June 1, 2005

 

Lead Stories

 

CME Reports Average Daily Volume of 4.0 Million Contracts in May, Up 18 Percent from Year-Ago Period

CME® Globex® Volume Increased 57 Percent vs. May 2004, Representing a Record 73 Percent of Total Exchange Volume Compared with 55 Percent in Prior-Year Period

Average daily volume of CME foreign exchange products was 296,000 contracts, representing notional value of $38 billion per day and an 82 percent increase compared with May 2004.  During the month, electronic foreign exchange products increased 120 percent from the same period one year ago to reach 237,000 contracts per day.

http://www.cme.com/about/press/cn/05-75mAY2005vOLUME13385.html

CME MONTHLY AVERAGE DAILY VOLUME (In Thousands)

 

 

May 2005

May 2004

Percent Change

CME PRODUCT LINE

 

 

 

Interest Rates

              2,385

              1,878

27%

E-Minis

              1,205

              1,238

-3%

Equity Standard

                 102

                   95

7%

Foreign Exchange

                 296

                 163

82%

Commodities

                   53

                   45

16%

   Sub Total

              4,041

              3,420

16%

trakrs

                   22

                   86

-74%

   Total

              4,063

              3,506

18%

 

 

 

 

VENUE

 

 

 

Open Outcry

              1,054

              1,516

-30%

CME Globex (Ex trakrs)

              2,942

              1,868

57%

Privately Negotiated

                   45

                   36

25%

 

CBOT May volume just short of record high

CHICAGO, June 1 (Reuters) - Futures and options trading volume at the Chicago Board of Trade was about 64.7 million contracts in May, up 17 percent compared with the same month last year, exchange figures showed on Wednesday.  Turnover at the No. 2 U.S. futures exchange fell just short of the monthly record of 66.5 million contracts turned over in March.

http://yahoo.reuters.com/financeQuoteCompanyNewsArticle.jhtml?duid=mtfh22696_2005-06-01_14-19-52_n31690370_newsml

 

Euronext first quarter 2005 results

http://www.euronext.com/news/press_releases/0,4159,1732_8275,00.html

 

May 2005 - Euronext key indicators

11 million cash transactions completed in May

7 IPOs on Euronext’s markets in May, 16 so far this year

Euronext.liffe’s Interest Rate Products up 16% on May 2004

http://www.euronext.com/news/press_releases/0,4159,1732_8275,00.html

 

 97 Million Contracts Traded on Eurex in May

Turnover up 16 percent year-on-year/European equity options trading further increases

http://www.eurexchange.com/about/company_info/press_releases/news_pressreleases_410.html

 

Equities Turnover in May 13 Percent up Year-on-Year

€267 billion in turnover on German stock exchanges in May/ More transactions on Xetra

http://deutsche-boerse.com/dbag/dispatch/en/listcontent/gdb_navigation/press/10_Latest_Press_Releases/Content_Files/13_press/pm_news_010605_kassamarkt.htm

 

Kansas City Board of Trade Wheat Futures Volume Sets New May Record

Kansas City--June 1, 2005--Hard red winter wheat futures trading volume at the Kansas City Board of Trade® was the largest in exchange history for the month of May. A total of 229,963 contracts traded in May, topping the previous May record of 217,809 contracts set in 2003 by 5.6 percent.  Wheat futures open interest also showed marked gains in the past month at 73,768 contracts. Open interest at the end of May was 30.8 percent higher than last year at this time and 25 percent higher than at the end of April.

http://www.kcbt.com/news_2.asp?id=283&home=1

 

Euronext chief reassures investors on LSE bid

Jean-François Théodore, chief executive of Euronext, on Wednesday promised shareholders in the pan-European stock exchange that any bid for the London Stock Exchange would offer "a very strong return on investment".

http://news.ft.com/cms/s/d54398ac-d294-11d9-bead-00000e2511c8.html

 

*** Online FT subscription required.

 

ECB sees danger in hedge funds

The European Central Bank has warned that the increasing number of hedge funds following similar strategies may have increased the risks posed to European financial stability.

The ECB identified the danger of hedge fund "crowding" in its financial stability report, published yesterday.

http://news.ft.com/cms/s/f349d8e8-d23a-11d9-8c82-00000e2511c8.html

 

Hedge Fund Industry Grows 27%

http://www.garp.com/risknews/newsfeed.asp?Category=6&MyFile=2005-06-01-10908.html

 

Hedge fund industry hits $1 trillion mark

NEW YORK (AFX) -- In 2004, the hedge fund industry grew 27% to $1 trillion from $795 billion, according to a survey by the Hennessee Hedge Fund Advisory Group. This story was supplied by MarketWatch. For further information see www.marketwatch.com.

http://www.iii.co.uk/news/?type=afxnews&articleid=5310457&subject=economic&action=article

 

Energy on your screen

The rise of electronic trading and its impact on the energy sector

Trading today has moved from pits to PCs. Today, anyone can view the widest variety of markets and products on a computer screen. Sean Martin, a consultant with Patsystems, looks at the rise of electronic trading and its impact on the energy sector, and considers technology options for petroleum.

http://www.patsystems.com/files//JUNE_2005_PATSYSTEMS2.pdf

 

Record Daily Electronic Volume Set on Winnipeg Commodity Exchange

Winnipeg, MB- Winnipeg Commodity Exchange Inc. (WCE) recorded its highest daily volume Tuesday, May 31, since WCE converted to an electronic trading platform on December 20, 2004.

http://www.grainnet.com/info/articles.html?type=bn&ID=26515

 

Citigroup faces record FSA fine

All Financial Times NewsCitigroup faces the largest-ever fine imposed by UK regulators for a bond market deal following the transactions that shook eurozone government debt trading last August, people close to the investigation said on Tuesday.

http://news.moneycentral.msn.com/provider/providerarticle.asp?feed=FT&Date=20050531&ID=4856114

 

Citigroup to Pay $208 Million to Settle Charges Arising from Creation of Affiliated Transfer Agent to Serve Its Proprietary Mutual Funds

http://www.sec.gov/news/press/2005-80.htm

 

SEC settles charges against Citigroup units

Citigroup Global Markets, Smith Barney Fund Management to pay US$208 million in penalties

http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=29000&IdSection=8&cat=8

 

Citi settles SEC case

Citigroup Inc., the world's largest financial company, agreed to pay $208 million to settle regulators' claims it pocketed fees that should have been passed on to its mutual funds.

http://www.newsday.com/business/ny-bzciti4285422jun01,0,3811295.story?coll=ny-business-headlines

 

TSX CEO sees Canada as an important world energy market

Canada is northern anchor for a single, North American energy market, Nesbitt says

http://www.investmentexecutive.com/client/en/News/DetailNews.asp?Id=29007&IdSection=15&cat=15

 

Manipulation and the Individual Investor

Here's a nasty and dirty fact about Wall Street -- manipulation is real. Stock manipulation is real and alive today, just as it was 10 years ago, 50 years ago, and 100 years ago and likely will be 100 years from now. The bad news is that the forces arrayed against the individual investor are generally sophisticated, smart, and merciless.

http://news.yahoo.com/news?tmpl=story&u=/fool/20050531/bs_fool_fool/111756386806

 

Environmental Trading News

 

Aviation pollution clouds progress on emissions

Pollution from the country's aviation sector will wipe out all greenhouse gas reductions achieved by other UK industries unless the government acts to check growth in aircraft emissions, environmental group Friends of the Earth (FOE) said on Wednesday.

http://uk.news.yahoo.com/050601/325/fk6j5.html

 

Sugar prices can sky rocket – India to import and Brazil to substitute gasoline with ethanol

International sugar prices can go through the roof in coming months and years. India, one of the biggest exporter of sugar reported today that it may have to import sugar due to low harvest output.

http://www.indiadaily.com/editorial/2980.asp

 

Exchange & ECN News

 

Euronext profit rises despite derivatives slowdown

LONDON (MarketWatch) -- Lower taxes and a lack of goodwill amortization costs helped Euronext N.V. boost its first-quarter profit despite a slowdown in derivatives trading.

Euronext (005777005777), which operates exchanges in Paris, Amsterdam, Brussels and Lisbon, said first-quarter net profit rose 7.3% to 45.3 million euros.

http://www.investors.com/breakingnews.asp?journalid=27960966&brk=1

 

Euronext 1Q Has 'No Big Disappointments'

0642 GMT [Dow Jones] Euronext (24151.AE) 1Q results look "fine. there are no big disappointments," says analyst. "Key thing was we know how much they spent on LSE" (LSE.LN) consultancy costs, and "with that number, it still looks good."

http://www.newratings.com/analyst_news/article_850441.html

 

Euronext Q1 net up 7.3 pct, towards top end of expectations

PARIS (AFX) - Euronext NV said first quarter net profit rose 7.3 pct to 45.3 mln eur, towards the upper end of expectations, from 42.2 mln eur a year earlier as all business lines except derivatives trading improved their profitability.

http://www.sharewatch.com/story.php?storynumber=72334

 

OMX Exchanges Monthly Statistics May 2005

STOCKHOLM, Sweden, June 1, 2005 (PRIMEZONE) -- OMX Exchanges: -- On May 30, Vilnius Stock Exchange successfully launched the common Nordic Baltic trading platform SAXESS for trading on the cash markets. SAXESS is already in use at the stock exchanges in Copenhagen, Stockholm, Helsinki, Riga and Tallinn (all exchanges owned by OMX) as well as the stock exchanges in Oslo and Iceland. -- Copenhagen

http://au.biz.yahoo.com/050601/21/4kzg.html

 

Bursa: New trading platform will be rolled out in four phases

BURSA Malaysia’s new trading platform, to be known as the Common Trading Platform (CTP), will be rolled out in four phases, said Bursa head of exchanges, Fathi Ridzuan Ahmad Fauzi.

http://biz.thestar.com.my/news/story.asp?file=/2005/6/1/business/11101198&sec=business

 

 

CBOT Trader Newsletter: May 31, 2005

Market Profile Trading Strategies Live Workshop

The CBOT will host a Market Profile Trading Strategies Workshop on June 3, 7, 8 - 10, 2005, with Dan Gramza in Chicago. The workshop will be held each day from 2:30pm to 5:30pm at the CBOT. Market Profile is a dynamic technical tool that organizes price, time, and volume into powerful trading structures based on the bell curve.

http://www.cbot.com/cbot/pub/cont_detail/0,3206,1027+28617,00.html

 

New Clearing Member Firm Division

As of June 1 a new clearing division will be effective for RBC Capital Markets Corporation. 05.31.2005

http://www.cbot.com/cbot/pub/cont_detail/0,3206,1032+28627,00.html

 

Rev. Dec 2005 & Jan 2006 Ag & Fin Option Expiration Schedules

As previously announced, the Board of Directors has approved adjustments to the Dec 2005 and Jan 2006 option expiration schedules.

http://www.cbot.com/cbot/pub/cont_detail/0,3206,1032+28625,00.html

 

Change in Feeder Cattle Final Settlement Price

http://www.cme.com/clearing/clr/clradv/13373.html

 

Allocation of May 2005 Currency Order-to-Pay Charges

http://www.cme.com/clearing/clr/clradv/13384.html

 

SGX to launch second Indian stock index futures contract

SINGAPORE : The Singapore Exchange is launching a second futures contract based on an Indian stock index and options. Its head of products and services group, Linus Koh, says the exchange will be launching the Nifty contract by October.

http://www.channelnewsasia.com/stories/corporatenews/view/150354/1/.html

 

The term for inter-month spread trading

http://www.ose.or.jp/e/news/0506/050601b.html

 

The advent of the last trading day for Futures & Options

http://www.ose.or.jp/e/news/0506/050601a.html

 

German stock exchange operator wants shares back

GERMAN stock exchange operator Deutsche Boerse is launching a share buyback amounting to some £250 million, marking the second round of stock repurchases under its capital distribution programme.

http://edinburghnews.scotsman.com/business.cfm?id=599652005

 

CBOT Fed Funds May Settlement

The CBOT? 30-Day Fed Fund futures contract for May 2005 will be cash settled this morning at a final settlement price of 96.997.

http://www.cbot.com/cbot/pub/cont_detail/0,3206,992+19856,00.html

 

Regulatory News

 

The SEC News Digest

The SEC News Digest provides daily information on recent Commission actions, including enforcement proceedings, rule filings, policy statements, and upcoming Commission meetings.

http://www.sec.gov/news/digest/dig053105.txt

 

AIMA Issues Further Submission on UK Proposed Rules on Bundled Brokerage and Soft Commission Arrangements

http://www.aima.org/uploads/AIMASoftCommissionBundledBrokerage(1).pdf

 

NASD 2004 Financial Report & Year In Review

http://www.exchange-handbook.co.uk/news_story.cfm?id=53197

 

Managed Futures - Managed Funds

 

A Fee Frenzy At Hedge Funds

As investors pile in, managers are tacking on extra fees

Anyone who knows anything about hedge funds is aware that these private investment pools don't come cheaply. But the typical management fees of 1% to 2% of net assets -- plus 20% of the profits -- are often only part of the total tab. Add in extra charges for items such as audits, account administration, and trader bonuses, and the average hedge-fund investor pays as much as 3.5% of assets a year, according to a recent study by LJH Global Investments, a Naples (Fla.) adviser to hedge-fund investors.

http://www.businessweek.com/magazine/content/05_23/b3936115_mz070.htm

 

What hedge funds have to say

Commentary: Has the 'appetite for risk' been satisfied?

http://www.marketwatch.com/news/story.asp?guid=%7B28BDE675-EFE0-4E4F-B183-F13D62994D40%7D&siteid=google

 

DELL BACKS NEW HEDGE VENTURE

June 1, 2005 -- Michael Dell is backing a couple of Wall Street stalwarts as he puts some of his $14.2 billion fortune in net worth to work in a new hedge fund venture.

http://www.nypost.com/business/47495.htm

 

Art Fund Of Funds Marketed In Singapore, by Phillip Morton, Investors Offshore.com 01 June 2005

The Singapore office of the Dutch investment bank ABN Amro has begun to market an art-based fund of hedge funds to high-net-worth individuals and corporate clients in Asia.

http://www.investorsoffshore.com/asp/story/storyinv.asp?storyname=20010

 

Hedge funds bear watching

The trading strategies of hedge funds this year are not just about betting on moves in commodities or shorting stocks. They also are about taking on chief executive officers right in the public view.

http://www.nwherald.com/BusinessSection/288049331266191.php

 

Bear Stearns Keeps Man Group At Peer Perform

1329 GMT [Dow Jones] Bear Stearns keeps Man Group (EMG.LN) at peer perform despite better-than-expected FY results. Reflects longer-term concerns over poorer gross inflows and redemption experience, it says. Also, worries exist over sustainability of growth in the brokerage division.

http://www.newratings.com/analyst_news/article_851230.html

 

Schindler Trading Performance

http://www.schindlertrading.com/index.php?page=performance

 

Reports

 

Bond Talk Today's Events

http://www.bondtalk.com/global.cfm?S=todaysevents

 

USDA Today

http://www.usda.gov/nass/PUBS/TODAYRPT/TODAY.HTM

 

Miscellaneous News

 

Yahoo!, Japan Plan Online Trading Service

Yahoo! Japan has reached an agreement with two Japanese brokerages to add stock trading and other financial services to the popular Internet portal's Web site, the Internet company said Wednesday.

http://biz.yahoo.com/ap/050531/japan_yahoo_japan.html?.v=1

 

Yahoo Japan to launch securities brokerage services: Nikkei

Yahoo Japan Corp. will tie up with Nikko Cordial Securities Inc. and ETrade Securities Co. to launch securities brokerage services as early as August, the Nihon Keizai Shimbun reported Wednesday.

http://asia.news.yahoo.com/050531/kyodo/d8aeep6g0.html

 

GlobeOp Alters Hedge Fund Risk Landscape With GoRisk -- an Innovative ASP-Based, Real-Time, Cross Asset Trading and

LONDON and NEW YORK, June 1, 2005 (PRIMEZONE) -- In a significant move to increase accountability, meet market demand and fortify the control structure for hedge funds, GlobeOp Financial Services' (GFS(sm) or GlobeOp(r)) risk subsidiary will release GoRisk, an ASP-based service providing real-time trading and risk management solutions designed to satisfy the demanding needs of both traders and

http://au.biz.yahoo.com/050601/21/4kuz.html

 

Nextel and eSpeed-R- Introduce First Wireless Bond Trading Application on the BlackBerry-R- Platform

[PNextel Communications Inc. , a leading provider of fully integrated digital wireless communications services, and eSpeed, Inc. , a leading developer of electronic marketplaces and trading technology for the global capital markets, today announced the launch of the first wireless market data and trading solution for institutional trading of benchmark U.S.

http://biz.yahoo.com/bw/050601/15307.html?.v=1

 

Betting The Farm On Free Trade

Bob Stallman is at the center of a storm over the future of American agriculture

Across the midwest, rural radio stations are airing ads that feature a famous quote from President Dwight D. Eisenhower: "Farming looks mighty easy when your plow is a pencil and you're a thousand miles from the cornfield." The ads are sponsored by the National Farmers Union, a group representing family farms, and it's no secret that the Washington pencil-pusher being targeted is American Farm Bureau Federation President Bob Stallman.

http://www.businessweek.com/magazine/content/05_23/b3936083.htm?campaign_id=rss_magzn

 

Defense: Sihpol had no criminal intent

Former Bank of America Corp. broker Theodore Sihpol never intended to commit a crime by helping a hedge fund engage in mutual fund trades that prosecutors contend were illegal, a defense attorney told jurors on Tuesday.

http://news.yahoo.com/news?tmpl=story&u=/nm/20050531/bs_nm/financial_bankofamerica_sihpol_dc_2

 

UBS loses 15,500 customer records

31 May 2005 The Japanese branch of investment bank UBS has become the latest financial services company to admit to an embarrassing loss of customer data - this time 15,500 of its customers were affected.

http://www.infoconomy.com/pages/news-and-gossip/group107024.adp

A close look at fairness opinions

By GRETCHEN MORGENSON

Rooting out conflicts of interest on Wall Street has become a full-time job for securities regulators in recent years. Thankfully, some long-needed changes have been made to research and sales practices at brokerage firms, banks and mutual fund companies

http://www.kansascity.com/mld/kansascity/business/11787978.htm

 

Bank seeks new merger for its online brokerage

Toronto-Dominion Bank has confirmed that it is in discussions about a potential transaction involving its online brokerage firm, TD Waterhouse USA, and Ameritrade Holding.

http://www.iht.com/articles/2005/06/01/business/ameri.php

 

Systems & Services

June 1, 2005 - The week in tech and market structure

http://www.securitiesindustry.com/article.cfm?articleid=15650

 

John's Comments

 

Just a Little More

 

Nancy Kaplan of Euronext.liffe has accepted a challenge on behalf of 18,000 friends in Illinois who live with the daily challenges of multiple sclerosis. On Saturday, June 25 and Sunday, June 26, 2005, she will be joining 1,600 cyclists and hundreds of volunteers in the MS 150 Tour de Farms. People living with MS overcome challenges everyday: to walk, to have energy to go to the store, to have the will power not to give up. That is why it is so important to me that we support the National Multiple Sclerosis Society, and she needs your help to turn her challenge into a reality.

 

She has accepted the challenge to raise a minimum of $1500 to participate and you can help her get there. Please pledge your support to her today!

http://events.msillinois.org/site/TR?px=1054266&fl=en_US&s_tafId=1082&pg=personal&fr_id=1060

 

Goal: $1,500.00

Achieved: $1,195.00

 

 

********

 

John J. Lothian & Company Performance Update

 

I have discovered a couple of immaterial errors in the performance updates I have included in the newsletter previously.  The errors involved incorrect data entry of funds added to the programs and the method by which the year to date returns were computed.  Both errors were immaterial to the performance results reported.  I have submitted an updated disclosure document to the NFA to correct the errors.  Here are the corrected performance results for the Big ED and Maple Sugar programs traded by John J. Lothian & Company.  Remember, past performance is not necessarily indicative of future results.  If you would like more information about the programs, I will be glad to send you the latest disclosure document once it has been accepted by the NFA.

 

Name of the CTA: John J. Lothian & Company, Inc.

Name of Trading Program: Maple Sugar

Inception of Trading by CTA: December 2005

Inception of Trading in Offered Program: December 2005

Number of accounts currently traded pursuant to the program as of May 1, 2005: 5

Total Nominal assets under management as of May 1, 2005: $472,582

Total Nominal assets trader pursuant to the program as of May 1, 2005: $231,534

Largest Monthly Drawdown: -7.01 (Feb. 2005)

Worst peak-to-valley draw-down: -17.04% (Feb 2005 to Apr 2005)

 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Rate of Return

 

Month

2004

2005

January

 

+8.03%

February

 

-7.01%

March

 

-5.31%

April

 

-1.24%

May

 

 

June

 

 

July

 

 

August

 

 

September

 

 

October

 

 

November

 

 

December

+20.95%

 

Year

+20.95%

-6.06%

 

Name of the CTA: John J. Lothian & Company, Inc.

Name of Trading Program: Big ED

Inception of Trading by CTA: December 2005

Inception of Trading in Offered Program: December 2005

Number of accounts currently traded pursuant to the program as of May 1, 2005: 6

Total Nominal assets under management as of March 1, 2005: $472,582

Total Nominal assets trader pursuant to the program as of May 1, 2005: $241,048

Largest Monthly Drawdown: -8.86% (December 2004)

Worst peak-to-valley draw-down: -15.95% (December 2004 to January 2005)

 

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

 

Rate of Return

 

Month

2004

2005

January

 

-7.77%

February

 

+11.45%

March

 

+0.72%

April

 

+6.94%

May

 

 

June

 

 

July

 

 

August