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Morgan Stanley-ETF Weekly Update
October 10, 2011-Weekly Flows: $675 Million Net Outflows
ETF Assets Stand at $969 Billion, down 3% YTD
Launches: 10 New ETFs
Direxion Announces Reverse Share Splits
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $675 mln last week; ETFs exhibited net outflows 2 of past 3 weeks
Net outflows last week were primarily driven by US Equity ETFs ($3.3 bln net outflows)
Fixed Income ETFs have exhibited net inflows for 8 straight weeks ($11.9 bln net inflows over the 8 weeks)
ETF assets stand at $969 bln, down 3% YTD (due to market depreciation)
13-week flows were mixed among asset classes; combined $7.4 bln net inflows
Leveraged/Inverse ETFs have posted net inflows of $6.6 bln the past 13 weeks which equates to 20% of the category’s market cap
We estimate ETFs have generated net inflows 24 out of 40 weeks in 2011; net inflows of $75.4 bln YTD
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Bar Cap 1-3 Month T-Bill (BIL) posted net inflows of $825 mln last week, most of any ETF
Amid market volatility over the past 3 months, BIL has generated net inflows of $2.6 bln
Despite aggregate net outflows last week, only 282 ETFs exhibited net outflows (24% of ETF universe)
SPDR S&P 500 ETF (SPY) posted the largest net outflows out of any ETF the past 1-, 4- and 13-week periods
US-Listed ETFs: Change in Short Interest Data Unchanged: Based on data as of 9/15/11
SPY exhibited the largest increase in USD short interest since last updated
$4.4 billion in additional short interest
Highest all-time level of shares short for SPY
GLD exhibited the largest decline in USD short interest since last updated
$388 million in reduced short interest
Lowest level of shares short for GLD since 5/31/11
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 10/7/11 based on daily change in share counts and daily NAVs.
$6.0 billion in total market cap of ETFs less than 1-year old
Suggests that unique new offerings continue to gain meaningful traction
198 new ETF listings and 8 liquidations YTD
4 different asset classes represented; 8 different issuers
Equity (5), Fixed Income (2), Alternative (2), Commodity (1)
Top 10 account for $2.8 billion in market cap and posted net inflows of $833 million over last 13 weeks
iShares High Dividend Equity Fund (HDV) surpassed the market cap of WisdomTree Asia Local Debt
Fund (ALD) as investors have fled most international debt, especially debt in local currencies.
request report
Source: Morgan Stanley
PDQ Enterprises Introduces Auction Model for Equity Trading
PDQ ATS to Offer the Market’s First True High-Speed, Auction Model for Equity Trading
November 9, 2011--PDQ Enterprises (www.PDQATS.com), the developer of PDQ ATS, today announced the formal introduction of the PDQ ATS auction model. The first of its kind in high-speed equity trading, the PDQ ATS auction model brings efficiency to the market by offering increased liquidity discovery and price improvement through an “electronic algorithmic crowd” competing for orders
In development for more than a year by the PDQ Enterprises team, the new auction market is expected to result in significant price improvement and additional liquidity. When an order is received by PDQ’s auction model at the secure PDQ facility, the order is paused for a full 20 milliseconds, and in that time algorithms respond with their most competitive quotes to build a mini book where the responses are prioritized on a price-time basis. At the end of the 20 milliseconds the trade is matched against the newly created book.
“We are very excited to be introducing the market’s first auction model for high-speed, electronic equity trading, as we believe it to be a true breakthrough in market efficiency,” said Keith Ross, CEO of PDQ Enterprises. “ Clients also appreciate the complete anonymity and confidentiality that the secure PDQ process provides.”
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Source: PDQ Enterprises
BNY Mellon ADR Index Monthly Performance Review is Now Available- October 2011
November 9, 2011--The BNY Mellon ADR Index Monthly Performance Review October 2011 is now available
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Source: BNY Mellon
NASDAQ OMX and PC-Bond to Introduce a Family of U.S. Treasury Indexes
November 8, 2011--The NASDAQ OMX Group, Inc. (Nasdaq:NDAQ) and PC-Bond, a TMX Group subsidiary and long-time provider of benchmarks for Canadian fixed income investments, have entered into a partnership to provide a family of U.S. Treasury indexes — The RBC Insight Total Return U.S. Treasury (TRUST) Indexes.
The index series is designed to be a transparent and broad measure of the U.S. Treasury Note and Bond market while providing a unique viewpoint into the active U.S. debt issuance market via its daily rebalance methodology.
"By utilizing an objective and rules-based methodology, The RBC Insight Total Return U.S. Treasury (TRUST) Indexes exemplify our commitment to index transparency," said John Jacobs, Executive Vice President, NASDAQ OMX Global Indexes. "Through our partnership with PC-Bond, investors in the U.S. debt issuance market will have access to more information more frequently and therefore be able to make better informed investment decisions."
The RBC Insight Total Return U.S. Treasury (TRUST) Indexes are rebalanced daily and not at month-end like other U.S. and European bond indexes. Treasury indexes that rebalance daily offer the advantages of reduced tracking errors when rebalancing portfolios and provide a more accurate reflection of current market conditions. In addition, The RBC Insight Total Return U.S. Treasury (TRUST) Indexes have history dating back to December 31, 1998.
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Source: NASDAQ OMX
Standard & Poor''s Announces Changes In The S&P/TSX Venture Composite And Select Indices
November 8, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Composite and Select Indices:
Shareholders of Donnybrook Energy. (TSXVN:DEI) approved on November 4, 2011, the Plan of Arrangement whereby the company will spin out certain non-core oil & gas assets to shareholders. ".
For every share of Donnybrook Energy held, shareholders will receive 0.025 shares of a new company named Donnycreek Energy Inc. Donnycreek Energy will trade on TSX Venture for the first time (the ex-date of the spin-off) on November 9, 2011, under the ticker symbol "DCK".The spun out shares of Donnycreek Energy will be added at zero price to the S&P/TSX Venture Composite and Venture Select Indices after the close of trading on Tuesday, November 8, 2011. Effective after the close of Wednesday, November 9, 2011, the shares of Donnycreek Energy will be removed from the same two indices.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
Circuit Breakers Mostly Worked, Report Finds
November 8, 2011--Single-stock circuit breakers generally have not been disruptive even when the program was expanded in August – a particularly volatile month – to all NMS securities, according to new research from Ana Avramovic in Credit Suisse’s portfolio strategy group.
Examining the data for the last 16 months, from June 2010, when the Securities and Exchange Commission launched the circuit breaker pilot, through September 2011, Avramovic found 111 individual halts (excluding rights, warrants and penny stocks). Breaking down the trading halts by reason, she found 56 (51 percent) were from fundamental news triggers, 36 (32 percent) were from cheap/illiquid stocks, 12 (11 percent) were from fat fingers and seven (6 percent) were from bad prints.
view report-Pardon the Interruption – The Impact of Trading Halts
Source: TABB Forum
ISE Completes Latest Optimise Upgrade
November 7, 2011--The International Securities Exchange (ISE) this week completed the most recent upgrade to its new trading system based on Deutsche Börse Group's OptimiseTM trading architecture. Technology Release 1.6 is the second major enhancement to the system since the completion of its initial rollout in July 2011.
The compressed release cycle of Optimise allows for greater flexibility to introduce performance enhancements and new functionality while minimizing any additional work for ISE's member firms due to its backward compatibility.
"With a release cycle of approximately every two months, we are constantly working to improve the performance, stability, and functionality offered by Optimise," said Daniel Friel, ISE's Chief Information Officer. "This latest release fine-tunes the already exceptional latency profile of the new system and positions us well for Release 2.0 in mid-December."
Compared to ISE's previous trading system, Optimise has demonstrated latency reduction of approximately 90 percent. Release 1.6 provided incremental improvements to the system's latency profile, with particular emphasis to improve both the median latency and latency tail. With this very solid baseline performance in place, ISE's technology team is now focused on building new functionality for introduction in Release 2.0 later this year.
Source: International Securities Exchange (ISE)
Remarks before the SIFMA 2011 Annual Meeting-Chairman Gary Gensler
November 7, 2011--Good afternoon, I’d like to thank the Securities Industry and Financial Markets Association for inviting me to speak today, and thank you Chet for that kind introduction. I’m looking forward to sitting down with Charlie – and as this is the closest I’ll get to the Charlie Rose show, I’ll be brief.
Lessons of 2008
We’ve all drawn many lessons from the financial crisis in 2008. I’d like to highlight a number that I believe are most relevant.
Foremost, when financial institutions fail, real people’s lives are affected. In 2008, the financial system failed and the regulatory system failed as well.
Three years after these twin failures, we’re still feeling the aftershocks. More than eight million jobs were lost, and the unemployment rate remains stubbornly high. Millions of Americans lost their homes. Millions more live in homes that are worth less than their mortgages. And millions of Americans continue struggling each day to make ends meet.
Secondly, high levels of debt – particularly short-term funding at financial institutions – was at the core of the crisis. When market uncertainty grew, firms quickly found that liquidity problems threatened their solvency.
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Source: CFTC.gov
CNSX Starts Listing Structured Products - The Time Is Right Is For A Transparent, Exchange-Traded Debt Market In Canada
November 7, 2011--CNSX Markets Inc. today announced that BAC Canada Finance Company 5 year Extendible Step Up Semi-Annual Pay Medium-Term Notes, Series 1 (the “Notes”) have been posted for trading on the Canadian National Stock Exchange (CNSX). The Notes are trading under symbol BMF.DB.A and the issuer expects to raise up to $20 million. They are currently trading on an “if, as and when issued” basis until November 9, 2011.
The Notes are unsecured and unsubordinated debt securities of BAC Canada Finance Company (formerly Merrill Lynch Canada Finance Company), all amounts payable are unconditionally guaranteed by Bank of America Corporation. The company will pay interest semi-annually during the term of the Notes at an initial rate of 4.00% from and including November 15, 2011 to, but excluding November 15, 2012.
“We believe that this new product represents the start of an exciting new debt market in Canada”, stated Richard Carleton, Interim CEO of CNSX Markets. “Issuers will be able to take advantage of the cost effectiveness of the exchange’s listings process and retail investors will be able to benefit from the transparency of the exchange’s rules in trading these fixed income-based products”, he added.
Stuart Investment Management Limited acted as agent on the offering of the Notes and will use its best efforts to initiate and ensure a secondary market is maintained for the Notes on CNSX.
“This is the first structured product to list on CNSX”, noted William Woods, Managing Director – Listed Market. “Structured products markets are growing rapidly on stock exchanges in America and Europe and CNSX plans to be Canada’s primary exchange for debt securities. CNSX is the ideal exchange to list structured products, investment funds, and debt securities because it has a streamlined listing process, with product specific listing policies designed to facilitate medium term note programmes and other structured products, and the lowest listing fees in Canada”, he added.
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Source: WFE
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
November 7, 2011--Standard & Poor's will make the following changes in the S&P/TSX Canadian Indices:
The unitholders of Capital Power Income L.P. (TSX:CPA.UN) have accepted the cash and share takeover offer from Atlantic Power Corporation (TSX:ATP).
Capital Power will be removed from the S&P/TSX Composite and Capped Composite, the S&P/TSX Completion and SmallCap, the S&P/TSX Composite Dividend and Equity Income, the S&P/TSX Income Trust, the S&P/TSX Capped Utilities, the S&P/TSX Clean Technology and the S&P/TSX Composite Equal Weight Indices after the close of Wednesday, November 9, 2011.
At the same time, the relative weight of Atlantic Power Corporation will increase in the S&P/TSX Composite and Capped Composite, the S&P/TSX Completion and Equity Completion, the S&P/TSX Equity and Capped Equity, the S&P/TSX Capped Utilities, the S&P/TSX Composite Dividend and the S&P/TSX Equity Income Indices to reflect the issuance of shares as part of the acquisition of Capital Power.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
