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Morgan Stanley-US ETF Weekly Update
December 10, 2012--Weekly Flows: $1.1 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 25% YTD
One ETF Launch Last Week
IndexIQ Announces Emerging Markets ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $1.1 bln last week, the 3rd consecutive week of net inflows
Net inflows were led by Emerging Market Equity ETFs which posted net inflows of $1.5 bln
ETF assets stand at $1.3 tln (up 25% YTD) and have posted net inflows 38 out of 49 weeks in 2012 ($154.0 bln YTD)
ETF flows are on pace for their highest amount since 2008 when net inflows totaled nearly $175 bln
13-week flows were mostly positive among asset classes; combined $56.5 bln net inflows
Fixed Income ETFs have posted net inflows 66 out of the past 69 weeks; including $13.1 bln over the past 13 weeks
Currency as well as Leveraged/Inverse ETFs were the only categories we measured over the last 13 weeks to exhibit net outflows;
they posted a combined $869 mln in net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares MSCI Emerging Markets Index Fund (EEM) posted net inflows of $947 mln, the most of any ETF
EEM also generated the highest net inflows over the last 13 weeks at $5.5 bln
Nine of the 10 ETFs to post the largest net outflows last week were US equity-based (Vanguard captured seven of the spots); the Vanguard outflows were nearly identical reversals from the prior week’s net inflows
Interestingly, the PowerShares QQQ (QQQ) has exhibited net outflows of $2.7 bln over the last 13 weeks, the most of any ETF; Apple, the largest holding in QQQ at ~17%, is down more than 6% over this time period vs. the S&P 500 which is down only 1%
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 11/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.1 bln
SPY’s shares short climbed for the second period in a row and currently reside at their highest level since 6/29/12
Aggregate ETF USD short interest increased by $6.0 bln over the past two weeks ended 11/15/12
The average shares short/shares outstanding for ETFs is currently 4.9%, up from 4.4% in the prior period
Smaller ETFs by market cap may skew results (four of the top 10 with the highest % of shares short have market caps <$25 mln)
Retail ETFs continue to be some of the most heavily shorted ETFs; SPDR Retail ETF (XRT) and Market Vectors Retail ETF (RTH) each have shares short as a % of shares outstanding over 200%
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 Smith Barney Research.
Data estimated as of 12/7/12 based on daily change in share counts and daily NAVs.
$8.2 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 53% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $3.9 bln
146 new ETF listings and 79 closures YTD (IndexIQ announced an additional closure to take place on 12/18)
ETF issuance is on pace for its lightest year since 2009 when only 125 ETFs came to market
The top 10 most successful launches make up 72% 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
ETFs with a fixed income orientation account for the majority of the top 10 most successful launches over the past year
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Source: Morgan Stanley
Monitoring the Economy
December 10, 2012--The Office of Economic Policy monitors key economic indicators to produce the following summary tables of monthly and quarterly U.S. economic statistics.
view the US Economic Data-Monthly report
Source: US Department of the Treasury
Credit Suisse Plans to Dismiss 120 in New York City
December 10, 2012--Credit Suisse Group AG (CSGN), the second-largest Swiss lender, plans to eliminate 120 jobs in New York City as Chief Executive Officer Brady Dougan pursues plans to reduce expenses.
The cuts will take place between Dec. 30 and March 4 at the company’s Madison Avenue offices in Manhattan, the Zurich-based bank said in a notice dated yesterday with the state Department of Labor. The dismissals are part of previously announced cost reductions, according to Jack Grone, a spokesman for the bank. He declined to elaborate on the filing.
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Source: Bloomberg
Private Equity Activity Slows in Latin America, According to Thomson Reuters Report
December 10, 2012--Private equity and venture capital investment in Latin America reached $1.79 billion in the first half of 2012, down 60 percent from the same period in 2011, according to the latest issue of Venture Equity Latin America from Thomson Reuters.
The report is published by WTE, part of the Tax & Accounting business of Thomson Reuters.
Private equity activity in the region has been a roller coaster ride in recent years. It climbed from $1 billion in 2005 to $7.5 billion in 2007, then dipped to about $3 billion in 2008 and 2009. It spiked the following year to $17.2 billion before declining to $5.5 billion in 2011.
read more
Source: Thomson Reuters
CFTC's Division of Market Oversight Issues Time-Limited No-Action Relief for Part 20 Reporting Entities Regarding Identifying Information and for Part 45 & Part 46 Reporting Counterparties Regarding Legal Entity Identifiers & Other Identifying Information
December 10, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (Division) issued a letter providing reporting parties under Parts 20, 45 and 46 of the Commission's regulations with time-limited no-action relief from requirements to report certain identifying information regarding their non-reporting counterparties.
The Division’s no-action letter addresses Legal Entity Identifiers, other identifying swap data fields pursuant to Parts 45 and 46, and large swap trader counterparty identification information pursuant to Part 20.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter for Operators of Mortgage REITs
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter to mortgage real estate investment trusts (mREITs).
The letter states that DSIO will not recommend that the CFTC take enforcement action against the operators of mREITs for failure to register as commodity pool operators under the Commodity Exchange Act and the CFTC’s regulations provided that the mREIT satisfies certain criteria including compliance with a de minimis threshold.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Provides No-Action Relief to Swap Dealers and Major Swap Participants from Compliance with Statutory Disqualification Prohibition with Respect to their Association with Certain Persons
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) announced the issuance of limited no-action relief to Swap Dealers and Major Swap Participants (collectively, Swap Entities) from compliance with the prohibition in
Regulation 23.22(b) against permitting a person who is subject to a statutory disqualification to effect or be involved in effecting swaps on behalf of the Swap Entity.
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Source: CFTC.gov
CBO -Monthly Budget Review-Fiscal Year 2013
December 7, 2012--The federal budget deficit was $292 billion for the first two months of fiscal year 2013, $57 billion more than the shortfall recorded in October and November of last year, CBO estimates.
Without shifts in the timing of certain payments in each year, however, the deficit for the two-month period would have been about $8 billion lower this year than in fiscal year 2012.
Total Receipts Were Up by 10 Percent in the First Two Months of Fiscal Year 2013 Receipts for the first two months of in fiscal year 2013 totaled $346 billion, $30 billion more than those in the same period last year. Compared with receipts in October and November last year:
Net receipts from individual income and payroll (social insurance) taxes rose by $23 billion, or 8 percent. Increases in amounts withheld from workers’ paychecks ($21 billion, or 8 percent) accounted for most of the year-over-year gain, partly because wages and salaries were higher and partly because October 2012 had two more days on which tax payments were received than October 2011 did. Nonwithheld receipts, mainly from filings of 2011 tax returns by people who had received filing extensions, increased by $2 billion. Receipts from corporate income taxes, which are quite small at this point in the year, have been slightly less.
view the CBO Monthly Budget Revue-Fiscal Year 2013
Source: Source: CBO (Congressional Budget Office)
BlackRock ETP Landscape-Industry Highlights-November 2012
December 7, 2012--In November ETPs attracted strong flows of $25.0bn, bringing the year-to-date total to $218.9bn. The previous year-to-date record through November of $208.5bn was set in 2008 during the global credit crisis.
Year-to-date global ETP flows have already surpassed 2011’s full year total of $173.4bn.
ETP investors split across the risk spectrum allocating $2.7bn to safe-haven Treasuries - with flows cadenced near US elections - while also maintaining a degree of risk appetite through the purchase of US Equities which garnered $8.2bn, and EM Equities and EM Bonds which together drew in $6.2bn.
Over the year-to-date, fixed income has been a key growth driver, attracting 31% of all inflows with $67.8bn, well ahead of the $50bn collected in 2011.
request report
Source: BlackRock
S&P Dow Jones Indices Announces Changes In Canadian Indices
A Deletion From The S&P/TSX Composite Index
December 7, 2012--The shareholders of Viterra Inc. (TSX:VT) have accepted the $CDN16.25 cash per share offer from Glencore International plc (LSE:GLEN). Viterra will be removed from the S&P/TSX Composite and Capped Composite,
the S&P/TSX Equity and Capped Equity, the S&P/TSX Completion and Equity Completion, the S&P/TSX Composite Dividend, the S&P/TSX Composite Equal Weight and the S&P/TSX Capped Consumer Staples Indices effective after the close of Friday, December 14, 2012.
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Source: S&P Dow Jones
