity index ETFs launched on Xetra
ETFs cover inverse performance of agriculture and livestock, and industrial metals for the first time
January 17, 2012--Deutsche Börse continues to expand its XTF segment for exchange-traded index funds. Four new Lyxor commodity index ETFs have been tradable in the XTF segment since Tuesday.
The Lyxor ETF S&P GSCI Inverse Agriculture & Livestock 1 Month Forward and Lyxor ETF S&P GSCI Inverse Industrial Metals 1 Month Forward ETF offer investors their first opportunity to track the inverse performance of baskets of commodities from the agricultural and livestock sector and the industrial metals sector.
The positive performance of the same sectors can be tracked by means of the two Lyxor ETFs, S&P GSCI Agriculture & Livestock 3 Month Forward and S&P GSCI Industrial Metals 3 Month Forward.
The product offering in Deutsche Börse’s XTF segment currently comprises a total of 912 exchange-listed index funds, while the average monthly trading volume stands at €16 billion.
Lyxor commodity ETFs with ISIN and total expense ratio
Source: Xetra/FWB
WSE Introduces More Futures, Including Contracts on WSE Shares.
January 17, 2012--•On 23 January 2012, two more futures will be introduced to trading: contracts on shares of the Warsaw Stock Exchange and on shares of PBG SA.
According to the standard specification of the instrument, contracts which will be introduced to trading expire on three dates, which are as follows for the first series:
Contracts on WSE shares:
series FGPWH12, expiry date 16 March 2012
series FGPWM12, expiry date 15 June 2012
series FGPWU12, expiry date 21 September 2012
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Source: WSE
Requirements for OTC derivatives data reporting and aggregation: CPSS-IOSCO publishes final report
January 17, 2011--The Committee on Payment and Settlement Systems (CPSS) and the Technical Committee of the International Organization of Securities Commissions (IOSCO) have published their final report on the OTC derivatives data that should be collected, stored and disseminated by trade repositories (TRs).
The committees support the view that TRs, by collecting such data centrally, would provide authorities and the public with better and more timely information on OTC derivatives. This would make markets more transparent, help to prevent market abuse, and promote financial stability.
The final report reflects public comments received in response to a consultative version of the report published in August 2011. Following the consultation exercise, the report was expanded to elaborate on the description of possible options to address data gaps.
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Source: BIS
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