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Exchange Traded Products Handbook 2015

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Exchange Traded Products Handbook 2015 Delta One Navigator Exchange Traded Products Handbook 2015 ETF Trading Lines: +49 89 378-17585 +39 02 8862-0660 +44 207 826-6444 Contents 1. WHAT ARE EXCHANGE TRADED FUNDS 8 2. REGULATORY FRAMEWORK 11 3. INDEX CONSTRUCTIONS 15 4. DIFFERENT ETF REPLICATION METHODS 17 5. SPECIAL FEATURES OF ETPS 23 6. LIQUIDITY OF AN ETF 29 7. ETF TRADING 33 8. CHOOSING THE RIGHT PRODUCT, THE RIGHT ETP 42 9. ETF LENDING & SECURITIES LENDING IN ETFS 46 10. EXCHANGE TRADED NOTES / COMMODITIES 49 11. LINEAR CERTIFICATES 57 12. BETA PRODUCTS: ETFs, FUTURES & SWAPS 60 13. MARKET CAP WEIGHTED ETFs / ETCs 69 14. SMART ßETA STRATEGY ETFs 104 4 5 PREFACE Dear Investor, the global stage is flooded with news from different regions all over the world. Besides the usual economic insecurity, the world looks closely at the strained situation in Russia, the IS war and the resultant migratory waves as well as the future political development in Greece. But despite these rather threatening political situations, the lower oil price, a weaker euro and a strengthen US economy generates significant positive impulses for the ongoing macro environment in 2015. Furthermore the predicted FED interest rate increase in June and the EZB quantitative easing policy remain the financial markets exciting in 2015. Regarding to this development the UniCredit economists forecast lower yields, flatter curves, tighter spreads and lower EUR-USD-exchange rate. In this framework ETFs are more than ever a rock solid investment vehicle, that allows the investor to translate ideas and opinions into trading decisions. The width of asset classes is still increasing. Although one can see a soft cleansing of the ETF landscape through delisting and fund closures, new asset classes such as smart beta strategies and actively managed ETFs extend the original use of ETFs. But whatever challenges the ETP market will have to meet in the future: The UniCredit has been part of the Europe ETF market for more than thirteen years now. UniCredit is and will be a reliable partner in analyzing, evaluating and trading ETFs for institutional investors. In this issue of the Delta One Navigator you will find a broadened and more detailed view on the different structures of ETPs. Our Delta One Navigator should give you the needed transparency on ETC structures and particularly on each replication method. Even good old-fashioned topics like the Creation- / Redemption- Process or trading issues are presented to you in a new and more comprehensive way. We hope that our Delta One Navigator will guide you safe and well informed through the ETP jungle. The Delta One Navigator should help you to find the right fitting product and determine your investment goals. It does not matter if you are bullish or bearish on the current environment, we will always assist you personally and promptly to fulfil your investment goals. Life is full of ups and downs. We’re there for both. Best wishes Your UniCredit ETF Advisory & Trading Team ETF TRADING LINES: MILAN: +39 02 8862-0660 MUNICH: +49 89 378-17585 LONDON: +44 207 826-6444 4 5 ABOUT US Since June 2000 UniCredit has been among the pioneers in the market making segment for exchange traded funds. UniCredit’s suc- cessful ETF Advisory & Trading Team has a long term expertise in the European ETF market and offers much more than just ETF quotes. UniCredit offers you tailormade analysis on ETPs and compares independently products according to your needs. Beginning with sim- ple product overviews and market screenings up to detailed performance comparisons. Besides these product-specific services UniCre- dit’s ETF Advisory & Trading unit is now able to bond with UniCredits Cross Asset Research team, in which three research professionals with long term experience analysis markets and developments across all asset classes. By combining the research capabilities of UniCredit and its trading expertise, the insititutional investor has a unique source of ETP intelligence. With eight market makers and six dedicated ETF advisors in three locations, ETFs are continually quoted and traded on Europe’s most important exchanges. Due to the approved trading infrastructure and because of the dedicated ETF / ETC Advisory & Trading Team for sure, today UniCredit is the major independent ETP market making investment bank in Europe by volume and number of traded products. FIGURES AND FACTS OF UNICREDIT UniCredit quotes ETFs for all issuers on the major European exchanges, such as: XETRA Frankfurt, Germany LSE ETFPlus Milan, Italy NYSE Euronext Paris, France NYSE Euronext Amsterdam, Netherlands NYSE Euronext Brussels, Belgium UniCredit quotes all ETFs globally over the counter for institutional investors. In the Deutsches Risk Magazin survey UniCredit-Team has been rated #1 Market Maker on ETFs in Europe in 2003 throughout 2014. ETF TRADING LINES: MILAN: +39 02 8862-0660 MUNICH: +49 89 378-17585 LONDON: +44 207 826-6444 6 7 UniCredits long-time expertise in the indexing business, which started 14 years ago with ETF market making, reaches out also to UniCredits linear certificate and derivative business as well as index derivative market making on EUREX. Since July 2014 UniCredits ETF Unit is integral part of the Institutional Equity Derivatives (IED) Team: UniCredits IED Germany Team, consists of the ETF Team, the IED Futures & Options and the Structured Equity Team. Those groups focus on institutional investors investing for their own account (banks, insurance companies, asset managers). They concentrate on the strengths of UniCredit equity derivatives platform, the recycling of risks from retail-driven business and the structured equity business for institutional clients. The Institutional Equity Business offers exchange traded equity derivatives such as convertible bonds, Delta 1 products, equity vanilla derivatives and linear derivatives. The expertise is reflected in various awards and rankings (including No. 1 ETF House 2003 – 2014). The IED Structured Equity is looking at dedicated investment, hedging or optimization solutions for institutional Equity and Funds investors. The deep integration of specialised ETF and Derivatives Business allows UniCredit to offer a broad range of institutional investment products and structured solutions. That contains not only equity products, such as futures and flow derivatives but also more complex and tailormade instruments. The following overview gives a brief summary of UniCredits capabilities: OVERVIEW – INSTITUTIONAL INVESTMENT PRODUCTS & SOLUTIONS Equities Commodities Investment Solutions (access, risk profiles, etc.) Commodity indices and futures Risk Management / Strategic Stakes: Efficient Beta Hedging, yield enhancement, disposal and Smart Beta Equities Commodities acquisition strategies Systematic Alpha Unit-linked solutions (on indices & funds) Ad-hoc opportunities (aktive market screening) Financing & Securities Lending Inflation/deflation tail risk hedging Convertible Bonds Quantitative Strategies Convertible Quantitative Primary and secondary (market maker) Multi-Asset Trend Strategy (Quixmat) Bonds Strategies European market leader convertibles E-Trading Volatility Absolute Return Strategy (VOLARE) & ETFs Focus List: Core regions D, A, I and CEE Dynamic Dividend Long/Short Strategy (DDLS) Cross Commodity Long/Short Fund (CCLS) ETFs #1 ETF House Germany 2003 – 2014 (Risk Magazine) Market-leading ETF Market Maker / Advisor Wrapping & Re-packaging Actively Managed OTC & Listed Securitized Fund Solutions Certificate SPV Promissory Note (option, swap, fwd., etc.) (note, certificate) (Structured Invest, Lux.) (cross asset) This table outlines the profile of UniCredits ETF Advisory & Trading Desk and summarizes the advantages and service standards for the institutional investor. The width of products enables the investor to get access to all wrappers and kinds of structures to optimize risk profiles and implement investment ideas. UniCredit offers several publications focussing on the ETP market and on indexing. We do not only provide information on the product itself, but also trading strategies, which can be implemented with ETPs, as well as a market outlook and an opinion on the European Equity markets in the current complicated environment. ETF TRADING LINES: MILAN: +39 02 8862-0660 MUNICH: +49 89 378-17585 LONDON: +44 207 826-6444 6 7 The following publications are released regularly or can be generated by request: The Delta One Navigator is our comprehensive ETF and ETC Handbook, The Smart ETF Investor is our research publication on quantitative strategies, that can be implemented with ETFs, The Equity Strategy Quarterly gives a macro economic outlook on the European and global equity market, The Weekly Market Update provides a short overview on the recent development of all asset classes, The ETF Market Observer is a monthly news flash on new products and delistings, And finally our detailed ETP Analysis provides a detailed picture on several ETFs by comparing statistical and performance data. AVAILABLE PUBLICATIONS The Smart ETF Investor Equity Strategy Quarterly Delta One Navigator Weekly Market Update ETF Market Update ETP Analysis ETF TRADING LINES: MILAN: +39 02 8862-0660 MUNICH: +49 89 378-17585 LONDON: +44 207 826-6444 8 9 1. WHAT ARE EXCHANGE TRADED FUNDS ETF stands for exchange traded funds. But the abbreviation could also stand for the advantages of these passively managed, publicly traded investment funds: Easy of use, transparency and flexibility. Exchange traded funds can be traded as easily and flexibly as stocks. They can
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