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Morgan Stanley-US ETF Weekly Update
July 22, 2013--US ETF Weekly Update
Weekly Flows: $11.5 Billion Net Inflows
Fourth Consecutive Week of Net Inflows
ETF Assets Stand at $1.5 Trillion, up 13% YTD
Four ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $11.5 bln last week, the fourth consecutive week of net inflows
Over the last four weeks, ETFs have generated net inflows totaling $37.4 bln
US Equity ETFs had a combined $9.6 bln in net inflows last week; US Custom ETFs was the only segment in this group to
exhibit net outflows
ETF assets stand at $1.5 tln, up 13% YTD; $103.7 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $49.0 bln in net inflows
US Large-Cap ETFs have generated net inflows of $25.5 bln over the last 13 weeks, the most of any category we
measured; specifically, the SPDR S&P 500 ETF (SPY) has accounted for 59% of the net inflows in this space
Despite a spike in interest rates on the long end of the curve, net outflows in Fixed Income ETFs have been modest over the last
13 weeks ($823 mln in net outflows) and five of the last 13 weeks Fixed Income ETFs actually generated net inflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $5.1 bln, the most of any ETF
The iShares iBoxx $ High Yield Corporate Bond ETF (HYG) generated net inflows of $777 mln last week and has now posted net
inflows four of the last five weeks; Morgan Stanley Wealth Management’s Fixed Income Strategists have recently become slightly
more constructive (not positive) on the space given the pullback we witnessed in May/June
The SPDR Gold Trust (GLD) has not posted a net inflow in 33 weeks; over this time period, GLD has exhibited net outflows of $19.8
bln, including $275 mln last week, and its market cap has shrunk to $38.8 bln
Following SPY, the iShares Russell 2000 ETF (IWM) has posted the second most net inflows over the last 13 weeks at $4.3 bln;
small-cap stocks have meaningfully outperformed their larger-cap counterparts from a performance standpoint YTD
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 6/28/13
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.0 bln
SPY’s shares short are at their highest level since 4/15/13 and nearly 10% above their one-year average
The iShares MSCI Emerging Markets ETF (EEM) shares short declined 28% from their all-time high set last period
Aggregate ETF USD short interest decreased by $2.9 bln over the period ended 6/28/13
The average shares short/shares outstanding for ETFs is currently 4.6%
The CurrencyShares Euro Trust (FXE) continues to be one of the most heavily shorted ETFs as a % of shares outstanding; interestingly, over the past year, FXE has actually posted a 6.3% market price return
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only six ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets Source: Bloomberg, Morgan Stanley Wealth Management ETF Research. Data estimated as of 7/19/13 based on daily change in share counts and daily NAVs.
$8.4 bln in total market cap of ETFs less than 1-year old
International-Emerging ETFs account for 27% of ETFs launched over the past year; specifically, the iShares Core MSCI Emerging Markets ETF (IEMG) has grown consistently since inception and in less than a year is the 10th largest emerging market equity ETF
Issuance has been light in 2013 relative to the past three years; 74 new ETF listings and 30closures/delistings YTD
The top 10 most successful launches make up 67% of the market cap of ETFs launched over the past year
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Source: Morgan Stanley
FINRA Significantly Increases Transparency in the Mortgage-Backed Securities Market
July 22, 2013--The Financial Industry Regulatory Authority (FINRA) today significantly increased transparency in mortgage-backed securities issued by Fannie Mae, Freddie Mac and Ginnie Mae, as well as in securities backed by loans guaranteed by the Small Business Administration.
Through TRACE (Trade Reporting and Compliance Engine), FINRA will begin to disseminate information for so-called specified pool transactions in agency pass-through mortgage-backed securities and SBA-backed securities. This represents approximately 3,500 trades, totaling $18 billion in par value, on an average daily basis.
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Source: FINRA
AltaVista Research-2Q13 Reporting Monitor: Week Two
July 22, 2013--Highlights:
With 21% of results in, S&P earnings look like they rose 4.0% YoY. Financials (XLF) was the largest contributor to growth, followed distantly by Consumer Discretionary (XLY). However, five sectors are likely to post profit declines...
Index sales are anemic because of a drag from Energy (XLE). Excluding that sector, revenue growth would be about 2.5%. Margins are mixed with Financials showing the only real improvement vs. Q2 2012, while Utilities (XLU), Tech (XLK) and Materials (XLB) could have significant declines...
So far, surprises amount to only 0.4% of profits, with Tech falling well short of expectations. However, the usually-predictable Health Care (XLV) sector is running 1.4% above...
At its current level, the S&P500 is trading at 15.9x trend line earnings, slightly above the long term average of 14.6x since 1950...
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Source: AltaVista Research
ISE ETF Ventures and SecuredGrowth Quantitative Research Announce Partnership and Launch of Innovative Indices
July 22, 2013--The International Securities Exchange (ISE), a leading U.S. options exchange, and SecuredGrowth Quantitative Research, Inc. (SGQR), a leading financial technology and research development company, announced today their partnership agreement to develop and promote indexes that combine the performance of popular Exchange-Traded Products (ETPs) with the proprietary SecuredGrowth(TM) process to enhance the return of any benchmark index or portfolio in a fully transparent, low-risk and liquid manner.
The SGQR SPY SecuredGrowth(TM) Index, the first index established through the partnership, adds a systematic yield from a unique methodology that includes a portfolio of investment grade domestic corporate bonds and U.S. Government-issued Treasury and Agency notes overlaid upon the SPDR(R) S&P 500(R) ETF.
"As ISE ETF Ventures continues to grow, our partnership with SecuredGrowth is a prime example of taking part in bringing unique indexes to market," said Kris Monaco, Head of ISE ETF Ventures. "Their fixed income overlay concept can now be packaged into a single index with the world's most popular ETFs, allowing investors an innovative enhancement to their existing strategies."
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Source: International Securities Exchange (ISE)
Fed rethinking move allowing banks to trade physical commodities
June 21, 2013--The U.S. Federal Reserve is "reviewing" a landmark 2003 decision that first allowed regulated banks to trade in physical commodity markets, it said on Friday, a move that may send new shockwaves through Wall Street.
The one-sentence statement suggests the Fed is taking a much deeper, wide-ranging look at how banks operate in commodity markets than previously believed, amid intensifying scrutiny of everything from electricity trading to metals warehouses.
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Source: Reuters
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX SmallCap Index
July 19, 2013--S&P Dow Jones Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Sprott Resource Lending Corp. (TSX:SIL) have agreed to a Plan of Arrangement with Sprott Inc. (TSX:SII).
Sprott Resource Lending shareholders will receive one-half share of Sprott Inc. and $CDN0.15 cash for each share held. Sprott Resource Lending Corp. will be removed from the S&P/TSX SmallCap Index after the close of trading on Friday, July 26, 2013.
Source: S&P Dow Jones Canadian Index Services
CFTC.gov Commitments of Traders Reports Update
July 19, 2013--The updated current reports for the week of July 16, 2013 are now available.
view updates
Source: CFTC.gov
ConvergeEx: Money Entering U.S. Equity ETFs At Rate of $2B Per Day
July 19, 2013--We've reported earlier this week on the surge of new money flowing into ETFs focused on U.S. equities. But to give you an idea just how fast these funds are attracting money, here a few figures from ConvergEx Group to ponder:
Over the first 12 trading days of July, money has flowed into ETFs which focus on U.S. equities at a run rate of $2 billion a day.
That’s almost four times the pace of money flows into U.S. stocks for the first half of 2013.
The SPDR S&P 500 ETF (SPY), which tracks the well-known U.S. stock index, has raked in $12 billion in fresh investment over these first days of July, or an average of $1 billion a day.
view more SEC, European Regulators Establish Supervisory Cooperation Arrangements Related to the Asset Management Industry view more
CFTC's Division of Clearing and Risk Issues Extension of Time-Limited No-Action Relief from Required Clearing for Swaps Entered into by Certain Cooperatives view more
Source: Barron's
July 19, 2013--The Securities and Exchange Commission today announced that it has established supervisory arrangements with financial regulators of the member states of the European Union (EU) and the European Economic Area (EEA) as part of long-term strategy to improve the oversight of certain entities in the asset management industry that operate across national borders.
The memoranda of understanding (MOUs) signed this week provide a framework for supervisory cooperation and exchange of information between SEC and the EU/EEA member state national regulators in the area of asset management. These MOUs were negotiated between the SEC staff and staff of the European Securities and Markets Authority (ESMA). ESMA negotiated the MOUs required under the EU Alternative Investment Fund Managers Directive on behalf of the EU/EEA member-states' national regulators.
Source: SEC.gov
July 19, 2013--The Division of Clearing and Risk (DCR) of the Commodity Futures Trading Commission (Commission) today announced the issuance of a time-limited, no-action letter granting relief from required clearing under section 2(h)(1)(A) of the Commodity Exchange Act and part 50 of the Commission's regulations for certain swaps entered into by qualifying cooperatives.
The no-action letter provides that DCR will not recommend an enforcement action for a cooperative’s failure to clear a swap if the cooperative and the swap meet certain conditions set forth in the no-action letter.
Source: CFTC.gov
