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JPMorgan revives samurai bond market
February 15, 2011--JPMorgan issued Y111bn ($1.33) of samurai bonds on Tuesday, making it the first US financial institution to do so since the collapse of Lehman Brothers and paving the way for its rivals to raise funds in Japan.
Samurai bonds are yen-denominated debt issued by foreign companies and institutions in Japan to institutional investors.
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Source:FT.com
Testimony of Chairman Gary Gensler before the House Committee on Financial Services
February 15, 2011--Good morning Chairman Bachus, Ranking Member Frank and members of the Committee. I thank you for inviting me to today’s hearing on implementing the Dodd-Frank Wall Street Reform and Consumer Protection Act. I am pleased to testify on behalf of the Commodity Futures Trading Commission (CFTC). I also thank my fellow Commissioners for their hard work and commitment on implementing the legislation.
am honored to appear at today’s hearing alongside fellow regulators with whom we are working so closely to implement the Dodd-Frank Act. I am particularly happy to appear here with Chairman Schapiro, with whom I have a strong working relationship. I believe that this is the eighth time that we have testified together. We have consulted and coordinated closely with the SEC, Federal Reserve and other regulators on rulemakings to oversee the swaps markets. Throughout this process, interagency cooperation has been extraordinary and has improved our proposed rulemakings.
Before I move into the testimony, I want to congratulate Chairman Bachus on becoming Chairman of the Committee. I look forward to working with you and all Members of the Committee.
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Source: CFTC.gov
Exchange-Traded Funds: US ETF Weekly Update Morgan Stanley
February 14, 2011--Weekly Flows:
$3.0 Billion Net Inflows
ETFsTraded $299 Billion Last Week
Launches: 1 New ETF
IndexIQImplements Sub-Advisor Changes
US-Listed ETFs: Estimated Flows by Market Segment
ETFs had net inflows of $3.0 blnlast week, reversing two consecutive weeks of net outflows
Net inflows were led by US Equity ETFslast week (combined $3.2 blnnet inflows)
ETF assets stand at more than $1 trillion, nearly doubling overthe past two years
13-week flows were mostly positive among asset classes
$28.5 billion of net inflows into ETFs over past 13 weeks (majority into US Equity ETFs)
EM Equity ETFsposted meaningful net outflows ($8.1 bln) over the past 13 weeks, a reversal from most of 2010 when EM Equity ETFsgenerated net inflows of $30.5 bln
US-Listed ETFs: Estimated Largest Flows by Individual ETF
After two weeks of net outflows, SPDR S&P 500 ETF (SPY) bounced back last week
SPY posted net inflows of $1.4 bln, the most of any ETF;
13-week flows were slightly negative
The two largest EM Equity ETFs(VWO & EEM) exhibited a combined $2.3 blnin net outflows last week
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Source: Morgan Stanley
No More New Shares Of Double Long Ag ETF
February 14, 2011--Deutsche Bank (NYSE: DB) said it will no longer issue new shares of the PowerShares DB Agriculture Double Long ETN (NYSE: DAG), a popular double leveraged play on agriculture commodities, perhaps in a move to comply with new restrictions set forth by regulators on commodities-related exchange traded products.
Daily repurchases at the option of holders of the notes will not be affected by this suspension, but the product will not be offered to new investors," Deutsche Bank said in a statement.
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Source: International Business Times
U.S. International Reserve Position
February 14, 2011--The Treasury Department today released U.S. reserve assets data for the latest week. As indicated in this table, U.S. reserve assets totaled $133,919 million as of the end of that week, compared to $133,945 million as of the end of the prior week.
I. Official reserve assets and other foreign currency assets (approximate market value, in US millions)
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I. Official reserve assets and other foreign currency assets (approximate market value, in US millions) |
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February 4, 2011 | |||
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A. Official reserve assets (in US millions unless otherwise specified) 1 |
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133,919 | |
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(1) Foreign currency reserves (in convertible foreign currencies) |
Euro |
Yen |
Total | |
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(a) Securities |
9,473 |
15,849 |
25,322 | |
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of which: issuer headquartered in reporting country but located abroad |
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0 | |
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(b) total currency and deposits with: |
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(i) other national central banks, BIS and IMF |
14,309 |
7,776 |
22,084 | |
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ii) banks headquartered in the reporting country |
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0 | |
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of which: located abroad |
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0 | |
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(iii) banks headquartered outside the reporting country |
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0 | |
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of which: located in the reporting country |
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0 | |
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(2) IMF reserve position 2 |
12,738 | |||
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(3) SDRs 2 |
57,690 | |||
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(4) gold (including gold deposits and, if appropriate, gold swapped) 3 |
11,041 | |||
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--volume in millions of fine troy ounces |
261.499 | |||
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(5) other reserve assets (specify) |
5,044 | |||
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--financial derivatives |
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--loans to nonbank nonresidents |
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--other (foreign currency assets invested through reverse repurchase agreements) |
5,044 | |||
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B. Other foreign currency assets (specify) |
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--securities not included in official reserve assets |
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--deposits not included in official reserve assets |
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--loans not included in official reserve assets |
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--financial derivatives not included in official reserve assets |
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--gold not included in official reserve assets |
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--other |
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Source: US Department of the Treasury
ETFs Surge with Schwab Investors
Exchange-traded funds are continuing to gain traction among Charles Schwab’s clients.
February 14, 2011--ETF assets held by the firm’s clients climbed 34% in 2010, compared with 28% growth in the ETF industry overall, according to Schwab. The brokerage’s clients hold more than $111 billion in ETF assets.
ETFs are “still breaking through among retail investors,” according to Beth Flynn, vice president of ETF platform management for Schwab. Retail investors accounted for 37% of ETF assets at Schwab as of December, and their ETF assets grew 61% in 2010.
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Source: Financial Planning
Pimco files with the SEC
February 14, 2011-Pimco has filed a post-effective amendment, registration statement with the SEC for
SHORT DURATION
PIMCO Enhanced Short
Maturity Strategy Fund -MINT NYSE Arca
PIMCO Government Limited Maturity Strategy Fund-GOVY
PIMCO Prime Limited Maturity Strategy Fund -PPRM
TAX-EXEMPT MUNICIPAL
PIMCO Short-Term Municipal Bond Strategy Fund-
SMMU NYSE Arca
TAXABLE MUNICIPAL
PIMCO Build America Bond Strategy Fund-BABZ NYSE Arca
TAX-EXEMPT MUNICIPAL
PIMCO Short-Term Municipal
Bond Strategy Fund-SMMU NYSE Arca
PIMCO Intermediate Municipal Bond Strategy Fund-MUNI NYSE Arca
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Source: SEC.gov
S&P Launches New Series of Indices Combining Core S&P Asset Classes
February 11, 2011--Standard & Poor's, the world's leading index provider, announced today that it has launched a new series of indices intended for investors with differing risk-reward profiles. The S&P Balanced Equity and Bond Indices combine investable S&P measures of the core asset classes of equity and fixed income, with US Treasury pricing provided exclusively by BGCantor Market Data, L.P., resulting in regularly rebalanced multi-asset indices.
The S&P Balanced Equity and Bond Indices are constructed with varying risk-reward profiles allowing investors a choice in the amount of risk embedded in the combined portfolio. Each index in the Series is allocated a pre-defined weight of equity exposure, as represented by the S&P 500 Total Return Index, and bond exposure, as represented by the S&P/BGCantor 7-10 Year U.S. Treasury Bond Index.
The indices currently included in the series are as follows:
S&P Balanced Equity and Bond – Conservative Index. Long position in the S&P 500 Total Return Index (25% weight), and long position in the S&P/BGCantor 7-10 Year U.S. Treasury Bond Index (75% weight).
S&P Balanced Equity and Bond – Moderate Index. Long position in the S&P 500 Total Return Index (50% weight), and long position in the S&P/BGCantor 7-10 Year U.S. Treasury Bond Index (50% weight).
S&P Balanced Equity and Bond – Growth Index. Long position in the S&P 500 Total Return Index (75% weight), and long position in the S&P/BGCantor 7-10 Year U.S. Treasury Bond Index (25% weight).
"The diversification benefit of holding a portfolio of assets with low correlation is well documented," says Michael Kondas, Associate Director of Fixed Income Indices at S&P Indices. "The launch of these new indices allows investors to potentially take advantage of the historically slight correlation in the returns of U.S. equities and U.S. Treasuries."
All of the indices included in the S&P Balanced Equity and Bond Index Series are rebalanced quarterly. On the last trading day of February, May, August, and November, the weights of bond and equity exposure are returned to the pre-defined levels for each index in the series.
For more information, please visit: www.standardandpoors.com/indices.
Source: S&P Indices
Morgan Stanley Report-ETF Tracking Error
February 11, 2011--Tracking error declined across all market segments
and virtually all providers for US-listed ETFs in 2010 and averaged 74 bps. We define tracking error
as the difference in total return between an ETF’s net asset value (NAV) and its underlying index.
In our view, the most common sources of tracking error include fees and expenses, portfolio optimization, and
index changes. Additionally, compliance with IRS/SEC diversification requirements can lead to extreme
tracking error for select ETFs as they may be forced into material weighting and holding deviations from their
stated benchmarks.
We found a narrower range and magnitude of tracking error in 2010 versus 2009. In 2010, the range of tracking error fell 1,125 bps to 584 bps and 67.7% of ETFs exhibited lower tracking error year-on-year with an average decline of 88 bps. In addition, the percentage of ETFs with tracking error greater than 100 bps decreased from 37.1% in 2009 to 22.0% in 2010. Conversely, the percentage of ETFs with tracking error less than or equal to 25 bps increased from 22.6% to 26.4%.
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Source: ETF Research-Morgan Stanley
CFTC.gov Commitments of Traders Reports Update
February 11, 2011-The current reports for the week of February 8, 2011 are now available.
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Source: CFTC.gov
