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’The ETF wash rule
FT.com reporter Jason Abbruzzese submits this guest post for FT Alphaville.
They say nothing in life is certain apart from death and taxes. But, as it turns out, if you’re trading exchange traded funds the latter is becoming increasingly more questionable.
UBS rogue trade – Kengeter memo
In which the CEO of UBS’s embattled investment banking arm urges his staff to move “forward forcefully and decisively” and vows to “deal appropriately with those individuals who were responsible for significant operational and management supervision lapses.”
UBS rogue trade – details of the fictitious trades
Sunday’s statement from UBS, in which the bank reveals the loss from ‘unauthorized’ trading in various index futures (over the last three months) was in fact $2.3bn.
On September 15, 2011 UBS announced that it had discovered unauthorized trading in its Investment Bank.
Something for the ETF lobby to chew on
Exchange Traded Funds are being mis-sold to the retail market and the risk of running, constructing, trading and holding them are not sufficiently understood by the market or the banks that create them.
Do banks see ETFs as inexpensive funding for illiquid securities? – Part II
(continued)
Here’s our favourite part from the FSB report.
It refers to the practice of collateral sweating — loading your ETFs with the cheapest collateral out there and swapping it to guarantee the performance of a specific index (our emphasis):
Can an ETF collapse?
By Andrew A. Bogan, Ph.D., Brendan Connor, and Elizabeth C. Bogan, Ph.D.
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Like many innovations in finance that emerge from nowhere to explode in popularity with unknown consequences, exchange-traded funds (ETFs) have gone from obscurity when they were first invented in 1993 to making up more than half of all the daily trading volume on American stock exchanges today.
Why is Rusal issuing an aluminium ETF?
Why would a Russian aluminium producer be interested in launching an exchange-traded fund business?
SocGen analysts, for one, have been wondering.
The background here is that Rusal announced last week that it would provide further details of a possible physical ETF to be backed by 1m tonnes of metal in the second half of this year.
How ETFs are like mortgage-backed securities
Bedlam Asset Management takes a look at exchange traded funds in its latest market commentary (H/T paver). Specifically, at how — largely because of greed — a sound concept has once again potentially been bastardised by the financial industry.
Whatever happened to Deutsche’s ETN liquidation?
Petromatrix’s Olivier Jakob evaluates CFTC weekly trader data on a regular basis, and one thing he was quite looking forward to analysing was the liquidation of Deutsche Bank’s exchange-traded-note — the PowerShares DB Crude Oil Double Long (DXO).
Investor demand fuels ETF rebound
Assets invested globally in exchange traded funds have reached a record high of $862bn amid partial recovery in equities and continuing strong demand for passive investment. The value of global ETFs plunged from $805bn in April 2008 to $711bn at the end of 2008 as recession hit stock,
Regulator probing USO oil ETF
The FT is reporting on Friday, along with all the other wires, that the CFTC is investigating the United States Oil Fund:
US federal regulators are investigating an investment vehicle that has amassed a 20 per cent stake in a crude oil contract traded in New York and London amid fears that its activities could be distorting the market.
Whatever happened to speculator limits on Nymex?
Stephen Schork of the Schork report highlights a response, as received from a reader, to his Wednesday point on the USO ETF:
A response to our USO observation from a client…
re: USO – they are NOT a hedger – why they are allowed to exceed the spec levels is beyond me – oh wait yeah NYMEX [now CME] and ICE love the volume and fees it gets from the USO trading…
A self-propelled pyramid?
Stephen Schork of the Schork report jumps on the United States Oil Fund issue on Wednesday. He too is blaming the size of the ETF for current distortions in front-month Nymex WTI contracts.
He refers specifically to the March/April roll when spreads moved from $3.26 to $8.18 and expired at $1.09.