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Circuit Breakers Mostly Worked, Report Finds
November 8, 2011--Single-stock circuit breakers generally have not been disruptive even when the program was expanded in August – a particularly volatile month – to all NMS securities, according to new research from Ana Avramovic in Credit Suisse’s portfolio strategy group.
Examining the data for the last 16 months, from June 2010, when the Securities and Exchange Commission launched the circuit breaker pilot, through September 2011, Avramovic found 111 individual halts (excluding rights, warrants and penny stocks). Breaking down the trading halts by reason, she found 56 (51 percent) were from fundamental news triggers, 36 (32 percent) were from cheap/illiquid stocks, 12 (11 percent) were from fat fingers and seven (6 percent) were from bad prints.
view report-Pardon the Interruption – The Impact of Trading Halts
Source: TABB Forum
ISE Completes Latest Optimise Upgrade
November 7, 2011--The International Securities Exchange (ISE) this week completed the most recent upgrade to its new trading system based on Deutsche Börse Group's OptimiseTM trading architecture. Technology Release 1.6 is the second major enhancement to the system since the completion of its initial rollout in July 2011.
The compressed release cycle of Optimise allows for greater flexibility to introduce performance enhancements and new functionality while minimizing any additional work for ISE's member firms due to its backward compatibility.
"With a release cycle of approximately every two months, we are constantly working to improve the performance, stability, and functionality offered by Optimise," said Daniel Friel, ISE's Chief Information Officer. "This latest release fine-tunes the already exceptional latency profile of the new system and positions us well for Release 2.0 in mid-December."
Compared to ISE's previous trading system, Optimise has demonstrated latency reduction of approximately 90 percent. Release 1.6 provided incremental improvements to the system's latency profile, with particular emphasis to improve both the median latency and latency tail. With this very solid baseline performance in place, ISE's technology team is now focused on building new functionality for introduction in Release 2.0 later this year.
Source: International Securities Exchange (ISE)
Remarks before the SIFMA 2011 Annual Meeting-Chairman Gary Gensler
November 7, 2011--Good afternoon, I’d like to thank the Securities Industry and Financial Markets Association for inviting me to speak today, and thank you Chet for that kind introduction. I’m looking forward to sitting down with Charlie – and as this is the closest I’ll get to the Charlie Rose show, I’ll be brief.
Lessons of 2008
We’ve all drawn many lessons from the financial crisis in 2008. I’d like to highlight a number that I believe are most relevant.
Foremost, when financial institutions fail, real people’s lives are affected. In 2008, the financial system failed and the regulatory system failed as well.
Three years after these twin failures, we’re still feeling the aftershocks. More than eight million jobs were lost, and the unemployment rate remains stubbornly high. Millions of Americans lost their homes. Millions more live in homes that are worth less than their mortgages. And millions of Americans continue struggling each day to make ends meet.
Secondly, high levels of debt – particularly short-term funding at financial institutions – was at the core of the crisis. When market uncertainty grew, firms quickly found that liquidity problems threatened their solvency.
read more
Source: CFTC.gov
CNSX Starts Listing Structured Products - The Time Is Right Is For A Transparent, Exchange-Traded Debt Market In Canada
November 7, 2011--CNSX Markets Inc. today announced that BAC Canada Finance Company 5 year Extendible Step Up Semi-Annual Pay Medium-Term Notes, Series 1 (the “Notes”) have been posted for trading on the Canadian National Stock Exchange (CNSX). The Notes are trading under symbol BMF.DB.A and the issuer expects to raise up to $20 million. They are currently trading on an “if, as and when issued” basis until November 9, 2011.
The Notes are unsecured and unsubordinated debt securities of BAC Canada Finance Company (formerly Merrill Lynch Canada Finance Company), all amounts payable are unconditionally guaranteed by Bank of America Corporation. The company will pay interest semi-annually during the term of the Notes at an initial rate of 4.00% from and including November 15, 2011 to, but excluding November 15, 2012.
“We believe that this new product represents the start of an exciting new debt market in Canada”, stated Richard Carleton, Interim CEO of CNSX Markets. “Issuers will be able to take advantage of the cost effectiveness of the exchange’s listings process and retail investors will be able to benefit from the transparency of the exchange’s rules in trading these fixed income-based products”, he added.
Stuart Investment Management Limited acted as agent on the offering of the Notes and will use its best efforts to initiate and ensure a secondary market is maintained for the Notes on CNSX.
“This is the first structured product to list on CNSX”, noted William Woods, Managing Director – Listed Market. “Structured products markets are growing rapidly on stock exchanges in America and Europe and CNSX plans to be Canada’s primary exchange for debt securities. CNSX is the ideal exchange to list structured products, investment funds, and debt securities because it has a streamlined listing process, with product specific listing policies designed to facilitate medium term note programmes and other structured products, and the lowest listing fees in Canada”, he added.
read more
Source: WFE
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
November 7, 2011--Standard & Poor's will make the following changes in the S&P/TSX Canadian Indices:
The unitholders of Capital Power Income L.P. (TSX:CPA.UN) have accepted the cash and share takeover offer from Atlantic Power Corporation (TSX:ATP).
Capital Power will be removed from the S&P/TSX Composite and Capped Composite, the S&P/TSX Completion and SmallCap, the S&P/TSX Composite Dividend and Equity Income, the S&P/TSX Income Trust, the S&P/TSX Capped Utilities, the S&P/TSX Clean Technology and the S&P/TSX Composite Equal Weight Indices after the close of Wednesday, November 9, 2011.
At the same time, the relative weight of Atlantic Power Corporation will increase in the S&P/TSX Composite and Capped Composite, the S&P/TSX Completion and Equity Completion, the S&P/TSX Equity and Capped Equity, the S&P/TSX Capped Utilities, the S&P/TSX Composite Dividend and the S&P/TSX Equity Income Indices to reflect the issuance of shares as part of the acquisition of Capital Power.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
Morgan Stanley-ETF Weekly Update
November 7, 2011--Highlights:
Weekly Flows: $3.3 Billion Net Outflows
ETF Assets Stand at $1.1 Trillion, up 7% YTD
Launches: 8 New ETFs
Direxion Reverse Share Splits Effective This Week
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Utilities Select Sector SPDR (XLU) posted net inflows of $340 mln last week, the most of any ETF
Amid market volatility and low absolute yield environment, investors have flocked to XLU (net inflows of $2.9
bln YTD, which equates to 40% of XLU’s market cap)
Despite the defensive nature of flows recently, riskier areas such as emerging markets equities and high yield
bonds have exhibited net inflows
US-Listed ETFs: Estimated Flows by Market Segment
US-Listed ETFs: Change in Short Interest
Data Unchanged: Based on data as of 10/14/11
SPY exhibited the largest increase in USD short interest since last updated
$4.4 billion in additional short interest
SPY has been fluctuating around record levels of shares short since mid-August
IWM exhibited the largest decline in USD short interest since last updated
$1.1 billion in reduced short interest
Lowest level of shares short for IWM since 8/31/11
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 11/4/11 based on daily change in share counts and daily NAVs.
$7.0 billion in total market cap of ETFs less than 1 year old
Over past 13 weeks newly launched Fixed Income ETFs generated most net inflows ($519 mln)
213 new ETF listings and 9 liquidations YTD
Newly issued defensive portfolios have been successful in garnering assets
Top 10 account for $3.1 bln in market cap and posted net inflows of $1.0 bln over last 13 weeks
PowerShares S&P 500 Low Volatility Portfolio (SPLV) and iShares High Dividend Equity Fund (HDV)
have been two standout launches over the past year
ETFs posted net outflows of $3.3 bln last week; flows have fluctuated recently
Last week’s net outflows followed the largest weekly net inflows of 2011
Net outflows last week were primarily driven by US Equity ETFs (combined $4.0 bln net outflows)
ETF assets stand at $1.1 tln, up 7% YTD (due to net inflows)
13-week flows were mostly positive among asset classes; combined $31.6 bln net inflows
Fixed Income ETFs have exhibited the greatest net inflows the past 13-weeks ($13.7 bln net inflows)
We estimate ETFs have generated net inflows 26 out of 44 weeks in 2011; net inflows of $95.0 bln YTD
US-Listed ETFs: News Highlights Source: Company Data, Morgan Stanley Smith Barney Research.
Direxion Reverse Share Splits Effective This Week
Direxion recently announced that it will execute reverse share splits on six of its ETFs after the close of business on 11/9/11.
The CUSIPs for the six ETFs will change; however, the value of an investment will remain the same.
request report
Source: Morgan Stanley
Low volatility ETFs launched to stem outflows
November 7, 2011--Fund managers are launching a range of funds designed to deliver lower volatility returns in an effort to stem outflows from investors unnerved by the current uncertain share trading environment.
Since markets began falling at the end of July, Lipper data show that US equity funds have suffered net outflows of $42.3bn, with long-only funds having the biggest redemptions. Equity volatility as measured by the Vix, known as Wall Street’s “fear gauge”, remains highly elevated, with the Vix trading above 30 and well above the long-term average of about 20.
read more
Source: FT.com
Nuveen files with the SEC
November 4, 2011--Nuveen has filed a Form S-1, pre-effective amendment No.2 to registration statement for the Nuveen Long/Short Commodity Total Return Fund.
view filing
Source: SEC.gov
Claymore files with the SEC
November 4, 2011--Claymore has filed a post-effective amendment No. 152, registration statement with the SEC for the Guggenheim BulletShares 2021
Corporate Bond ETF.
view filing
Source: SEC.gov
"The High Test"-Speech of CFTC Commissioner Bart Chilton to the Society of Independent Gasoline Marketers of America Annual Meeting
November 4, 2011--Introduction—I’ve Been Clean
Hi, I'm Bart and I'm a . . . I’m a regulator. I've been clean from doing regulation for 13 days now—fingers crossed! Thank you. Thank you very much. That's nice of you to applaud.
I've been getting my life together, but I couldn't do it alone. I've had a lot of help from my family and friends, my staff, and of course my sponsor: Willie, Willie Makit—Willie is here today. Thank you Willie.
Now that I've been clean for a few weeks, since we had our last public meeting that is, I’ve been reassessing things. I mean regulation, government, politicians, and regulators like me: ugh, is it a waste? Is it all worth it?
read more
Source: CFTC.gov
