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Morgan Stanley-US ETF Weekly Update
September 23, 2013--Weekly Flows: $21.9 Billion Net Inflows
Second Consecutive Week of Net Inflows
ETF Assets Stand at $1.6 Trillion, up 17% YTD
No ETF Launches Last Week
NYSE Arca Gold Miners Index Undergoes Changes
US-Listed ETFs: Estimated Flows by Market Segment
ETFs exhibited net inflows of $21.9 bln last week, the second consecutive week of net inflows
Last week’s take was the largest weekly net inflow of the year and the largest since we began tracking weekly flows in 2010; over the last
two weeks ETFs have generated net inflows of $39.5 bln
For the second straight week ETF net inflows were led by US Large-Cap ETFs ($6.4 bln in net inflows last week)
Seven of the 15 categories we measure posted net inflows greater than $1 bln last week
ETF assets stand at $1.6 tln, up 17% YTD; $127.8 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $61.6 bln in net inflows
International - Developed ETFs generated net inflows of $16.0 bln over the last 13 weeks, the most of any category we measured
Notably, International - Developed ETF market share is up to 12% from 10% at the beginning of the year while International - Emerging
ETF market share dropped to 9% from 12% over the same period
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $5.9 bln this past week, the most of any ETF
Given SPY’s size and institutional use, it is not surprising to see weekly flows in excess of $5 bln; YTD SPY has exhibited weekly net in/out flows of more than $5 bln eight times
Seven out of the 10 ETFs to generate the largest net inflows last week were US equity-based
The iShares MSCI Emerging Markets ETF (EEM) has regained traction, posting $1.5 bln in net inflows last week and $4.8 bln the last 13 weeks; EEM’s net inflows over the last 13 weeks lag only SPY
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume increased to 27% of listed trading volume in August (up from 26% in July)
Over the past 5 years, ETFs peaked at 36% of listed trading volume in November 2008
ETFs traded $349 bln last week, up 36% from the prior week and 27% greater than their 13-week average
US Large-Cap ETFs accounted for 42% of volume last week, however, make up only 24% of ETF market cap
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 8/30/13
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $7.4 bln
SPY’s shares short are at their highest level since 5/31/12 and 19% above their one-year average
Shares short of iShares MSCI EAFE ETF (EFA) declined to 30.8 mln from 41.2 mln on 8/15/13 and are now roughly in-line with the average shares short over the past year
Aggregate ETF USD short interest decreased by $10.2 bln over the period ended 8/30/13
The average shares short/shares outstanding for ETFs is currently 4.5%
The SPDR Retail ETF (XRT) exhibited the highest shares short as a % of shares outstanding at 360%, surpassing the CurrencyShares Euro Trust (FXE), which had exhibited the highest shares short as a % of shares outstanding for seven consecutive periods
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
$8.8 bln in total market cap of ETFs less than 1-year old
International Equity ETFs account for 45% of market capitalization of ETFs launched over the past year
Newly launched Fixed Income ETFs generated net inflows of $771 mln the past 13 weeks, the most of any category
91 new ETF listings and 31 closures/delistings YTD (12 additional closures announced)
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The top 10 most successful launches make up 69% of the market cap of ETFs launched over the past year
Four ETF sponsors and two asset classes represented in top 10 most successful launches; we note that the representation of funds with an income orientation is currently five (down from seven at the end of the second quarter)
Despite not cracking the top 10 most successful launches last week, the VelocityShares Equal Risk Weighted Large Cap ETF (ERW) generated net inflows of $28 mln, the most of any recently launched ETF; ERW owns large-cap stocks weighted by expected risk with stocks with lower expected risk making up a larger percentage
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Source: Morgan Stanley
NYSE eyes changes to options cancellations
September 23, 2013--NYSE Euronext is seeking to amend its rules to make it less likely for trading houses to cancel options trades because of computer glitches such as the one recently suffered by Goldman Sachs.
The exchange operator said it submitted a filing to US securities regulators that would alter its guidelines for reviewing so-called "clearly erroneous trades" on its two US options exchanges, NYSE Arca and NYSE Amex.
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Source: FT.com
NYSE Wins Most Business Since '09 as Markets Handle Volume Surge
September 21, 2013--The New York Stock Exchange won its biggest share of U.S. equity volume in almost four years amid changes to the Standard & Poor's 500 Index and Dow Jones Industrial Average as well as the expiration of derivatives.
NYSE Euronext (NYX)'s market captured 23 percent of volume yesterday, the most since reaching 25 percent on Dec. 18, 2009, and topping the peak of 22 percent set a year ago, according to data compiled by Bloomberg.
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Source: Bloomberg
CFTC.gov Commitments of Traders Reports Update
September 20, 2013--The current reports for the week of September 17, 2013 are now available.
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Source: CFTC.gov
Banks are essential to the commodities market, say banks
September 20, 2013--Back in July, we delved into a game that Goldman Sachs has been playing with aluminum markets: It warehouses metal and drives up the price, filtering down into the cost of your Coke.
But that was just a small window into a lucrative side business that investment banks have taken up over the past few years, trading in all sorts commodities like oil, natural gas, and petrochemicals. Last fall, for example, JPMorgan got permission to trade shares in warehoused copper, which copper users worry will interfere with supply.
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Source: Washington Post
ISE GeminiTM Rolls Out 200 Additional Products
Listings on ISE Gemini Now Represent Over Ninety Percent of Overall Equity
and ETF Options Volume
September 20, 2013--The International Securities Exchange (ISE) today announced that ISE GeminiTM has completed the rollout of 200 additional products.
Following today's expansion, ISE Gemini now lists all options classes included in the penny pilot and the most active non-penny pilot names. ISE Gemini has approximately 500 total products listed that together represent over ninety percent of equity and ETF options industry volume.
"The listing of an additional 200 products is an important step in continuing to grow ISE Gemini," said Boris Ilyevsky, Managing Director of ISE's Options Exchanges. "With the full complement of penny pilot names now listed on ISE Gemini, we are well positioned to effectively compete with the other maker-taker exchanges and look forward to expanded participation from new and existing member firms over the coming months."
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Source: International Securities Exchange (ISE)
PUR Investing to sub-advise for Horizons
September 20, 2013--Horizons ETFs Management (Canada) Inc. and its affiliate AlphaPro Management Inc. have announced the appointment of PŮR Investing Inc. as sub,advisor to the Horizons Active Diversified Income ETF (HAA).
HAA seeks to provide Canadian investors with a consistent rate of return balanced between current income and long-term capital growth. To achieve its objective, HAA invests in a balanced portfolio that includes ETFs.
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Source: Advisor.ca
UBS Launches Exchange-Traded Note with Significant Monthly Income Potential and Exposure to a Diversified, Multi-Asset Index
September 19, 2013--UBS Investment Bank announced that today is the first day of trading on the NYSE Arca(R) for the ETRACS Diversified High Income ETN (NYSE:DVHI).
DVHI is linked to the performance of the NYSE(R) Diversified High Income Index (the "Index").
DVHI Profile
Underlying Index: NYSE(R) Diversified High Income Index
Index Yield* :7.71%
Income Potential: Variable monthly coupon linked to the cash distributions,
if any, of the 138 Index constituents, less investor fees and any withholding taxes
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Source: Wall Street Journal
Exclusive: ETF 'godfather' Browne to join Cantor Fitzgerald
September 19, 2013--Reggie Browne, the former head of the exchange-traded funds team at KCG Holdings Inc, is joining Cantor Fitzgerald's ETF market making team, two sources familiar with the situation told Reuters Thursday.
Browne, known as "the Godfather of ETFs," and two other managers on his team left KCG earlier this month after being unable to agree on the terms of new contracts, a source told Reuters at the time. KCG is the trading firm formed in July after GetcoHolding Co's $1.4 billion takeover of Knight Capital Group.
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Source: Reuters
NYSE Euronext Launches the NYSE(R) Diversified High Income Index
New multi-asset, low-volatility index of high dividend-paying securities
September 19, 2013--NYSE Euronext today announced the launch of the NYSE(R) Diversified High Income Index (NYDVHI), a new index designed to measure the performance of a broad, diversified basket of 138 publicly-traded securities that provide exposure to multiple asset classes, sectors and segments that historically pay high dividends on distributions.
"We are pleased with the successful launch of NYDVHI, " said Nicholas Aninos, vice president, Global Index and Exchange-Traded Products, NYSE Euronext. "NYDVHI is an opportunity for our customers to use a diversified index to structure investments in high dividend-paying securities across multiple asset classes and sectors."
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Source: NYSE EUronext
