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Morgan Stanley-US ETF Weekly Update
March 12, 2013-Weekly Flows: $6.0 Billion Net Inflows
ETF Assets Stand at $1.4 Trillion, up 7% YTD
No ETF Launches
Columbia Changes Names on Active ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $6.0 bln last week, the second consecutive week of net inflows
Last week¡¦s net inflows were driven by US Equity ETFs ($5.7 bln); specifically US Large-Cap ETFs had net inflows of $4.3 bln
ETF assets stand at $1.4 tln, up 7% YTD; $43.6 bln net inflows YTD
13-week flows were mostly positive among asset classes; combined $71.1 bln in net inflows
Despite International ¡V Emerging stumbling a bit last week, International Equity ETFs as a whole have posted net inflows of $28.6 bln over the last 13 weeks, which equates to 40% of ETF net inflows over this period, while the segment accounts for only 22% of ETF market cap
Commodity ETFs have posted net outflows of $5.4 bln over the last 13 weeks, the most of any category; in particular, one ETF,
the SPDR Gold Trust (GLD), has exhibited net outflows of $5.8 bln over this period
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Eight of the 10 ETFs to post the largest net inflows last week were US equity-based
Three of the 10 ETFs to generate the largest net inflows track the S&P 500 Index and a fourth tracks the low volatility names in the
Index; the four ETFs had a combined $3.9 bln in net inflows
Notably, the iShares MSCI Emerging Markets Index Fund (EEM) has exhibited net outflows for two consecutive weeks totaling $1.7 bln; prior to the last two weeks, EEM had only posted net outflows in one of the previous 25 weeks
The SPDR Gold Trust (GLD) has not posted a weekly net inflow in 14 weeks and its market cap has declined from $74.3 bln to $62.9 bln over this period as weakness in gold has caused asset depreciation and continued outflows
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 2/15/13
SPDR S&P 500 ETF (SPY) had the largest increases in USD short interest at $2.1 bln
Notably, the SPDR Barclays High Yield Bond ETF (JNK) exhibited its highest level of shares short since inception; JNK had 26.2 mln shares short as of the period ended 2/15/13, up 82% since the last period
Aggregate ETF USD short interest increased by $4.3 bln over the period ended 2/15/13 and has now increased $7.0 bln the last two periods; despite the increase in short interest, financial markets have remained resilient
The average shares short/shares outstanding for ETFs is currently 4.8%
Interestingly, the top 10 ETFs most heavily shorted as a % of shares outstanding does not change much; certain areas of the market
such as retail, currency, and real estate seem to consistently make the list
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only four 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 Smith Barney Research.
Data estimated as of 3/8/13 based on daily change in share counts and daily NAVs.
$6.3 bln in total market cap of ETFs less than 1-year old, down from $10.2 bln the prior week
Newly launched Fixed Income ETFs accounted for 41% of the market cap of ETFs launched over the past year, the most of any category and replacing Active ETFs; the reason for the decline in Active ETF assets can be attributed to the PIMCO Total Return ETF (BOND) falling off the recently launched list as it eclipsed its one-year anniversary
Issuance is off to a slow start in 2013; 15 new ETF listings and 16 closures YTD (nine additional announced closures)
The top 10 most successful launches make up 58% of the market cap of ETFs launched over the past year
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Seven out of the 10 most successful launches over the past year have an income orientation
The recently launched iShares international ¡§Core¡¨ series continues to gain traction driven by their low cost, broad market representation, and increasing liquidity (IEMG and IEFA posted a combined $184 mln in net inflows last week)
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Source: Morgan Stanley
Nasdaq Plans to Focus on EFTs With PSX Exchange
March 12, 2013--Nasdaq OMX Group Inc. (NDAQ) is seeking to bolster its status in the increasingly important arena of exchange-traded funds, dedicating one exchange solely to trading ETFs and similar products.
The exchange operator plans to change the structure of PSX, its smallest trading venue by volume, to focus on exchange-traded products, according to a filing submitted to regulators Friday and reviewed by The Wall Street Journal. That shift will involve a change to the exchange's market structure, as well as an introduction of designated market makers to the exchange, which is a descendent of the Philadelphia Stock Exchange, according to the filing submitted to the Securities and Exchange Commission. The exchange's operations are now based in New York.
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Source: Wall Street Journal
CFTC Certifies Futures Contracts on the MICEX Index, the Hang Seng Index, the FTSE/JSE Top 40 Index, and the BSE Sensitive Index Submitted by the Bolsa de Valores, Mercadorias e Futuros (BVMF-Brazil)
March 12, 2013--The U.S. Commodity Futures Trading Commission's (CFTC) Division of Market Oversight issued a letter advising the Bolsa de Valores, Marcadorias e Futuros (BVMF-Brazil) that its MICEX Index
, Hang Seng Index, FTSE/JSE Top 40 Index, and the BSE Sensitive Index futures contracts submitted for review on January 25, 2013, were deemed certified.
The contracts satisfy the requirements of the Commodity Exchange Act and the Commission’s Regulations and may be offered or sold to persons in the U.S. through the BVMF’s direct access terminals located in the U.S.
Source: CFTC.gov
DTCC Proposes Steps To Move Ahead On Full Dematerialization Of Physical Securities
March 12, 2013--The Depository Trust & Clearing Corporation (DTCC) today proposed changes in security processing that will help eliminate existing physical certificates as well as end the issuance of new certificates in the U.S. Dematerialization will help to lower costs, mitigate risk and bring greater efficiency to the industry, including the individual shareholder.
Referring to the proposals as the “four main pillars of dematerialization,” DTCC recommended that the Depository Trust Company (DTC), a DTCC subsidiary, and industry stakeholders:
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Source:DTCC
Swaps-Clearing D-Day Set to Trim Dealer Profits: Credit Markets
March 11, 2013--The $639 trillion over-the-counter derivatives market begins the largest transformation in its 30-year history today with rules intended to contain another financial crisis, trimming profits for Wall Street banks.
Companies from JPMorgan Chase & Co. to BlackRock Inc. are now required under the 2010 Dodd-Frank Act to have most of their privately negotiated swaps trades backed by a clearinghouse that’s capitalized by the world’s largest banks. That means dealers and their customers have to post upfront collateral to absorb losses if a firm defaults and settle daily losses.
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Source: Washington Post
CFTC Announces that Mandatory Clearing Begins Today
March 11, 2013--Today, swap dealers, major swap participants and private funds active in the swaps market are required to begin clearing certain index credit default swaps (CDS) and interest rate swaps that they entered into on or after March 11, 2013.
The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) amended the Commodity Exchange Act (CEA) to require clearing of certain swaps. The Dodd-Frank Act also requires the Commission to determine whether a swap is required to be cleared by either a Commission-initiated review or a submission from a DCO for the review of a swap, or group, category, type, or class of swap. The clearing requirement determination does not apply to those who are eligible to elect an exception from clearing because they are non-financial entities hedging commercial risk.
view the Five Swap Classes"
Source: CFTC.gov
DB-US ETF Market Weekly Review-Markets and $6.0bn inflows push ETP assets to new all time high
March 11, 2013--Data in this report is as of Fri, Mar 08
Market and Net Cash Flows Review
Markets moved higher during last week. The US (S&P 500) rose by 2.17%; while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 1.84% and 1.26%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 20 bps last week. In the meantime, the DB Liquid Commodity Index was up by 1.15%. Similarly, the WTI Crude Oil, Gold and Silver prices moved higher by 1.40%, 0.16% and 1.36%, respectively; while the Agriculture sector (DB Diversified Agriculture Index) end flat for the week. Last but not least, Volatility (VIX) dropped by 18.03% during the same period.
The total US ETP flows from all products registered $6.04bn (+0.4% of AUM) of inflows during last week vs. $2.67bn (+0.2%) of inflows the previous week, setting the YTD weekly flows average at +$4.0bn (+$44.31bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$6.01bn (0.58%), +$0.83bn (0.32%), -$0.95bn (-0.91%) last week vs. +$2.7bn (0.26%), +$1.27bn (0.49%), -$1.43bn (-1.34%) in the previous week, respectively.
Among US sectors, Healthcare (+$0.17bn, +1.09%) and Consumer Staples (+$0.07bn, +1.00%) received the top inflows, while Energy (-$0.4bn, -1.72%) and Consumer Discretionary (-$0.01bn, -0.09%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: SPY (+$2.3bn), QQQ (+$0.9bn), SSO (+$0.8bn)
Top 3 ETPs & ETNs by outflows: EEM (-$1.1bn), MVV (-$0.8bn), GLD (-$0.7bn)
New Launch Calendar: no new listings
There were no new listings during last week.
Turnover Review: Floor activity decreased by 27%
Total weekly turnover decreased by 26.8% to $259.15bn vs. $354.09bn from the previous week. Last week's turnover level was 3.9% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $89.4bn (-28.6%), $25m (-0.1%) and $3.3bn (-21.4%), respectively.
Assets under Management (AUM) Review:
ETP assets reach $1.436 trillion
US ETP assets rose by $26.4bn (+1.9%) totaling $1.436 trillion at the end of the week. As of last Friday, US ETPs have accumulated an asset growth of 7.7% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved +$26.7bn,-$28m, -$0.4bn during last week, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy - North America
Advisers gravitate towards ETFs
March 10, 2013--As exchange traded-fund sponsors look to expand their reach in the retail market, tactical portfolios are one of the fastest-growing channels to deliver the products.
Registered investment advisers and other third-party asset managers have gravitated towards ETFs as a way to execute tactical asset allocation strategies. When packaged into separate accounts, mutual funds or other products, they are finding a receptive audience among advisers, retirement plans and institutional investors.
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Source: FT.com
Pimco and Schwab join $10bn ETF club
March 10, 2013--Charles Schwab and Pimco have just joined the $10bn club -a select group of US investment managers that run more than $10bn-worth of exchange traded fund assets.
Schwab rushed out a press notice to publicise the fact, Pimco chose to let the occasion pass quietly with no acknowledgment.
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Source: FT.com
ETFs and ETPs in Canada had net inflows of US$907 million in February 2013 with the majority going into equities
March 8, 2013--In February 2013, Exchange Traded Funds (ETFs) and Exchange Traded Products (ETPs) listed in Canada had net inflows of US$907 million, according to new research published in the latest ETFGI Canada ETF and ETP industry insights.
ETFGI won the Best ETF Research award in 2012 in the ETF Express awards announced on February 28th in London.
Equity ETFs and ETPs gathered the largest net inflows with US$641 million, followed by fixed income ETFs and ETPs with US$262 million, and leveraged inverse ETFs and ETPs with US$34 million, while commodity ETFs and ETPs experienced the largest net outflows with US$78 million.
Year to date through end of February 2013, ETFs and ETPs have seen net inflows of US$389 million. Fixed income ETFs and ETPs gathered the largest net inflows US$466 million, followed by leveraged inverse ETFs and ETPs with US$128 million, and active ETFs and ETPs with US$70 million, while leveraged ETFs and ETPs experienced the largest net outflows year to date with US$171 million.
“The flows into equity ETFs and ETPs show investors are starting to rotate out of cash and fixed income into equities as investor confidence continues to improve,” said Deborah Fuhr, Managing Partner at London-based ETFGI.
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Source: ETFGI
