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Office of Financial Research 2014 Annual Report to Congress
December 1, 2014--This third annual report of the Office of Financial Research (OFR)
assesses threats to U.S. financial stability, outlines OFR research that
supports the assessment, and describes the OFR's progress in meeting
our mission.
The report also evaluates policy initiatives for promoting
financial stability and describes our work to improve the quality and
scope of financial data and analysis.
The OFR, financial regulators, and other policy institutions have made significant progress since our last annual report in assessing the buildup of vulnerabilities in the financial system, improving the quality and scope of financial data, and developing and implementing new policy tools that-although largely untested- are designed to make the financial system stronger and more transparent.
view the Office of Financial Research 2014 Annual Report to Congress
Source: OFR (Office of Financial Research)
CFTC.gov Commitments of Traders Reports Update
December 1, 2014--The current reports for the week of November 25, 2014 are now available.
view updates
Source: CFTC.gov
Deutsche Asset & Wealth Management Increases Creation Limit for ASHR
December 1, 2014--Deutsche Asset & Wealth Management today announced that, effective immediately, the creation limit for Deutsche X-trackers Harvest CSI 300 China A-Shares ETF (nyse arca:ASHR) (the "Fund") will increase from the previous limit of one creation unit per day to five creation units per day.
The Fund will continue to utilize this new creation units limit for ASHR in order to manage the RQFII quota for purchasing China A shares securities. As a result:
ASHR will now accept five creations units each day, where each creation unit is comprised of 50,000 shares. This is an increase from the previous limit of one creation unit per day, announced on November 13, 2014.
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Source: MarketWatch
Morgan Stanley-US ETF Weekly Update
December 1, 2014--US ETF Weekly Update
Weekly Flows: $6.6 Billion Net Inflows
Eighth Consecutive Week of Net Inflows
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 37 of 48 Weeks YTD
ETF Assets Stand at $2.0 Trillion, Up 17% YTD
One ETF Launch Last Week
Russell Announces ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.6 bln last week; eighth consecutive week of net inflows
Over the last eight weeks, ETFs have generated net inflows of $67.6 bln
Last week's net inflows were led by US Sector & Industry ETFs at $1.9 bln; conversely, Leveraged/Inverse ETFs posted net outflows of $208 mln, the most of any category we measured
Ten of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 37 of the 48 weeks YTD totaling $179.7 bln; notably, the fourth quarter is typically the strongest quarter for ETF flows
ETF assets stand at $2.0 tln, up 17% YTD
13-week flows remain positive among most asset classes; combined $83.3 bln in net inflows
US Large-Cap ETFs generated net inflows of $39.7 bln over the last 13 weeks, of which the SPDR S&P 500 ETF (SPY) accounted for 54% of the category's net inflows
Notably, Fixed Income ETFs have also exhibited meaningful net inflows over the last 13 weeks, at $19.6 bln; Fixed Income ETF net inflows were broad based (government bond ETFs all the way to junk bond ETFs)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares 7-10 Year Treasury Bond ETF (IEF) posted net inflows of $654 mln last week, the most of any ETF
IEF's net inflows were the first in six weeks; notably, the yield on the 10-year US Treasury was down 15 basis points last week
The WisdomTree Europe Hedged Equity Fund (HEDJ) had another strong week and has now posted net inflows for 37 consecutive weeks totaling $3.5 bln
Net outflows were modest last week with no ETF posting net outflows greater than $300 mln
Over the last 13 weeks, the iShares MSCI Emerging Markets ETF (EEM) has exhibited net outflows of $4.5 bln, the most of any ETF
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume declined in November to 23% and is the lowest reading since June 2014; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume decreased by $106 bln last week amid a short trading week
US Large-Cap ETFs accounted for only 36% of ETF $ volume last week compared to their 13-week average of 42%
US-Listed ETFs: Short Interest Data Updated: Based on data as of 11/14/14
Utilities Select Sector SPDR (XLU) had the largest increase in USD short interest at $348 mln
Despite XLU's increase in shares short from the last period, its shares short at 75 mln are essentially in-line with the 72 mln 52-week average
Notably, the iShares Russell 2000 ETF (IWM) had a $3.2 bln decline in short interest compared to the prior period; IWM's shares short are at their lowest level since 2/14/14
674 ETFs exhibited short interest increases while 641 experienced short interest declines over the last period
Aggregate ETF USD short interest declined by $11.6 bln over the period ended 11/14/14
The average shares short/shares outstanding for ETFs is currently 3.9%, down from 4.1% last period
For the second consecutive period, the Market Vectors Semiconductor ETF (SMH) was the most heavily shorted ETF as a % of shares outstanding, at 275%
Eight of the 10 most heavily shorted ETFs as a % of shares outstanding are sector based (SMH, XOP, XRT, IYR, DRV, XBI, XME, RKH)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only eight ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$8.6 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 42% of recently launched ETF market share and 34% of net inflows over the last 13 weeks, the most of any category
Over the last year, 34% of all ETF launches can be attributed to international equity ETFs
178 new ETF listings and 60 closures YTD (additional three announced)
The top 10 most successful launches make up 52% of the market cap of ETFs launched over the past year
Five ETF sponsors and three asset classes (equity, fixed income, and currency) were represented in top 10 most successful launches
The First Trust Dorsey Wright Focus 5 ETF (FV) generated net inflows of $41 mln last week, the most of any ETF; conversely, the First Trust Enhanced Short Maturity ETF (FTSM) exhibited net outflows of $69 mln last week, also the most of any ETF
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Source: Morgan Stanley
ISE Holdings Reports Business Activity for November 2014
December 1, 2014--ISE and ISE Gemini combined represent 14.9% of equity options market share, excluding
dividend trades.
ISE and ISE Gemini reported a combined ADV of 2.1 million contracts.
Dividend trades made up 3.0% of industry volume in November 2014.
International Securities Exchange Holdings, Inc. (ISE Holdings) today reported a combined average daily
volume (ADV) of 2.1 million contracts in November 2014 for its two exchanges, ISE and ISE Gemini.
This represents 14.9% of U.S. equity options market share.
Business highlights for the month of November include:
On November 11, ISE ETF Ventures launched the ISE Cyber SecurityTM Index (ticker: HXR), the first index that allows investors to quickly take advantage of both event-driven news and long term economic trends in the cyber security and information technology space.
Trading of multi-legged strategy orders on ISE through Implied Order functionality surpassed 32 million contracts since launch and accounted for 5.6% of all non-crossing, multi-legged contract volume executed on ISE during the month of November.
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Source: International Securities Exchange Holdings, Inc. (ISE Holdings)
Great News for the U.S. Wind Industry
November 30, 2014-Much of the success of the U.S. wind industry, which you will read about in this article, is a direct result of the federal Production Tax Credit (PTC).
It rewards wind farm developers for performance-electricity delivered in the first 10 years of operation. The House bill passed today ends the PTC at the conclusion of this year. Left to the last minute, there's no time to negotiate and the Senate is expected to pass it next week.
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Source: Nasdaq.com
S&P Dow Jones Indices-Latin America Index Dashboard
November 28, 2014--Latin American equities continued their recent downward slide in November. Both the S&P Latin America BMI and the S&P MILA Andean 40 declined 5%. Colombia and Brazil were the weakest performers, down 11% and 5%, respectively. Technology was the best-performing sector of the S&P Latin America BMI, gaining 2%.
Energy provided the worst sectoral performance, down 16% on the month.
U.S. stocks continued the positive trend seen in 2014. Both the S&P 500(R) and the Dow Jones Industrial AverageTM closed November up 3%. Developed markets ended the month up 1%, while emerging markets declined 1%. Although down sharply on the month (-4%), frontier markets have still outperformed both emerging and developed markets in 2014.
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Source: S&P Dow Jones Indices
S&P Dow Jones Indices-Canada Index Dashboard
November 28, 2014--Canadian equities had a strong month, with the S&P/TSX Composite and the S&P/TSX 60 gaining 1% and 2%, respectively.
The strongest-performing sector of the S&P/TSX Composite in November was Health Care (up 10%). Energy was the weakest performer, down 9%.
U.S. stocks continued their positive trend. Both the S&P 500(R) and the Dow Jones Industrial AverageTM closed November up 3%.
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Source: S&P Dow Jones Indices
S&P Dow Jones Indices-U.S. Index Dashboard-November 2014
November 28, 2014--Both the S&P 500(R) and the Dow Jones Industrial AverageTM closed November up 3%. Volatility continued to decline from its mid-October peak, as the S&P 500 VIX Short-Term Futures Index fell by 9%.
The S&P MidCap 400(R) also ended the month in positive territory, gaining 3%, while the S&P SmallCap 600(R) declined slightly. Both mid- and small-caps lag well behind the S&P 500 on a calendar-year basis.
Consumer Staples led among the 10 sectors of the S&P 500 in November, gaining 5%. Energy was the worst-performing sector, declining 8% and continuing its recent slide.
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Source: S&P Dow Jones Indices
Horizons ETFs announces closure of ETF
November 28, 2014--Horizons ETFs Management (Canada) Inc. ("Horizons ETFs") and its affiliate AlphaPro Management Inc. (the "Manager") announced today that they will be terminating the Horizons Active S&P/TSX 60TM Index Covered Call ETF (the "ETF") effective at the close of business on Friday, February 6, 2015 (the "Termination Date").
The classes of the ETF being terminated are as follows:
Horizons Active S&P/TSX 60(TM) Covered Call Index
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Source: MarketWatch
