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CFTC's Division of Swap Dealer and Intermediary Oversight Issues Amended No-Action Letter on the Pay-to-Play Rules for Swap Dealers Conducting Business with Certain Governmental Special Entities
November 29, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued an amended no-action letter addressing the pay-to-play rules applicable to swap dealers who conduct business with certain governmental special entities.
The letter has been amended from the original version that was issued on November 20, 2012.
The pay-to-play rules in Commission Regulation 23.451 restrict a swap dealer from engaging in certain activities with a governmental special entity, if the swap dealer (or a covered associate of the swap dealer) made or solicited contributions to an official of that governmental special entity during the preceding two years, with limited exceptions. The no-action letter provides relief to swap dealers and their covered associates for making certain contributions to officials of certain special entities that may otherwise fall within the scope of Commission Regulation 23.451.
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Source: CFTC.gov
The Trading Profits of High Frequency Traders
Paper Authored By: Matthew Baron, Jonathan Brogaard. Andrei Kirilenko
First Draft: October 2011
Current Draft: November 2012
November 28, 2012--Abstract
We examine the profitability of high frequency traders (HFTs). Using transaction level data with user identifications, we find that high frequency trading (HFT) is highly profitable: HFTs collectively earn over $23 million in trading profits in the E-mini S&P 500 futures contract during the month of August 2010.
The profits of HFTs are mainly derived from Opportunistic traders, but also from Fundamental (institutional) traders, Small (retail) traders, and Non-HFT Market Makers. While HFTs bear some risk, they generate unusually high average Sharpe ratios with a median of 4.5 across firms in August 2010. Finally, HFTs profits are persistent, new entrants have a higher propensity to underperform and exit, and the fastest firms (in absolute and in relative terms) earn the highest profits.
view thge paper-The Trading Profits of High Frequency Traders
Source: Global Economic Intersection
IMF Country Report-Mexico: Selected Issues
November 28, 2012--I. MEXICO: A CLOSER LOOK AT GLOBAL SPILLOVER CHANNELS1
Mexico is a highly open economy with strong real and financial links to the rest of the world. It has close linkages to the U.S. through trade and remittances, and thus is particularly
sensitive to U.S. developments.
In turn, Mexico’s open capital account, good macroeconomic fundamentals and liquid foreign exchange markets have led to a close integration with global
financial markets, resulting in substantial portfolio flows. This warrants close vigilance to
the risks of spillovers from global turbulence.
A. Introduction
1. Mexico is a highly open emerging market with strong linkages to the rest of the world.
view the IMF Country Report-Mexico: Selected Issues
Source: IMF
Knight Capital Group Confirms Receipt Of Proposal From Getco
November 28, 2012--Knight Capital Group, Inc. (NYSE Euronext: KCG) today confirmed that it is in receipt of a proposal letter from Getco.
As a matter of policy, Knight does not comment on interactions with shareholders or shareholder activities including filings.
Source: Knight Capital Group, Inc
S&P Dow Jones Indices Announces Changes In Canadian Indices - A Graduation From TSX Venture Exchange
November 28, 2012--The Toronto Stock Exchange announced today in the Daily Bulletin that the shares of PMI Gold Corporation (TSXVN:PMV) will graduate to trade on TSX at the open of trading on Friday, November 30, 2012.
The ticker symbol will remain "PMV" and the CUSIP number will remain 730153 20 2. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Thursday, November 29, 2012.
PMI Gold is also a constituent of the S&P/TSX Venture Select Index. The company will be removed from this index effective after the close of Thursday, December 6, 2012, at which time it will be listed on TSX.
The company is also a constituent of the S&P/TSX Venture 30 Index. According to methodology, it will remain in this index while trading on TSX until the next semi-annual review of the index in February, 2013.
Source: S&P Dow Jones
Institutional Use of ETFs Keeps Growing
November 28, 2012--Exchange-traded funds have shaken institutional investors to their core. Literally.
According to a survey of 1,117 clients of BlackRock (BLK), nearly 40% of institutional investors are now using ETFs for core allocations, particularly in U.S. domestic and international equity. For individual investors playing at home, take note, this means that a large swath of the big guys are essentially using index funds for their core portfolios.
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Source: Forbes
CIBC Mellon earns expanded Horizons Exchange Traded Funds asset servicing mandate
November 28, 2012--November 28, 2012--CIBC Mellon today announced that Horizons Exchange Traded Funds Inc. and its affiliate AlphaPro Management Inc. (together,, "Horizons ETFs") awarded the company a second fund accounting and administration mandate.
In addition, Horizons ETFs selected CIBC Mellon to provide custody and securities lending services for Horizons' family of actively-managed ETFs.
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Source: CIBC Mellon
Invesco PowerShares Lowers Fees on Six ETF Portfolios
November 28, 2012--Invesco PowerShares Capital Management LLC, a leading global provider of exchange-traded funds (ETFs), today announced lower total expense ratios (TER) for six PowerShares ETF portfolios effective November 21, 2012.
The names and ticker symbols for the PowerShares ETFs lowering fees are listed below:
Fundamentals Weighted
Ticker Fund Name Old TER New TER
PXF FTSE RAFI Developed Markets ex-U.S. Portfolio 0.75% 0.45% (1)
PXH FTSE RAFI Emerging Markets Portfolio 0.85% 0.49% (2)
PAF FTSE RAFI Asia Pacific ex-Japan Portfolio 0.80% 0.49% (2)
FTSE RAFI Developed Markets ex-U.S. Small-Mid
PDN Portfolio 0.75% 0.49% (2) Factor Driven
Ticker Fund Name Old TER New TER
IDHQ S&P International Developed High Quality Portfolio 0.75% 0.45% (1)
SPHQ S&P 500 High Quality Portfolio 0.50% 0.29% (3) "We continuously analyze ways to improve our overall ETF product lineup for investors," said Ben Fulton, Invesco PowerShares managing director of global ETFs. "We believe the lower fees announced today better align the six funds with our existing offerings, and help position the PowerShares family of ETFs for continued growth."
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Source Invesco PowerShares
DB-Synthetic Equity & Index Strategy-North America-US ETF Investment Ideas-Capture the rating upgrade of Industrials with ETFs
November 28, 2012--XLI and beyond...
Comprehensive Guide for US Industrials Sector ETF Investing
Industrials upgraded from Underweight to Overweight
Deutsche Bank's US Equity Strategist, David Bianco, has recently upgraded the Industrials sector from Underweight to Overweight based on an expected increase in business investment, strong capex, attractive valuations, and a favorable view on long-term EM growth coupled with a soft landing for Asia.
At an industry level, the following industries have an Overweight rating: Aerospace & Defense, Electrical Equipment, Industrial Conglomerates, and Machinery; while these other industries have an Underweight rating: Airlines, Building Products, Commercial Services & Supplies, and Trading Companies & Distributions.
ETF recommendations
We provide ETF recommendations for implementing positions in the Industrials sector and the Aerospace & Defense industry. Besides having good product characteristics, we focus on finding the most representative exposure and attractive valuations. We recommend XLI and VIS for the Industrials sector and ITA for the Aerospace & Defense industry.
Full ETF analysis for Industrials ETFs
We also present details for all 14 non-levered long US Industrials ETFs listed in the US, with additional in-depth analysis for the 6 Broad Diversified Industrials and the 3 Aerospace & Defense products. This information can be used as a guide for Industrials ETF investing.
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Source: Deutsche Bank -Synthetic Equity & Index Strategy-North America
CFTC Staff Withdraws Elements of the "Frequently Asked Questions on Reporting of Cleared Swaps"
November 28, 202--Staff of the Commodity Futures Trading Commission (Commission) today withdrew parts of its "Frequently Asked Questions on Reporting of Cleared Swaps." Specifically, staff withdrew the following questions, and their corresponding answers:
"Which party has the authority to select the particular SDR for purposes of cleared swap reporting?"
“May a DCM, SEF or DCO that is also registered as an SDR or legally affiliated with an SDR require counterparties to use their “captive” SDR for reporting swap transactions?”
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Source: CFTC.gov
