Global ETF News Older than One Year
IMF Working paper-Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
July 31, 2012--Summary: Construct of a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010.
Then I test whether the equity returns of 53 global banks were exposed to this liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI - measured as the sensitivity of volatility to the index. Surprisingly, exposure to systemic liquidity risk is positively associated with the Net Stable Funding Ratio (NSFR). The link between equity volatility and the SLRI allows me to calculate the cost that would be borne by public authorities for providing liquidity support to the financial sector. I use this information to estimate a liquidity insurance premium that could be paid by individual banks in order to cover for that social cost.
view the IMF Working paper-Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance
Source: IMF
Review may scrap Libor rate
July 31, 2012-- Libor, the London Interbank Offered Rate, could be scrapped altogether and replaced with an interest rate that is set using actual trades, according to a review set up by the UK government.
Ministers on Monday announced the remit for Martin Wheatley to investigate the Libor benchmark rate, which has been heavily criticised after it emerged that Barclays and several other leading banks manipulated it. Mr Wheatley is the chief executive-designate of the new Financial Conduct Authority, the incoming City watchdog,
Banks 20 years behind in risk management
Source: CNN
Bill Gross Is Latest to Join 'Stocks Are Dead' Club
July 31, 2012--Stocks will no longer generate the kinds of returns they've had over the past century, ending the "cult of equity" that has been Wall Street's mantra for generations, Bill Gross, managing director at bond giant Pimco, says in his monthly market analysis.
He also predicts the stock market's consistent annual return will be reduced to a "historical freak" that will never be repeated.
Source: CNBC
ESMA publishes updated list of registered Credit Rating Agencies
July 30, 2012--The European Securities and Markets Authority has published an updated list of registered Credit Rating Agencies in the European Union. The newest addition is the European Rating Agency, a.s. (Slovakia) which has been registered by the National Bank of Slovakia.
view the List of registered and certified CRA's
Source: ESMA
HSBC chief apologises for 'shameful' scandal
HSBC's chief executive, Stuart Gulliver, has described the US money laundering scandal as "shameful and embarrassing" as the bank revealed the episode would cost it at least $700m (£444m).
July 1, 2012--In total, Britain's largest bank said it had set aside $2bn in the first half of the year to cover the cost of money laundering as well as compensating UK customers mis-sold payment protection insurance and interest rate swaps.
Despite the provisions, HSBC reported a 11pc year-on-year increase in pre-tax profits for the first six months of 2012 to $12.7bn.
Source: The Telegraph
EDHEC-Risk Institute strongly welcomes ESMA's ETF guidelines
July 30, 2012--EDHEC-Risk Institute has strongly welcomed the ETF guidelines released by the European Securities and Markets Authority (ESMA) on July 25, 2012, which are consistent with the conclusions of EDHEC-Risk Institute's research on ETF risks and ESMA's consultation paper, which were both published earlier this year.
These guidelines go further than the consultation document in two notable areas:
The first is securities lending, where ESMA indicates clearly that all profits from securities lending should be returned to the fund. It is clear that this subject comes as a surprise to industry participants. EDHEC-Risk had brought up the problem of transparency in its research, but nobody thought that ESMA would go as far as it did on the subject. This new rule clearly changes the situation and the business model of ETF providers who have chosen physical replication because securities lending represented considerable sources of revenue for the asset management firms.
but the regulations may do little to change the opacity of sec lending practices in US exchange traded funds.
Source: FT.com
Macro Matters-Time for Ben to step in
With respect to the US, the loss of growth momentum and economic imbalances are messages in the data. We do not expect the Fed to announce QE3 at this week’s FOMC meeting. But we do expect the Fed to use Operation Shout by pushing out the timeframe for extraordinarily low rates into 2015. This, coupled with no surprises from the ECB meetings, will likely disappoint increasingly anxious markets as their economies remains stuck in low growth/no growth mode.
The next two payrolls reports, however, should seal the deal on QE3 as we do not expect the payrolls number to show improvement for either July or August. The July figures will be released this Friday.
Source: Mirae Asset Financial Group
EPFR Global Fund Data-Yield remains a guiding light in the gloom
With policymakers expected to respond with more monetary stimulus that will put further pressure on the returns from "safe" assets, investors focused on yield during the week ending July 25. Flows into EPFR Global-tracked High Yield Bond Funds exceeded $2 billion for the sixth time in the 30 weeks year-to-date, Municipal Bond Funds took in over $800 million and Dividend Equity Funds absorbed a net $858 million during a week when outflows from all Equity Funds exceeded $10 billion.
In their search for better than average returns investors bypassed exposure to sectors -- 10 of the 11 major EPFR Global-tracked Sector Fund groups posted outflows -- but showed a willingness to look at country-specific equity funds. Visit http://www.epfr.com for more info
Source: EPFR Global
Deutsche Boerse AG reports stable results in Q2/2012
This corresponds to a 5 percent increase compared with the second quarter of 2011 (€528.6 million), now that 100 percent of Eurex’s sales revenue is attributable to Deutsche Börse following its full acquisition. Despite an overall weak financial market environment, the Company’s net revenue remained stable at €506.7 million. This is mainly the result of the considerable increase of trading volumes in index derivative products as well as the Eurex acquisition. The Group’s operating costs declined by 2 percent year-on-year to €228.9 million and include exceptional items of around €5 million mainly for efficiency measures. Adjusted for special factors, earnings per share amounted to €1.01 in the second quarter of 2012.
In a comparison of the half-yearly figures, net revenue declined slightly from €1,032.7 million in the prior-year period to €1,013.6 million as a result of the challenging market environment. Adjusted operating costs in the first half of 2012 amounted to €449.7 million, an 8 percent increase year-on-year, mainly as a result of the investments in growth initiatives as part of the Group’s strategic positioning. This resulted in an adjusted EBIT of €566.6 million and adjusted earnings per share of €2.02.
Source: Deutsche Boerse
July 29, 2012--In this issue of Macro Matters, we review the soft second quarter GDP release out of the US last Friday and assess its meaning for Asia.
July 27, 2012--The bad news kept coming in late July. It included another spike in Spanish bond yields, the US farm belt's continuing trial by drought, worse than expected 2Q12 GDP numbers from the UK and some decidedly mixed earnings reports.
Stable net revenue of €507 million despite the difficult capital market environment Full acquisition of Eurex pays off Adjusted earnings per share of €1.01
July 26, 2012-- Deutsche Boerse AG published its figures for the second quarter of 2012 on Thursday. The Company's sales revenue rose to €555.0 million.
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