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CB0-Monthly Budget Review for July 2014
August 7, 2014--The federal government ran a budget deficit of $462 billion for the first 10 months of fiscal year 2014, CBO estimates-$146 billion less than the shortfall recorded over the same span last year. Through the end of July, revenues were about 8 percent higher and outlays were about 1 percent higher than they were at the same point last year.
On the basis of the revenue and spending totals thus far this fiscal year, CBO expects that the annual deficit will be in the vicinity of $500 billion, slightly larger than the $492 billion that it projected in April. CBO will publish new budget projections later in August, including an updated estimate of the deficit for fiscal year 2014.
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Source: Congressional Budget Office (CBO)
ETFis files with the SEC
August 6, 2014--ETFis has filed a post-effective amendment, registration statement with the SEC.
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Source: SEC.gov
Treasury Announces Marketable Borrowing Estimates
August 4, 2014--The U.S. Department of the Treasury today announced its current estimates of net marketable borrowing for the July-September 2014 and October-December 2014 quarters:
During the July- September 2014 quarter, Treasury expects to borrow $192 billion in net marketable debt, assuming an end-of-September cash balance of $150 billion.
This borrowing estimate is $22 billion higher than announced in April 2014. The increase in borrowing relates primarily to lower receipts and changes in cash balance assumptions[1].
During the October-December 2014 quarter, Treasury expects to borrow $187 billion in net marketable debt, assuming an end-of-December cash balance of $140 billion.
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Source: US Department of the Treasury
Morgan Stanley-US ETF Weekly Update
August 4, 2014--US ETF Weekly Update
Weekly Flows: $9.8 Billion Net Inflows
ETFs Have Generated Net Inflows 22 of 31 Weeks YTD
ETF Assets Stand at $1.8 Trillion, Up 8% YTD
Six ETF Launches Last Week
Emerging Global Advisors Announces Four ETF Closures
AdvisorShares Announces New Sub-Advisor for GTAA
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $9.8 bln last week, the first net inflows in three weeks
Last week's net inflows were led by US Large-Cap ETFs at $8.0 bln; conversely, US Mid-Cap ETFs posted net outflows of $1.4 bln, the most of any category we measured
Eleven of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 22 of the 31 weeks YTD
ETF assets stand at $1.8 tln, up 8% YTD
13-week flows remain positive among asset classes; combined $56.4 bln in net inflows
US Large-Cap ETFs generated net inflows of $18.0 bln over the last 13 weeks, the most of any category, and surpassing International-Developed ETFs, with $10.9 bln in net inflows
Fixed Income ETFs have managed to generate net inflows of $7.7 bln over the last 13 weeks, despite some of the larger ETFs in the category posting net outflows
US Small-& Micro-Cap ETFs exhibited net outflows of $2.9 bln over the last 13 weeks and was the only category to post net outflows
The average shares short/shares outstanding for ETFs is currently 4.3%, up from 4.0% last period
The SPDR Retail ETF (XRT) is the most heavily shorted ETF as measured by shares short/shares outstanding for the eighth consecutive period at 428% (down from 478% last period)
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are industry based (XRT, XOP, IYR, SMH, XBI, TOLZ)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only nine ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $6.5 bln last week, the most of any ETF
Despite volatile equity markets, SPY and the iShares Core S&P 500 ETF (IVV) generated a combined $7.6 bln in net inflows last week and $12.6 bln in net inflows over the last 13 weeks; SPY and IVV are the two largest ETFs as measured by market capitalization
The Consumer Staples Select Sector SPDR (XLP) and the First Trust Consumer Staples AlphaDEX Fund (FXG) had combined net outflows of $1.6 bln last week, which accounts for 25% of their current market capitalization
Notably, the two largest emerging market equity ETFs, the Vanguard FTSE Emerging Markets ETF (VWO) and the iShares MSCI Emerging Markets ETF (EEM) posted a combined $1.5 bln in net inflows last week and $5.9 bln over the last 13 weeks
The iShares iBoxx $ High Yield Corporate Bond ETF (HYG) and the SPDR Barclays High Yield Bond ETF (JNK) exhibited a combined $1.1 bln in net outflows last week, which accounts for 5% of their current market capitalization; we have experienced meaningful spread widening in high yield over the past month
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume increased in July to 24%, up from 22% the prior month; 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 was $144 bln more last week compared to the prior week and is 42% above its 13-week average
US Small- & Micro-Cap ETFs accounted for 7% of ETF $ volume last week compared to their 13-week average of 10% and market cap share of 4%
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 7/15/14
Financials Select Sector SPDR (XLF) had the largest increase in USD short interest at $636 mln
Notably, XLF and two REIT ETFs (also Financials) experienced the largest $ change in short interest last period
722 ETFs exhibited short interest increases while 586 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $794 mln over the period ended 7/15/14
The average shares short/shares outstanding for ETFs is currently 4.3%, up from 4.0% last period
The SPDR Retail ETF (XRT) is the most heavily shorted ETF as measured by shares short/shares outstanding for the eighth consecutive period at 428% (down from 478% last period)
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are industry based (XRT, XOP, IYR, SMH, XBI, TOLZ)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only nine ETFs exhibited shares short as a % of shares outstanding greater than 100%)
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Source: Morgan Stanley
H.R. 4554, Restricted Securities Relief Act of 2014
August 1, 2014--As ordered reported by the House Committee on Financial Services on May 22, 2014
H.R. 4554 would broaden the instances where sellers of certain securities can take advantage of a safe harbor that allows the securities to be sold without registering the offering with the Securities and Exchange Commission (SEC).
Under current law, owners of restricted or control securities (securities acquired through private transactions or held by an affiliate of the issuer) are prohibited from selling those securities on public exchanges unless certain requirements are met. H.R. 4554 would, among other things, shorten the time an owner must hold such securities, from six months to three months.
Based on information from the SEC, CBO estimates that implementing H.R. 4554 would cost less than $500,000 over the 2015-2019 period for rulemaking activities required under the bill. Further, the SEC is authorized to collect fees sufficient to cover its annual appropriation; therefore,
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Source: Congressional Budget Office (CBO)
CME Group earnings drop on weak trading volumes
July 31, 2014--CME Group Inc, the world's largest futures market operator, on Thursday reported lower-than-expected second-quarter earnings due to weak trading volumes.
Net profit fell to $263.8 million, or 79 cents a share, from $311.2 million, or 93 cents a share, a year earlier.
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Source: Reuters
Morgan Stanley-US ETF Weekly Update
July 29, 2014--US ETF Weekly Update
Weekly Flows: $345 Million Net Outflows
Second Consecutive Week of Modest Net Outflows
ETFs Have Generated Net Inflows 21 of 30 Weeks YTD
ETF Assets Stand at $1.8 Trillion, Up 10% YTD
Two ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $345 mln last week, the second straight week of modest net outflows
Last week’s net outflows were led by US Large-Cap ETFs at $2.6 bln; conversely, International - Emerging ETFs posted net inflows of $873 mln, the most of any category we measured
Nine of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 21 of the 30 weeks YTD
ETF assets stand at $1.8 tln, up 10% YTD
13-week flows remain positive among asset classes; combined $47.5 bln in net inflows
International - Developed ETFs generated $12.0 bln in net inflows over the last 13 weeks, the most of any category we measured and easily beating Fixed Income ETFs, the second largest asset gatherer from a flows perspective
Interestingly, International - Developed ETF market share has grown to 13% from 11% over the past year, whereas Fixed Income ETF market share has declined to 14% from 16% over the same time period
US Small- & Micro-Cap ETFs exhibited net outflows of $3.7 bln over the last 13 weeks and was one of two categories to post net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
PowerShares S&P 500 Low Volatility Portfolio (SPLV) posted net inflows of $528 mln last week, the most of any ETF
SPLV has generated net inflows for 13 consecutive weeks totaling $723 mln; SPLV currently has 24% allocated to Utilities
Three European equity ETFs, the iShares MSCI EMU (EZU), Vanguard FTSE Europe ETF (VGK), and WisdomTree Europe SmallCap Dividend Fund (DFE) posted a combined $1.1 bln in net outflows last week
Notably, the two largest emerging market equity ETFs, the Vanguard FTSE Emerging Markets ETF (VWO) and the iShares MSCI Emerging Markets ETF (EEM) posted a combined $619 mln in net inflows last week and $4.5 bln over the last 13 weeks
Over the last 13 weeks, the iShares Russell 2000 ETF (IWM) has posted net outflows of $2.7 bln, the most of any ETF; US small-cap equities have drastically underperformed their larger cap counterparts over this time period from a performance standpoint
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume decreased in June to 22%, down from 24% the prior month; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%; June’s 22% is the lowest level since May 2007
Over the last five years, ETF monthly $ volume as a %of listed trading volume peaked in August 2011 at 36%
ETF $ volume was $83 bln less last week compared to the prior week and is 10% below its 13-week average
International - Emerging ETFs accounted for 10.5% of ETF $ volume last week compared to their 13-week average of 8.8% and market cap share of 8.3%
US-Listed ETFs: Short Interest Data Updated: Based on data as of 7/15/14
Financials Select Sector SPDR (XLF) had the largest increase in USD short interest at $636 mln
Notably, XLF and two REIT ETFs (also Financials) experienced the largest $ change in short interest last period
722 ETFs exhibited short interest increases while 586 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $794 mln over the period ended 7/15/14
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Source: Morgan Stanley
AdvisorShares Announces Morgan Creek Capital Management Begins as Portfolio Manager of Global Tactical ETF (GTAA)
July 28, 2014--AdvisorShares, a leading sponsor of actively managed exchange-traded funds (ETFs), announced that Chapel Hill, North Carolina-based Morgan Creek Capital Management will assume sub-advisor responsibilities of AdvisorShares Morgan Creek Global Tactical ETF (NYSE Arca: GTAA) today,
July 28, 2014. Mark W. Yusko, Morgan Creek's CEO and CIO, will serve as lead portfolio manager of GTAA.
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Source: AdvisorShares,
Capital Group Joins BlackRock Filing for New Type of ETF
July 28, 2104--Capital Group Cos., owners of the $1.17 trillion American Funds family, has joined money managers including BlackRock Inc. in seeking regulatory approval for a new type of exchange-traded fund.
Capital Group filed today with the U.S. Securities and Exchange Commission to open a non-transparent, actively-managed ETF, a product that would clear the way for traditional stock-picking managers to offer their funds in an ETF package.
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Source: Bloomberg
Morgan Stanley- ETF Fund Flows Report
July 28, 2014--There were 43 new ETFs listed in the US in 2Q14, and two new
providers entered the market. There were no ETF liquidations in the
second quarter. An additional eight ETFs have been launched since the
end of 2Q14, and as of 7/22/14 there were 47 issuers with 1,416 ETFs
listed in the US.
Net inflows into US-listed ETFs were $58.5 billion during 2Q14. This
is significantly above the $39.8 billion average quarterly rate of net
inflows since the beginning of 2011 and is also higher than average
second quarter flows since 2011, at $32.4 billion. Since the beginning of
2011, only two quarters have exceeded 2Q14's net inflows and both were
fourth quarters, which are typically strong quarters for ETF flows.
Notably, most global markets were positive in 2Q14. YTD, ETFs have
generated net inflows of $69.3 billion.
The largest net cash inflows in the second quarter went into International-Developed ETFs. These ETFs had net cash inflows of $12.5 billion this past quarter, driven by European equity ETFs or those ETFs with significant European equity exposure. Fixed Income ETFs had the next highest inflows this past quarter at $12.0 billion. Nine of the 10 ETFs to generate the largest net inflows in 2Q14 were equity-based. US Small- & Micro-Cap ETFs had the largest net outflows in 2Q14. Net cash outflows from these ETFs were $3.8 billion. The iShares Russell 2000 ETF (IWM) was the primary driver of the net outflows in this category. IWM exhibited net outflows of $2.7 billion in 2Q14.
Commodity ETFs also struggled during 2Q14, posting net outflows of $902 million. Notably, only US Small- & Micro-Cap ETFs, Commodity ETFs, and Currency ETFs exhibited net outflows during the quarter. US ETF industry assets of over $1.8 trillion. Despite the growth of the ETF market, it remains concentrated with three providers and 20 ETFs accounting for 80% and 41% of industry assets, respectively.
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Source: Morgan Stanley
