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Doubts raised over corporate bond ETFs
June 7, 2012--Large institutional trades in corporate bond exchange traded funds could be distorting the prices of shares in the funds, according to analysts and investors.
Institutional investors have been drawn to ETFs to trade illiquid corporate bond securities, as Wall Street dealers reduce their bond inventories in an effort to reduce risk.
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Source: FT.com
ISDA to Partner with Markit to Develop Compliance Solution
June 7, 2012--The International Swaps and Derivatives Association, Inc. (ISDA) announced today that it has chosen Markit to partner with the Association to develop a technology-based solution that enables counterparties to amend their
over-the-counter (OTC) derivatives documentation for the purpose of facilitating compliance with Dodd-Frank regulatory requirements. ISDA and Markit expect that the solution will also be enhanced to facilitate compliance with regulatory requirements in other jurisdictions as they are finalized.
The Dodd-Frank Act and related regulatory rulemakings impact OTC derivatives documentation by either requiring amendments to such documentation or imposing compliance requirements on market participants that must be satisfied by amending such documentation. Major dealers may have in excess of 10,000 counterparties with whom they have signed Master Agreements, and many end-users may be counterparties with multiple dealers. This creates significant levels of legal and administrative complexity and the potential for duplication of efforts as firms attempt to comply with the new rules.
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Source: ISDA
ISDA-Unique Swap Identifier (USI): An Overview Document
June 7, 2012--Introduction
Various international regulators and supervisory bodies1 have called for the use of three unique identifiers in relation to derivatives data reporting:
Unique Swap Identifier (USI) or Unique Trade Identifier (UTI)
Legal Entity Identifier (LEI) or Unique Counterparty Identifier (UCI)
Unique Product Identifier (UPI)
This paper focuses on one of those identifiers: how to uniquely identify a trade or contract. The CFTC is furthest along in specifying the requirements for this trade identifier. We believe and hope that the majority of the principles can be leveraged and applied internationally and it is indeed the desire from the industry to come up with a global accepted solution for unique trade identifiers. For the remainder of this document though we will focus on the CFTC requirements and hence use the CFTC term of USI.
view paper
Source: ISDA
Federal Reserve Board Approves Final Rule To Implement Changes To Market Risk Capital Rule
June 7, 2012--The Federal Reserve Board on Thursday approved a final rule to implement changes to the market risk capital rule, which requires banking organizations with significant trading activities to adjust their capital requirements to better account for the market risks of those activities.
The final rule implements certain revisions made by the Basel Committee on Banking Supervision to its market risk framework between 2005 and 2010. The final rule will better capture positions for which the market risk capital rule is appropriate, reduce procyclicality in market risk capital requirements, enhance sensitivity to risks that are not adequately captured by the current regulatory methodologies, and increase transparency through enhanced disclosures.
view the Risk-Based Capital Guidelines: Market Risk
Source: Federal Reserve
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices - A Deletion From The S&P/TSX Venture Composite Index
June 7, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The Toronto Stock Exchange announced today in the Daily Bulletin that the shares of Yellowhead Mining Inc. (TSXVN:YMI) will graduate to trade on TSX at the open of trading on Monday, June 11, 2012.
The ticker symbol will remain "YMI" and the CUSIP number will remain 98563A 10 0. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Friday, June 8, 2012.
Source: Standard & Poor's
Bond ETFs smash sales record in May
Investors desperate to find safe havens for their cash put a record $11bn into fixed income exchange-traded funds in May, of which half, totalling $5.6bn, flowed into sovereign bonds.
June 7, 2012--According to a survey by asset manager BlackRock, bond ETF inflows smashed a previous monthly record of $9.1bn set in January 2012.
Sales of ETFs across every sector saw gains of $19.2bn in May.
In the year-to-date, bond ETF inflows hit $36.5bn, a 150% increase on the same period a year ago. In the same period the entire ETF sector saw $85.3bn of inflows, an 18% increase.
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Source: Financial News
CFTC prepares recommendations for swap-clearing requirements
June 7, 2012--Interest rate and credit index swaps will be the first derivatives to face clearing requirements this year under the Dodd-Frank Act, said U.S. Commodity Futures Trading Commission chairman Gary Gensler.
The agency’s staff is preparing recommendations to require clearing of fixed-to-floating interest rate swaps as well as indexes of North American investment grade and high-yield credit swaps, Gensler said in a speech prepared for the Sandler O’Neill Global Exchange and Brokerage Conference in New York.
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Source: Bloomberg
First one a hit so Pimco rolls out three more bond ETFs
Launch comes on the heels of success of exchanged-traded version of flagship fund
June 7, 2012--Pacific Investment Management Co. LLC is following up the success of the Pimco Total Return ETF (BOND) with three more actively managed exchange-traded funds that mimic existing bond funds.
The Newport Beach, Calf.-based firm has filed with the Securities and Exchange Commission to launch ETF versions of its $23.8 billion Pimco Real Return Fund (PRTNX), $21.3 billion Pimco Low-Duration Fund (PTLAX) and the $5.7 billion Pimco Diversified Income Fund Ticker: (PDVAX).
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Source: Investment News
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
June 6, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The Toronto Stock Exchange announced yesterday in the Daily Bulletin that the shares of BTB REIT
(TSXVN:BTB.UN) will graduate to trade on TSX at the open of trading on Thursday, June 7, 2012. The ticker symbol will remain "BTB.UN" and the CUSIP number will remain 11777P 10 2. At the same time as the graduation, the units of the company will be consolidated on a 1-for-5 basis. The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Wednesday, June 6, 2012.
BTB REIT 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 Tuesday, June 12, 2012, at which time it will be listed on TSX.
Source: Standard & Poor's
CFTC Certifies Nine Contracts Submitted by Eurex Deutschland
Contracts may be Offered to U.S. Persons Through Direct Access
June 5, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight today certified nine contracts submitted by Eurex Deutschland (Eurex) for review on April 18, 2012.
The contracts satisfy the requirements of the Commodity Exchange Act and the Commission’s Regulations and may be offered or sold to persons in the U.S. through Eurex’s direct access terminals located in the U.S.
The certified contracts include: Eurex’s STOXX Europe 600, STOXX Europe Large 200, STOXX Europe Mid 200, STOXX Europe Small 200, EURO STOXX, EURO STOXX Large, EURO STOXX Mid,
Source: CFTC.gov
