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CFTC Staff Responds to Questions on Timing of Swap Dealer Registration Rules
September 10, 2012--Today, Commodity Futures Trading Commission (CFTC) staff is responding to questions from market participants and other interested parties on the timing of when entities will be required to register as swap dealers.
The CFTC is issuing a Frequently Asked Questions document to help market participants better understand the rules, what is required and by when.
In sum, the swap dealer registration regulations go into effect on October 12, and entities that have more than the de minimis level of dealing (swaps entered into after Oct 12) must register by no later than two months after the end of the month in which they surpass the de minimis level. By way of example, if an entity reaches $8 billion in swap dealing the day after October 12, then the entity would have to register within two months after the end of October, or by December 31.
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Source: CFTC.gov
DB Equity Derivatives and Quantitative Strategy Research-North America-US ETF Market Monthly Review : Risk on sentiment keeps ETP assets around all-time highs
September 10, 2012--ETP assets in the US rose by $24.5bn to $1.22 trillion last month, reaching a new all-time high and boosting AUM growth to a decent 16.4% growth on a YTD basis.
Global ETP industry assets rose to $1.66 trillion, or 15.6% up YTD.
It’s still risk-on below the surface
US ETP flows experienced inflows of $4.9bn during August (+$93.4bn, 8.9% of last year’s AUM).
Within long-only ETPs, total flows were +$3.6bn in August vs. +$15.7bn in July.
Equity, Fixed Income, and Commodity long-only ETPs experienced cash flows of -$3.8bn, +$5.0bn, and +$2.3bn, respectively.
Asset class returns for the month of August clearly point to a comeback to risk, however the ETP flows read may look inconsistent at first glance.
A second look, however, provides further understanding. Most of the outflows from equities (about $5.7bn) came from two ETPs (SPY and IWM) which are commonly used for hedging purposes and hence can experience large cash flow fluctuations which may not be consistent with the underlying investment trend. Excluding these outflows, equity flows would have been positive (about $2.0bn), with inflows to broad EM and DM ex US equities, and flat flows for US equities. Furthermore, investors turned to cyclical sectors while exiting defensive ones. In the fixed income ETP space, investors favored Credit by focusing on Corporates. And in the commodity space, gold was the highlight of the month following the newly reported positions of large hedge fund managers and the likelihood of additional easing. Overall the long-only ETP flows still suggest that the underlying investor sentiment is leaned towards risk on.
Some of the relevant flow trends of the month were: (1) US equity (-$5.9bn), (2) Investment Grade debt (+$3.4bn), and (3) gold (+$2.3bn).
New Launch Calendar: expanding the ETF branches
There were 6 new ETFs listed during the previous month. Four of them were listed in the NYSE Arca, while the other two in the NASDAQ. The new products cover multiple asset classes such as equity, multi asset, and alternative.
The new additions to the ETF offering give access to emerging markets, income-driven investments, and quantitative strategies.
ETP floor activity keep trending lower
ETP turnover totaled $0.97 trillion last month, down by 9.0% from the previous month figure of $1.07 trillion, and also 41% under last year’s monthly average of $1.65 trillion).
ETP trading made up 25.0% of all US cash equity trading in August, down from last year’s peak of 37.5% in August, and still below its 3-year monthly average of 29.0%.
Equity ETPs turnover fell by $106bn or 11.3% to $0.8 trillion during August, meanwhile Fixed Income and Commodity ETPs turnover rose by $2.9bn (totaling $69.8bn) and $8.7bn (totaling $58.5bn) during last month, respectively.
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Source: Deutsche Bank - Equity Derivatives and Quantitative Strategy Research - North America
Virtus Wealth Masters Fund Launches Based on ISE Index
Virtus Wealth Masters Fund Tracks the Horizon Kinetics ISE Wealth Index
September 10, 2012--The International Securities Exchange (ISE) today announced that the Virtus Wealth Masters Fund (Tickers: VWMAX, VWMCX, VWMIX), which tracks the Horizon Kinetics ISE Wealth Index (Ticker: RCH), was launched by Virtus Investment Partners, Inc. (NASDAQ: VRTS).
It is the first mutual fund based on an index jointly developed by ISE and Horizon Kinetics LLC.
The Horizon Kinetics ISE Wealth Index includes companies whose senior managements have demonstrated track records of skill and specific industry knowledge that have translated into long-term shareholder value creation. These individuals have also used their respective companies as the primary means of accumulating substantial personal wealth, such as with index components Berkshire Hathaway (Ticker: BRK/B) led by Chairman Warren Buffet and Liberty Media Corporation (Ticker: LMCA) headed by Chairman John Malone. The fund began trading on September 6, 2012.
“We are very excited to expand the product portfolio of our index development group to include the Virtus Wealth Masters Fund, the first mutual fund tracking a Horizon Kinetics-ISE index to debut,” said Kris Monaco, Head of New Product Development at ISE. “Working with our partners at Horizon Kinetics, this index offers a unique view into the role that insider wealth can have on the performance of publicly traded companies, and the introduction of the Virtus Wealth Masters Fund provides investors with an opportunity to gain exposure to these high-performance businesses and their seasoned management teams.”
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Source: International Securities Exchange (ISE)
Institutional investors accounted for largest share of ETF trading on BM&FBOVESPA in August
September 10, 2012--Institutional investors accounted for 35.8% of the total volume of exchange-traded funds traded on BM&FBOVESPA in August. Financial investors ranked second with 24.5%, followed by foreign investors with 23.9%, individual investors with 12.8% and private- or public-sector corporations with 3.1%.
iShares Ibovespa Fundo de Índice ( BOVA11 ) was the most traded ETF on BM&FBOVESPA in August, accounting for 89.8% of the total trading volume in all the ETFs available on the Exchange.
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Source: BM&FBOVESPA
AlphaClone Hedge Fund Long/Short Index shows move away from financial sector
September 7, 2012--Hedge fund managers tracked by the AlphaClone Hedge Fund Long/Short Index distanced themselves from financial sector investments in the second quarter, representing a steep reversal from the previous quarter in which financials were the index's most overweight sector relative to the S&P 500.
“The bearish stance may illustrate conviction among hedge funds that financials are fully valued at these levels, especially in light of various high profile scandals that affected the sector negatively,” says Mazin Jadallah (pictured), chief executive of AlphaClone.
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Source: HedgeWeek
CFTC.gov Commitments of Traders Reports Update
September 7, 2012--The current reports for the week of Setpember 4, 2012 are now available.
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Source: CFTC.gov
ISE Introduces 50 cent strike price intervals in weekly options
September 7, 2012--The International Securities Exchange (ISE) today announced that it has received SEC approval to introduce $0.50 strike price intervals in weekly options. The exchange began listing weekly options in the more granular $0.50 strikes yesterday, offering an expanded range of strike prices and potentially a lower cost of entry to investors who are using weekly options to effect their trading and hedging strategies.
This new program extends to weekly options classes that currently trade in one dollar increments, and all other contract terms remain unchanged.
“The weekly options program has become one of the most popular product offerings and strongest growth areas since its industry-wide expansion two years ago,” said Boris Ilyevsky, Managing Director of ISE’s options exchange. “The introduction of $0.50 strike price intervals will attract further interest from investors who are seeking greater trading opportunities and the ability to more closely tailor their investment and risk management strategies.”
The new program will apply to the ninety-three underlyings with weekly options classes that trade in dollar strike price intervals. Weekly options currently represent approximately 11.7 percent* of industry-wide options volume.
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Source: International Securities Exchange (ISE)
RBS PLC Launches The RBS US Large Cap Alternator Exchange Traded Notes
September 7, 2012--RBS Securities Inc. (RBSSI) today announced the launch of the eighth exchange traded product in its growing suite of Exchange Traded Notes (ETNs). The RBS US Large Cap Alternator Exchange Traded NotesTM will be issued by The Royal Bank of Scotland plc (RBS) and will be listed on NYSE Arca, Inc. under the ticker "ALTL."
The RBS US Large Cap Alternator Exchange Traded Notes (NYSEArca:ALTL) are designed for investors who seek exposure to the RBS US Large Cap Alternator Index (USD) (the “Index”), an index that utilizes a relative strength strategy to provide exposure to either the SP 500® Total Return Index, the SP 500® Low Volatility Total Return Index or the SP 500® Equal Weight Total Return Index, depending on the relative performance of the three underlying indices based on their average historical returns.
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Source: RBS Markets International Banking (MIB)
SEC Reschedules Date of Market Technology Roundtable
September 6, 2012--The Securities and Exchange Commission today announced that its market technology roundtable, which was scheduled for Sept. 14, will be held on Oct. 2.
The change was made to accommodate scheduling conflicts and to better respond to strong interest from individuals and groups wishing to participate in the roundtable discussion.
The roundtable at the SEC’s Washington, D.C. headquarters is open to the public and will be webcast. As previously announced, the event will begin with a discussion on preventing errors, focusing on current best practices and practical constraints for creating, deploying, and operating mission-critical systems, including those used to automatically generate and route orders, match trades, confirm transactions, and disseminate data. The afternoon session will focus on error response, with experts discussing how the market might employ independent filters, objective tests, and other real-time processes or crisis-management procedures to detect, limit, and possibly terminate erroneous market activities when they occur, thereby limiting the impact of such errors.
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Source: SEC.gov
Global ETF and ETP assets reach new high of over US$1.7 trillion
September 6, 2012--Data from the latest monthly 'ETFGI Global Industry Insights' report published today by ETFGI LLP, an independent research and consulting firm covering the global ETF and ETP industry ('ETFGI'), reveals that global assets invested in ETFs and ETPs at the end of August reached an all-time high of over US$1.7 trillion (US$1,762 Bn).
Over the past 10 years the compounded annual growth rate (CAGR) of these products globally has been 26.5%. There are currently 4,713 ETFs and ETPs, with 9,620 listings, assets of US$1,762 Bn, from 204 providers on 56 exchanges.
The challenging market conditions currently and over the past few years, combined with the difficulty in finding active managers that consistently deliver alpha, have caused investors to embrace the use of ETFs and ETPs. ETFs provide greater transparency in relation to costs, portfolio holdings, price, liquidity, product structure, risk and return compared to many other investment products and mutual funds.
ETFs are typically open-ended, index-based funds, with active ETFs accounting for less than 1% market share. They can be bought and sold like ordinary shares on a stock exchange and offer a broad exposure across developed, emerging and frontier markets, equities, fixed income and commodities. ETFs are used widely by institutional and increasingly by financial advisors and retail investors to:
equitize cash
implement diversified exposure to a market
comprise a core or satellite investment
be a long term strategic investment
implement tactical adjustments to portfolios
use as building blocks to create entire portfolios
allow investors to hedge the market
use as an alternative to futures and other derivative products
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Source: ETFGI
