Nodal Clear, LLC, the clearing house subsidiary of Nodal Exchange, announced today that it has been recognized by the European Securities and Markets Authority (“ESMA”) as a third-country central counterparty (“CCP”) under the European Markets Infrastructure Regulation (“EMIR”).
read more...Nodal Clear Recognized As Third-Country Central Counterparty By ESMA
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The Best of the Aleph Blog, Part 28
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DFM Achieves 100% Compliance In Annual Results Disclosure Of UAE Companies
Dubai Financial Market (DFM) today announced that its UAE listed companies have showed a 100% compliance to disclose their annual results 2016 within the deadline of 3 months from the end of the financial year. All of the 48 UAE public joint stock companies listed on DFM have successfully disclosed their annual results by the end of March 2017.
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DGCX Sees Brisk Trading As Brexit Negotiations And European Election Volatility Intensifies
The region’s largest derivatives bourse, the Dubai Gold and Commodities Exchange (DGCX), saw brisk trading in the month of March, with volumes aggregrating to 1.4 million contracts, valued at USD $33.5 bn. The Average Daily Volumes touched 61,471 contracts in March, with a high of 143,312 on March 27th.
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The Saudi Stock Exchange Performance Report â First Quarter 2017
At the end of the 1st Quarter 2017 Tadawul All Share Index (TASI) closed at 7,001.63 points, increased by 778.5 points 12.51% over the same period of the previous year.
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ADX Achieves 100% In Disclosure Compliance
Abu Dhabi Securities Exchange (ADX) announced today that it has succeeded in achieving a compliance rate of 100% regarding the disclosure of the annual financial statements of its listed public joint stock companies within the deadline of 90 days from the end of the financial period. All public, and private, listed companies listed on ADX disclosed their annual financial statements for 2016 within the 90 days period given.
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PEGAS: Consultation Paper On The Self-Evaluation Of Austriaâs Eastern Market Area And Analysis Of Market Integration Options
The pan-European gas trading platform PEGAS, operated by Powernext, has published a new position paper in response to the study initiated by E-Control on the performance of the Austrian gas market and the impact potential market area integrations. According to Powernext, the CEGH hub is already the reference market in Central Eastern Europe (CEE). An integration with neighbouring markets like Slovenia, Slovakia and Croatia could further bundle liquidity in CEE and reduce dependency on oil-indexed contracts.
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TASE Launches Two New Indices: TA-SME150 And TA-Rimon - The New Indices Provide Exposure To The Israeli Economy, Representing A Broad Spectrum Of Companies And Business Activity
At its March 30th, 2017 board meeting, the Tel Aviv Stock Exchange (TASE) Board of Directors approved the launch of two new Equity indices: the TA-SME150 and the TA-Rimon indices. Both indices include a large number of shares and are designed to facilitate investment in a large and widely dispersed basket of shares, which reflects the Israeli economy.
A more detailed look at the new indices follows:TA-SME150 This index comprises all constituents of the TA-90 and TA-SME60 indices. Only large and medium-size enterprises are included in the index, excluding constituents of the TA-35 and the TA-Growth indices. The index is equally weighted, with each share having a weight of 0.67%, such that the broad dispersion minimizes exposure to any individual share. The index includes relatively few global enterprises, it is suitable for investors interested in companies which are primarily active in the Israeli economy. The base price for the index launch will be identical to the TA-90 index base-price on 07.05.2017. TA-Rimon The TA-Rimon index comprises all shares in the Rimon share universe (appx. 220 shares). Shares included in this index must meet strict criteria specifically designed for the construction of the flagship indices. The index is conservative in character and similar to that of the TA-SME150, except that this index includes TA-35 index shares as well. The weight cap of the index is 1%, meaning that this index is widely dispersed, and exposure to individual shares is relatively low. This index is designed for investors interested in a market portfolio of relatively seasoned shares, which does not include smaller companies (as opposed to the AllShare index, the most comprehensive TASE composite index, which includes small and micro-cap shares as well). The index’s launch base price will be identical to the TA-AllShare index base-price on 07.05.2017. Both indices are scheduled for launch on May 7, 2017, which is the monthly rebalancing date for TASE equity indices. Robby Goldenberg, Senior Vice President, Head of the Trading, Indices and Derivatives Department remarked: "The launch of the new indices was made possible by the reform of TASE equity indices, which was launched two months ago. The new indices will enable the tracking and investment in a highly dispersed basket of frontline TASE shares, which can considerably lower exposure to individual shares, benefiting investors and public companies alike".
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London Stock Exchange Group Plc Transaction In Own Shares
London Stock Exchange Group plc (the "Company") announces that it has purchased through Barclays Capital Securities Limited, in accordance with the authority granted by shareholders at the Company's Annual General Meeting on 27 April 2016, the following number of its ordinary shares of 6 79/86 pence each ("Shares") on the London Stock Exchange as part of the buyback programme announced on 29 March 2017:
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Unieuro Debuts Today On The STAR Segment Of Borsa Italiana - The Company Raised About â¬70 Million At IPO - 71st Debut On STAR
Today Unieuro debuts on the STAR segment of Borsa Italiana. It is the 7th listing since the beginning of the year and the first on the Main Market.
Unieuro is one of the largest Italian chains of consumer electronics and household appliances by number of outlets. The recent merger with Marcopolo has created a new reality present throughout the whole national territory.
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ESMA Publishes Responses To TR Portability Consultation
The European Securities and Markets Authority (ESMA) has published today the responses it received to its public consultation on future guidelines on the transfer of data between trade repositories (TRs) authorised in the European Union under the European Market Infrastructure Regulation (EMIR).
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Canadian Securities Regulators Seek Input On Proposed Business Conduct Rules For Derivatives Dealers And Advisers
The Canadian Securities Administrators (CSA) today published for comment Proposed National Instrument 93-101Derivatives: Business Conduct and a related proposed companion policy. The proposed instrument establishes an investor protection regime for over-the-counter (OTC) derivatives markets that is consistent with international standards and foreign requirements and is intended to create a uniform approach to derivatives business conduct regulation in Canada.
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Kara Novaco Brockmeyer, Chief Of FCPA Unit, To Leave SEC After 17 Years Of Service
The Securities and Exchange Commission today announced that Kara Novaco Brockmeyer, Chief of the Enforcement Division’s Foreign Corrupt Practices Act (FCPA) Unit, is planning to leave the agency later this month.
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Federal Reserve Is Committed To Maintaining The Security Of Confidential FOMC Information
The Federal Reserve is committed to maintaining the security of confidential FOMC information. We cooperated fully with the independent law enforcement investigation into an unauthorized disclosure in 2012. We appreciate the diligent efforts made to bring this matter to its conclusion.
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Departing Thoughts, Federal Reserve Governor Daniel K. Tarullo, At The Woodrow Wilson School, Princeton University, Princeton, New Jersey
Tomorrow is my last day at the Federal Reserve. So in this, my final official speech, it seems appropriate to offer a broad perspective on how financial regulation changed after the crisis. In a moment, I shall offer a few thoughts along these lines. Then I am going to address in some detail the capital requirements we have put in place, including our stress testing program. Eight years at the Federal Reserve has only reinforced my belief that strong capital requirements are central to a safe and stable financial system. It is important for the public to understand why this is so, especially at a moment when there is so much talk of changes to financial regulation.
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NZX Shareholder Metrics March 2017
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Interconnectedness in the Global Financial Market. (arXiv:1704.01028v1 [q-fin.ST])
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events. This paper analyzes the dependencies among nearly 4,000 stocks from 15 countries. The returns are normalized by the estimated volatility using a GARCH model and a robust regression process estimates pairwise statistical relationships between stocks from different markets. The estimation results are used as a measure of statistical interconnectedness, and to derive network representations, both by country and by sector. The results show that countries like the United States and Germany are in the core of the global stock market. The energy, materials, and financial sectors play an important role in connecting markets, and this role has increased over time for the energy and materials sectors. Our results confirm the role of global sectoral factors in stock market dependence. Moreover, our results show that the dependencies are rather volatile and that heterogeneity among stocks is a non-negligible aspect of this volatility.
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Market Efficiency and Price Stabilization Policy in Interwar Osaka-Dojima Rice Exchange. (arXiv:1704.00985v1 [q-fin.ST])
We investigate how and to what extent the Japanese government intervened in the rice futures exchange in Osaka during the interwar period, from the late 1910s to 1939, using a time-varying AR model. We found the two facts by featuring the time-varying nature of the market efficiency. First, the intervention with discretionary power disrupted the rice market and reduced market efficiency in the exchange under the Rice Law in 1921 than the following second case. Second, the market remained efficient while traders pondered seasonally patterned interventions of the government based on the law established in 1933. When the government obtained the discretionary power to operate the policy regarding commodity market, the market efficiency often reduced. Conversely, even if the government implemented a large intervention, the market efficiency improved when the government's discretionary power was controlled by the law.
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Incorporating Signals into Optimal Trading. (arXiv:1704.00847v1 [q-fin.TR])
Optimal trading is a recent field of research which was initiated by Almgren, Chriss, Bertimas and Lo in the late 90's. Its main application is slicing large trading orders, in the interest of minimizing trading costs and potential perturbations of price dynamics due to liquidity shocks. The initial optimization frameworks were based on mean-variance minimization for the trading costs. In the past 15 years, finer modelling of price dynamics, more realistic control variables and different cost functionals were developed. The inclusion of signals (i.e. short term predictors of price dynamics) in optimal trading is a recent development and it is also the subject of this work.
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Tokyo Commodity Exchange March 2017 Market Summary
The Tokyo Commodity Exchange announced today that March 2017 daily average volume was 93,000 contracts, down 3.5% from February. Volume increased for some products, such as Platinum Standard, which was up 6.5% to 12,053 contracts. Volume for other major products decreased; Dubai Crude Oil dropped 17.3% to 17,916 contracts and Rubber declined 33.6% to 8,802 contracts. Lower volatility appears to have led to subdued trading.
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