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Newly launched VSTOXX Mid-Term Futures Index licenses to Barclays Capital
October 11, 2010--STOXX Limited, a global index provider and creator of the leading European equity indices, today announced the launch of the EURO STOXX 50 Volatility Mid-Term Futures Index (VSTOXX Mid-Term Futures Index). The new index is an addition to the existing VSTOXX Short-Term Futures Index. Both indices measure the performance of a hypothetical, rolling portfolio invested into constant maturity implied volatilities on the underlying EURO STOXX 50 Index.
The VSTOXX Mid-Term Futures Index has been licensed to Barclays Capital to underlie an exchange-traded note (ETN).
“The VSTOXX Mid-Term Futures Index is the latest addition to our range of innovative and complex strategy indices,” said Hartmut Graf, chief executive officer, STOXX Ltd. “With a rising interest in volatility as an asset class of its own, the new index complements the existing VSTOXX Short-Term Futures Index. We are now offering market participants an opportunity to also measure the return from rolling long positions in the mid-term EUREX VSTOXX futures contracts through a sophisticated and rules-based index.”
“The launch of the second investible VSTOXX Futures Index complements the existing VSTOXX offering by providing access to longer dated volatility exposure, which typically exhibits lower carry costs in stable markets," said Antti Suhonen, head of origination, Equity and Fund Structured Markets (EFS) at Barclays Capital. "It therefore could be suited for buy-and-hold investors wishing to allocate part of their portfolio to an asset class which may deliver positive returns in times of market distress. Barclays Capital will soon offer direct access to the index in a simple and transparent format through an iPath ETN.”
The VSTOXX Mid-Term Futures Index replicates a hypothetical portfolio which measures the returns from a rolling investment made into four VSTOXX futures contracts traded on EUREX with a remaining maturity of four, five, six and seven months.
At the beginning of the futures contracts’ maturity, the weight of the index is allocated in equal parts to the fourth, fifth and sixth month contracts. The index then rolls from the fourth month futures contract into the seventh month futures contract. On a daily basis a fraction of the fourth month contract is sold and an equal notional amount of the seventh month contract is bought until the next settlement date, at which the index roll is complete and the fourth month EUREX VSTOXX futures contract is settled. On the EUREX VSTOXX futures settlement date, all of the weight is allocated to the fifth, sixth and seventh month futures contract. At this point, the remaining maturity of the fifth month contract is four months, therefore it becomes the new fourth month contract, and the index is gradually rolled into a new futures contract with a seven month maturity. During the roll period, the weight allocated to the fifth and sixth month futures contracts are not being changed.
The VSTOXX Mid-Term Futures Index is available in excess and total return versions. In the total return version of the index, the investment into the futures contracts is fully collateralized by a daily investment into the EONIA market (Euro Over Night Index Average). The interest earned from this collateralization is re-invested into the portfolio on a daily basis.
The VSTOXX Mid-Term Futures Index is part of the STOXX Strategy Index family. Further information on the STOXX Strategy Indices is available at www.stoxx.com.
Source: STOXX
ETF Securities confirms preparation of physically backed industrial metal ETCs
October 11, 2010--In response to recent discussions in the press and the market following publication by the London Metal Exchange (LME) that ETF Securities has opened a metal account at the LME, ETF Securities wishes to confirm it is preparing to launch a range of physically backed industrial metal exchange traded commodities (ETCs), subject to approval from relevant regulators and the London Stock Exchange. The industrial metal range of ETCs will include physical aluminium, copper, lead, nickel, tin and zinc, as well as a basket consisting of all six metals.
It is proposed that applications and redemptions by market-makers will be made against delivery of LME Warrants1. The LME allows for cash trading and offers hedging, worldwide reference pricing and physical settlement.
The industrial metal backing each product will be stored in LME-approved warehouses. Deutsche Bank A.G., London Branch will provide trading, administrative and custody services relating to the industrial metal and the product generally.
Commenting on the proposed new physical industrial metal ETCs, Graham Tuckwell, Chairman and CEO of ETF Securities said:
"We continue to see strong demand for industrial metals and investors have often asked us to provide a product that is priced off and backed by physical metal. This new platform is intended to provide investors with exposure to physical industrial metal without the need to purchase and store such metal directly. We believe that our proposed product structure and the use of LME Warrants will provide secure and transparent access to the physical metals market. These products will complement our existing offerings which are priced off futures prices rather than cash market prices."
Further information on the products will be published in due course, subject to approval from relevant regulators and the London Stock Exchange.
Source: ETF Securities
New Practices in the Istanbul Stock Exchange Stock Market
October 8, 2010-- Trading party member codes included in inquiries of transactions executed in the Stock Market shall not be displayed, whereas executed transactions shall be sent to the data vendors without buyer and seller information, starting from October 8, 2010. Trading books including member codes will be available for the ISE members at the end of day T+1.
Order cancellation shall be unconditionally allowed in the ISE Stock Market, effective from October 8, 2010. Henceforth, orders pending in the Stock Market Trading System may be cancelled one by one, on order basis, in full or in part. This new arrangement however, does not hold for the quotation orders entered for the securities traded with market making method on the Collective Products Market and the Warrants Market. The ISE will charge a fee equal to 0.025 basis points (2.5 millionths) of the TL amount of the cancelled orders.
Stock Market price ticks will start to be reduced gradually on November 1, 2010.
read more SIX Swiss Exchange launches new product segment for Exchange Traded Products (ETPs)
The Additional Rules for the Listing of Exchange Traded Products enter into force on 15 October 2010. The first products in this new segment are expected to appear during November 2010 at SIX Swiss Exchange. In order to ensure continuous, liquid trading on the Exchange, at least one market maker will be appointed for each product. SIX Swiss Exchange is providing an efficient trading platform and the requisite market controls. ETPs are not investment funds and are thus not governed by the Swiss Federal Act on Collective Investment Schemes (CISA). They are subject to a standard listing procedure overseen by SIX Exchange Regulation. The rules pertaining to the admission of ETPs and maintaining their listing have been drafted by the SIX Swiss Exchange Regulatory Board and approved by the Swiss Financial Market Supervisory Authority FINMA. Deutsche Börse: HSBC joins XTF segment as new ETF issuer “By listing our ETF range in Germany, we are expanding our existing offering and thus meeting the increasing demand from institutional and private investors and from wealth management,” said Heiner Weber, member of the Management Board of HSBC Global Asset Management (Deutschland) GmbH.
Six of the HSBC ETFs soon to be tradable on Xetra will enable investors to participate in the performance of companies from the following countries and regions of the MSCI index family: Brazil, Japan, USA, Europe, emerging markets from the Far East and the pacific-ex Japan.
HSBC ETFs will also soon be tradable on Xetra on the S&P 500 and EURO STOXX 50 indices. The HSBC ETF S&P 500 enables investors to track the performance of the S&P 500 Index, which comprises the 500 largest US stock corporations. The HSBC EURO STOXX 50 ETF allows investment in the performance of the 50 largest companies from twelve euro zone countries.
The table attached shows the new HSBC ETFs in Xetra, their ISIN, management fees and expected trading start on Xetra. HSBC ETFs on Xetra Revision protocol of the guidance to report transactions on OTC derivatives (ref CESR/10-661)
2. Protocol - Initiation of the revision of the guidance
- Work stream to update the guidance
- Publication of the updated version of the document view Revision protocol of the guidance to report transactions on OTC derivatives (ref CESR/10-661) Thomson Reuters MiFID Monthly Market Share Reports For September 2010 view the Main Trading Venues For all European Equities Monthly summarised data on a per market and index basis view Monthly summarised data on a per market and index basis-by region & country CESR-How to report transactions on OTC derivative instruments view more CESR Feedback Statement On The Consultation On Guidance To Report Transactions On OTC Derivative Instruments Subsequent CESR Decisions 1. Introduction view feedback ELIX – The new European Electricity Index launched by EPEX Spot and EEX
Source: Istanbul Stock Exchange (ISE)
SIX Swiss Exchange paves way for broader choice of exchange-traded products and further growth.
October 8, 2010--In drafting a new regulatory standard, SIX Swiss Exchange has completed the groundwork for launching a new segment for Exchange Traded Products (ETPs). SIX Swiss Exchange is thus promoting product diversity and enabling issuers to offer investors innovative solutions.
Exchange Traded Products are collateralized, non-interest-bearing bearer debt securities. They track the performance of an underlying asset either with or without leverage.
Source: SIX Swiss Exchange
HSBC equity index ETF tradable on Xetra since Friday/ Eight more HSBC ETFs to join by mid October
October 8, 2010-- The first exchange-traded index fund issued by HSBC ETFS has been tradable on Xetra since Friday.
“Deutsche Börse welcomes HSBC as a new issuer on the first and largest ETF trading platform in Europe. We are delighted to be expanding the offering in our XTF segment to 720 products today thanks to HSBC,” said Rainer Riess, Managing Director at Deutsche Börse.
The first HSBC equity index fund tradable on Xetra, the HSBC FTSE 100 ETF (ISIN: DE000A1C0BC5), allows investors to participate in the performance of the 100 largest and best-performing companies based in the UK.
Source: Deutsche Börse
October 8, 2010--1. Introduction
In July 2010, CESR issued guidance to indicate to investment firms in Europe how to report transactions on OTC derivative instruments. Due to the speedy evolution of the OTC market and the number of other work streams in the European regulatory area, it was felt that CESR needed to define a revision protocol for this guidance to ensure their smooth and efficient revision when necessary.
This document aims to describe the main elements of this protocol as well as the different steps required before publication of a revised version of the guidance.
This protocol contains three main phases:
Source: CESR
October 8, 2010---Trading is fragmenting between exchanges and competing venues. But by how much and which venues? Find out in the summarised monthly reports.
view All European Equities Market Activities by Trade Type-September 2009 thru September 2010
Source: Thomson Reuters
October 8, 2010--I. Introduction
A. Transaction reporting in Europe
Competent authorities (“CAs”) throughout the European Economic Area are committed to detecting market abuse and maintaining the integrity of their markets. The receipt and examination of transaction reports are essential elements in enabling CAs to detect market abuse and the Market in Financial Instrument Directive (MiFID) gives CAs the power and obligation to collect transaction reports on instruments admitted to trading on regulated markets.
However, many CAs have noted that there are a range of OTC (over the counter) financial instruments that mirror instruments admitted to trading on regulated markets that can equally be used for the purposes of market abuse. Some CAs extended the collection of transaction reports to include OTC instruments whose value is derived from instruments admitted to trading on a regulated market to enhance their ability to detect suspicious activity and maintain the integrity of their markets. Many other competent authorities are currently investigating this option as well.
Source: CESR
(Ref: CESR/10-512)
October 8, 2010--Executive Summary The consultation was well received by respondents and most of them welcomed the opportunity to respond to the questions and to provide CESR Members with their knowledge and view on the subject. For each of the 25 questions in the consultation, this feedback statement presents a summary of the responses received and the subsequent decision taken by CESR.
A summary of the other issues raised by respondents is also included in the last section of this document.
1.1. Transaction reporting in Europe
Competent authorities (“CAs”) throughout the European Economic Area are committed to detecting market abuse and maintaining the integrity of their markets. The receipt and examination of transaction reports are essential elements in enabling CAs to detect market abuse and the Market in Financial Instrument Directive (MiFID) gives CAs the power and obligation to collect transaction reports on instruments admitted to trading on regulated markets.
Source: CESR
October 7, 2010-- EPEX Spot and the European Energy Exchange (EEX) will launch a new European Electricity Index. Referred to as ELIX, the new index will be based on the actual market orders in the EPEX Spot auction for the market areas France, Germany/Austria and Switzerland
ELIX will be calculated in an auction based on the aggregated bid/offer curves of the existing market areas and the rules of EPEX Spot. ELIX is equal to the uncongested price, which means a price under the hypothesis of unlimited cross-border capacity be-tween these market areas. Similar to the existing day ahead market results it will be calculated for every hour of the delivery day. In addition, the average value for base (ELIX Day Base) and peak hours (ELIX Day Peak) will be calculated and published.
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