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DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review-Markets and commodity outflows remove $10.4bn from US ETP assets
February 26, 2013--Data in this report is as of Fri, Feb 22
Market and Net Cash Flows Review
Equity markets moved lower last week. The US (S&P 500) fell by 0.28%; while outside the US, the MSCI EAFE (in USD) and the MSCI EM (in USD) dropped by 0.15% and 1.22%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield fell by 4 bps last week; in the meantime, all major commodity indicators pulled back during the week, the DB Liquid Commodity Index was down by 2.52%, while the Agriculture sector (DB Diversified Agriculture Index), WTI Crude Oil, Gold and Silver prices retreated by 0.61%, 2.85%, 1.78% and 3.57%, respectively.
Last but not least, Volatility (VIX) rose by 13.72% during the same period.
The total US ETP flows from all products registered $1.54bn (-0.1%) of outflows during last week vs. $7.19bn (+0.5%) of inflows the previous week, setting the YTD weekly flows average at +$4.4bn (+$35.58bn YTD in total cash flows). Equity, Fixed Income, and Commodity ETPs experienced flows of +$0.6bn (0.1%), +$0.15bn (0.1%), -$2.29bn (-2.1%) last week vs. +$6.23bn (0.6%), +$0.98bn (0.4%), -$0.22bn (-0.2%) in the previous week, respectively.
Among US sectors, Financials (+$0.65bn, +1.3%) and Consumer Staples (+$0.2bn, +2.0%) received the top inflows, while Materials (-$0.43bn, -4.1%) and Information Technology (-$0.17bn, -0.9%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: IYR (+$0.5bn), XRT (+$0.2bn), EWJ (+$0.2bn)
Top 3 ETPs & ETNs by outflows: GLD (-$2.1bn), SPY (-$0.7bn), EWZ (-$0.4bn)
New Launch Calendar: new versions for the Russell low volatility indices
There were 2 new ETFs listed during last week on the NYSE Arca. The new products offer access to low volatility strategies.
Turnover Review: Floor activity rose by 11%
Total weekly turnover increased by 10.5% to $245.06bn vs. $221.76bn from the previous week. However, last week's turnover level was 9.0% below last year's weekly average. Equity and Commodity ETPs turnover increased by $23.3bn (+12.5%) and $1.2bn (+7.4%), respectively; meanwhile, Fixed Income ETPs turnover decreased by $1.5bn (-9.2%), during the same period.
Assets under Management (AUM) Review: assets dropped by $10bn
US ETP assets dropped by $10.4bn (-0.7%) totaling $1.406 trillion at the end of the week. As of last Friday, US ETPs have accumulated an asset growth of 5.5% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$5.7bn, +$0.3bn, -$5.0bn during last week, respectively.
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Source: Deutsche Bank - Synthetic Equity & Index Strategy -North America
Highland Capital Management Launches Highland iBoxx Senior Loan ETF
February 26, 2013--On Tuesday, Highland Capital Management ("Highland"), a leading provider of registered alternative investments, will visit the New York Stock Exchange (NYSE) to celebrate the recent launch of the Highland iBoxx Senior Loan ETF (SNLN).
The Highland iBoxx Senior Loan ETF (SNLN) aims to provide investors with an alternative income product that adds yield and diversity to their portfolios without adding substantial risk. The ETF trades on NYSE Arca, the all-electronic trading platform of NYSE Euronext and is the only ETF to track the Markit iBoxx USD Liquid Leveraged Loan Index.
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Source: NYSE Euronext
US regulator approves BlackRock's copper ETF plan
BlackRock could eventually take 121,000 tonnes of copper to back product
BlackRock's copper ETF pool double the size of rival JPM product
February 25, 2013--BlackRock Inc, the world's largest money manager, has won approval from the U.S. securities regulator to list a copper-backed exchange-traded fund, potentially moving ahead of JPMorgan whose listing of a similar product has been delayed by industry objections.
The U.S. Securities and Exchanges Commission approved a proposed rule change to list and trade shares of the iShares Copper Trust on NYSE Arca, it said on its website (www.sec.gov).
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Source: Reuters
CFTC's Division of Clearing and Risk Announces Revised Compliance Schedule for Required Clearing of iTraxx CDS Indices
February 25, 2013--The Division of Clearing and Risk (DCR) of the Commodity Futures Trading Commission today received notice from ICE Clear Credit LLC that it has begun offering customer clearing of the iTraxx CDS indices
that are subject to the clearing requirement under Regulation 50.4(b) and section 2(h) of the Commodity Exchange Act (CEA).
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Source: CFTC.gov
VIX Futures Set New Single-Day Volume Record Today: 302,278 Contracts
February 25, 2013 - The CBOE Futures Exchange, LLC (CFE(R)) announced today that CBOE Volatility Index(R)(VIX(R) index) futures set an all-time single-day volume record of 302,278 contracts (estimated).
Today's daily record eclipsed the previous VIX futures single-day record of 221,323 contracts traded on January 2, 2013.
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Source: CBOE
US watchdog set to weaken derivatives rules
February 22, 2013--A leading US regulator is poised to water down rules for derivatives trading that critics argue will allow global banks to preserve their dominance of the market.
Mark Wetjen, seen as the swing vote on the five-person Commodity Futures Trading Commission, recommended this week in a confidential agency memorandum that the CFTC alter its proposed rule regarding derivatives marketplaces, or "swap execution facilities", according to people who have seen the document.
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Source: FT.com
Vix up sharply on fears over US stimulus
February 22, 2013--Fears of an early end to quantatitive easing by the US Federal Reserve shook investors out of a new year slumber this week<, sending Wall Street's "fear gauge" to its highest level in months.
A midweek sell-off dragged the S&P 500 back near the 1,500 mark and pushed equity volatility measures up from multiyear low levels as view more
Source: FT.com
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices-A Deletion From The S&P/TSX Venture Composite And Venture Select Indices
February 22, 2013--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Western Wind Energy Corp. (TSXVN:WND) have approved the takeover offer whereby the company will be acquired by Brookfield Renewable Energy Partners L.P. (TSX:BEP.UN).
Shareholders of Western Wind Energy will receive $CDN2.60 cash per share held.
Western Wind Energy will be removed from the S&P/TSX Venture Composite and Venture Select Indices after the close of Friday, March 1, 2013.
Source: S&P Canadian Index Services
CFTC.gov Commitments of Traders Reports Update
February 22, 2013--The current reports for the week of February 19, 2013 are now available.
view updates
Source: CFTC.gov
Two Democrats try for long-shot financial transaction tax
February 22, 2013--Two congressional Democrats said on Tuesday they will revive a bill to tax financial transactions after 11 euro zone countries won approval for such a tax.
The two liberal Democrats, Senator Tom Harkin and Representative Peter DeFazio, said they would re-introduce their proposal to add a 3 cents tax on each $100 in financial transactions, which according to the congressional Joint Tax Committee could raise $352 billion over a decade
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Source: Reuters
