Global ETF News Older than One Year
EDHEC Case Studies and Risk Management in Commodity Derivatives Trading
January 23, 2012--Until recently, one could only gain expertise in commodity-derivatives relationships if one had worked in niche commodity-processor companies or in banks that specialised in hedging project risk for natural-resource companies.
The contribution of this article is to help fill the knowledge gap in the risk management of commodity derivatives trading. The article emphasises the constant challenges to a trader when attempting to navigate the very dynamic flows of both the commodity markets and the prevailing risk environment. The article also emphasises that operational controls are paramount in an age of increasing legal and regulatory risk, particularly for firms involved in large-scale commodity derivatives trading.
Source: EDHEC
Thomson Reuters Launches Fixed Income Global Snapshot To Provide Greater Transparency And Flexibility To Investors
January 23, 2012--Thomson Reuters today announced the launch of a new evaluated pricing capability, the Fixed Income Global Snapshot (FIGS). By re-evaluating all non US fixed income securities with updated benchmark curves and credit spreads at both 3pm and 4pm, Eastern Daylight Time. FIGS will provide investors with updated, accurate fixed income evaluations and transparency they need to meet regulatory requirements and have a full understanding of the risks associated with the investment process.
The expansion into US snap times has been driven by market volatility, customer demand and the focus on the need for appropriate and consistent evaluations, that regulations such as Basel III and the Alternative Investment Fund Managers Directive (AIFMD) have fuelled. The new fair market evaluation service will utilize Thomson Reuters standard methodologies which incorporate trade prices, broker quotes, the latest available news, and vigorous quality control checks. The Asian, Middle East, African, and European fixed income securities were previously valued intraday and at the close within their local markets.
Source: Thomson Reuters
2011 WFE Market Highlights
January 19, 2012--2011 equity volumes remained stable despite a fall in market capitalization. Derivatives, bonds, ETFs, and securitized derivatives continued to grow strongly.
Total turnover value remained stable in 2011 at USD 63 tn despite a sharp decrease of the global market capitalization (-13.6% at USD 47 tn).
High volatility and global uncertainty created from the sovereign debt crisis affected volumes all year through and made August 2011 the most active month in terms of trading value, a highly unusual annual peak for markets.
Despite overall unfavorable conditions for primary markets in several regions, WFE members increased their total listings by 1.7% totaling 45 953 companies listed.
Total number of trades decreased by 6.4% at 112 tn. This trend combined with the stability of turnover value led to a small increase in the average size of transaction which was USD 8 700 in 2011.
The high volatility and lack of confidence that affected financial markets globally probably drove the needs of hedging as derivatives contracts traded grew by 8.9%. WFE members continued to diversify their products range as other products such as bonds, ETFs, and securitized derivatives all had solid growth in 2011.
Source: WFE
IEA-Highlights of the latest Oil Market Report
January 19, 2012--Oil markets began the New Year confronting a host of supply issues, not least a pending EU ban on Iranian oil imports and retaliatory threats from Tehran to close the Strait of Hormuz, through which flows roughly one-third of world oil exports. Oil prices jumped $4 5/bbl on the reports, but eased on mounting euro zone debt issues. Brent was last trading near $112/bbl and WTI at $100.50/bbl.
Clear signs of economic weakness tipped global oil demand into a declining year-on-year trend at the end of 2011, down 0.3 mb/d in 4Q11, its first such drop since the tail-end of the credit crunch. The significantly lower starting point has accordingly trimmed global oil demand growth to 1.1 mb/d for 2012 (from 1.3 mb/d previously).
Non-OPEC supply fell by 140 kb/d to 53.2mb/d in December, as rising North Sea output only partially offset a seasonal decline in biofuels and lacklustre supply from the FSU. Middle East unrest and other unplanned outages limited annual growth in 2011 to only 45 kb/d. A rebound to 340 kb/d growth is expected for 1Q12, and 1.0 mb/d for 2012 overall, as non-OPEC output averages 53.7 mb/d.
Source: International Energy Agency (IEA)
Momentum to drain from world economy in 2012: poll
January 19, 2012--The world economy will lose momentum in 2012 but it will keep moving in the right direction, according to Reuters polls of around 600 economists who said crisis-hit Europe would drag on global growth.
Asian economies will again power the expansion of the world economy this year, but with relatively subdued performances. The United States, meanwhile, should continue to contribute modest growth that will easily outpace its recession-hit European peers.
Source: Reuters
IOSCO publishes principles on suspension of CIS redemptions
January 19, 2012--The Technical Committee of the International Organization of Securities Commissions (IOSCO) has published its final report, Principles on Suspensions of Redemptions in Collective Investment Schemes, which contains principles regarding the suspension of redemptions for open-ended collective investment schemes (CIS).
The principles reflect a common level of approach and provide standards against which both regulators and the industry can assess the quality of regulation and industry practices concerning suspensions of redemptions.
Principles for Suspension of Redemptions of Collective Investment Schemes
The principles, which are based on the CIS responsible entities’ basic duty to manage CIS liquidity on an on-going basis so as to avoid suspensions to the extent possible, generally cover all types of open-ended CIS which offer a continuous redemption right, and apply irrespective of whether they are offered to institutional or retail investors. They are addressed to those entities responsible for the overall operation of the CIS and in particular its compliance with the legal/regulatory framework in the respective jurisdiction and thus for the implementation of the principles. The delegation of activities may not be used to circumvent the principles and there should be compliance with the principles, whether activities are performed directly or through a third party.
view the Principles on Suspensions of Redemptions in Collective Investment Schemes Final Report
Source: IOSCO
Dow Jones Industrial Average Component Companies Increase Expected Annual Dividend Distribution For 2012 By 12.34% From A Year Ago
Survey By Dow Jones Indexes Also Indicates Expected Annual Dividend Distribution From DJIA’s 30 Stocks To Rise 1.94% From Previous Quarter - DJIA Components’ Dividends Represent 38% Of Total U.S. Stock Market Payouts - Dividend Data Provides Insight Into Outlook Of Bellwether U.S. Corporations, Dow Jones Indexes Says
January 19, 2012--– The Dow Jones Industrial Average‘s 30 component companies are expected to increase their annual dividend payout by 12.34% for 2012 compared with 2011, according to a survey by Dow Jones Indexes.
The expected annual dividend distribution as of the end of 2011’s fourth quarter will rise by 1.94% from the previous quarter, the survey also indicates.
DJIA component companies’ $104.7 billion expected dividend distribution for the 12 months beginning January 1, 2012, represents 38% of all indicated annual dividends (IAD) by U.S.companies as measured by the Dow Jones U.S. Index, a gauge that accounts for roughly 95% of the U.S. equity market. (IAD is a forward-looking measure defined as a company’s most recently paid quarterly dividend multiplied by four.)
For the quarters ended September 30, 2011 and December 31, 2011, DJIA component companies paid $102.7 billion and $93.2 billion in IAD, respectively.
Source: Dow Jones Indexes
World Bank-Global Economic Prospects 2012
January 18, 2012—Developing countries should prepare for further downside risks, as Euro Area debt problems and weakening growth in several big emerging economies are dimming global growth prospects, says the World Bank in the newly-released Global Economic Prospects (GEP) 2012.
Overview and main messages
The world economy has entered a very difficult phase characterized by significant downside risks and fragility.
The financial turmoil generated by the intensification of the fiscal crisis in Europe has spread to both developing and high-income countries, and is generating significant headwinds.
Capital flows to developing countries have declined by almost half as compared with last year, Europe appears to have entered recession, and growth in several major developing countries (Brazil, India, and to a lesser extent Russia, South Africa and Turkey) has slowed partly in reaction to domestic policy tightening.
As a result, and despite relatively strong activity in the United States and Japan, global growth and world trade have slowed sharply.
Indeed, the world is living a version of the downside risk scenarios described in earlier editions of Global Economic Prospects (GEP), and as a result forecasts have been significantly downgraded.
The global economy is now expected to expand 2.5 and 3.1 percent in 2012 and 2013 (3.4 and 4.0 percent when calculated using purchasing power parity weights), versus the 3.6 percent projected in June for both years. High-income country growth is now expected to come in at 1.4 percent in 2012 (-0.3 percent for Euro Area countries, and 2.1 percent for the remainder) and 2.0 percent in 2013, versus June forecasts of 2.7 and 2.6 percent for 2012 and 2013 respectively. Developing country growth has been revised down to 5.4 and 6.0 percent versus 6.2 and 6.3 percent in the June projections.
Reflecting the growth slowdown, world trade, which expanded by an estimated 6.6 percent in 2011, will grow only 4.7 percent in 2012, before strengthening to 6.8 percent in 2013.
However, even achieving these much weaker outturns is very uncertain. The downturn in Europe and weaker growth in developing countries raises the risk that the two developments reinforce one another, resulting in an even weaker outcome.
view the Global Economic Prospects-Uncertainties and Vulnerabilities-January 2012
Source: World Bank
Swaps Dealers Will Spend $504 Million in 2012 to Create and Market Liquidity Aggregation Systems to Buy-Side Clients, Says TABB
Historical Data and First-Hand Accounts of Change in FX, US Treasuries and Institutional Equities Demonstrates How Technology and Regulation, or Lack Thereof, Will Cause Swaps Liquidity to Fragment
January 18, 2012--Despite the fact that swaps execution facilities (SEFs) don’t technically exist yet and swaps market liquidity isn’t fragmented today, swaps dealers tell TABB Group in a new research report that they intend to spend millions to create, implement and market swaps liquidity aggregation systems to their buy-side client base.
According to Kevin McPartland, a TABB principal, director of fixed income research and author of “Swaps Liquidity Aggregation: Best Execution to Product Selection,” liquidity in the most liquid parts of the swaps market is going to fragment. “Whether there will be three or as many as 10 SEFs per asset class remains unclear, but finding the size you need at the right price will become less about who you know and more about the quality of your aggregation technology.”
The new report is based upon conversations with swaps dealers, proprietary trading firms, hedge funds, swap-execution facilities and technology providers. It examines historic precedent for market automation and liquidity fragmentation and the impact of proposed regulation and technology innovation on swaps market liquidity. The report also examines approaches being utilized to re-aggregate swaps liquidity via SEF aggregation technology.
Source: TABB Group
Clearstream and Strate explore collateral management cooperation for South Africa
The two companies have entered into exclusive negotiations to explore the development of the new service for South Africa * Strate clients would benefit from a more efficient use of their domestic collateral * South Africa would be the third market, after Brazil and Australia, to use the Liquidity Hub GO outsourcing service from Clearstream
January 18, 2012--On 18 January 2012, Clearstream and Strate, the South African central securities depository, signed a Letter of Intent (LOI) aimed at exploring a new triparty collateral management service for South Africa.
The service intents to target the collateralisation of exposures in the South African market. Under the LOI, Strate will look to utilise Clearstream’s collateral management infrastructure, the Global Liquidity Hub, for the allocation, optimisation and substitution of local collateral.
The system operates on a fully automated basis in real time and could enable Strate clients to handle their domestic collateral holdings and exposures more efficiently without the need to move collateral out of the domestic South African environment.
Jeffrey Tessler, CEO Clearstream, said: “The ongoing financial crisis and regulatory initiatives like EMIR or reforms like Basel III require market participants to improve their liquidity management. Companies need to more efficiently handle their collateral holdings and exposure, and our outsourcing service addresses this industry concern.
Source: Clearstream
