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Deutsche Bank-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review-Market plunge spurs $6.5bn outflow from Equity ETPs
November 19, 2012--Market and Net Cash Flows Review as of Friday, Nov 16th, 2012
Equity Markets remained on losing streak. The US (S&P 500) fell by 1.45%. At the same time, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 2.02% and 2.1%, respectively.
In other asset classes, rates outperformed credit last week; and commodities were mostly negative with the exception of WTI Crude Oil which was up by 0.7%. The USD was mixed against the majors appreciating by 2.3% against the JPY; and Volatility (VIX) dropped by 11.82% despite the market plunge during the same period.
The total US ETP flows from all products registered $6.49bn (-0.5% of AUM) of outflows during last week vs $2.45bn (+0.2%) of inflows the previous week, setting the YTD weekly flows average at +$2.9bn (+$131.78bn, +12.6% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$6.46bn (-0.7%), -$0.13bn (-0.1%), +$0.06bn (0.1%) last week vs. +$0.96bn (+0.1%), +$1.1bn (+0.4%), +$0.37bn (+0.3%) in the previous week, respectively.
Among US sectors, Utilities (+$0.35bn, +4.4%) and Energy (+$0.20bn, +1.0%) received the top inflows, while Materials (-$0.32bn, -4.0%) and Industrials (-$0.20bn, -3.7%) experienced the largest outflows.
Within equity ETFs, leveraged strategy products experienced $0.36bn (+4.2%) in net inflows, closely followed by Emerging Country ETPs (mostly China) with +$0.33bn (1.1%); while Large Cap (-$5.57bn, -2.8%) and Small Cap (-$1.23bn, -3.5%) ETPs experienced the largest outflows. In the debt space, Sub-Sovereign and Sovereign products experienced the largest inflows of +$0.44bn (+1.6%) and +$0.4bn (+0.7%), respectively; while Corporates saw strong outflows of $1.34bn (-1.3%). Gold products had the most relevant flows among commodity ETPs (+$0.3bn, +0.3%).
Top 3 ETPs & ETNs by inflows: BIL (+$0.4bn), BND (+$0.4bn), XLU (+$0.4bn) Top 3 ETPs & ETNs by outflows: SPY (-$4.8bn), IWM (-$1.2bn), VWO (-$0.7bn)
New Launch Calendar: new broad and sector commodity exposure
Last week RBS launched five new ETNs, all of them were listed in the NYSE Arca. The new products offer exposure to various commodity sectors.
Turnover Review: Floor activity decreased by 2.8%
Total weekly turnover decreased by 2.8% to $304bn vs. $313bn from the previous week. In addition, last week's turnover level was 20% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $4.4bn (-1.6%), $1.2bn (-6.8%) and $3.1bn (-20.0%), respectively.
Assets under Management (AUM) Review: ETP assets dropped by 1.9%
Market pressure pushed ETP AUM down by 1.9% during last week, bringing total US AUM to 1.237 trillion. As of last Friday, US ETPs have accumulated an asset growth of 18.3% YTD. Assets for equity, fixed income and commodity ETPs moved -$21.7bn, -$0.7bn, -$1.1bn during last week, respectively.
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Source:Deutsche Bank-Synthetic Equity & Index Strategy-North America
Exchanges Get Closer Inspection
November 19, 2012--Federal securities regulators are stepping up oversight of stock exchanges as they scramble to catch up to trading advantages that some say have developed for sophisticated clients at the expense of ordinary investors.
That effort has led the Securities and Exchange Commission to expand an enforcement probe into a broader look at how exchanges develop new products, communicate with investors and provide incentives to trade, according to people familiar with the probe.
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Source: Wall Street Journal
S&P Dow Jones Indices, TMX Group Launch Preferred Share Laddered and Equal Weight Sector Indices
Indices Licensed to BMO Asset Management for the Development of ETFs
November 19, 2012--S&P Dow Jones Indices and TMX Group Inc. announced today the launch of three new Canadian indices: the S&P/TSX Preferred Share Laddered index, the S&P/TSX Equal Weight Global Gold index and the S&P/TSX Equal Weight Industrials index.
Each of the indices has been licensed by S&P Dow Jones Indices to BMO Asset Management for potential exchange traded products to be listed on Toronto Stock Exchange.
The S&P/TSX Preferred Share Laddered index was created in response to investors’ ongoing demand for income producing securities. The S&P/TSX Equal Weight Global Gold index is a sub-index of the S&P/TSX Global Gold index and includes constituents that meet specific market cap and liquidity hurdles. The S&P/TSX Equal Weight Industrials index includes the constituent stocks of the S&P/TSX Composite that are classified as Industrials according to the Global Industry Classification Standard (GICS®) that also meet specific market capitalization and liquidity hurdles.
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Source: TMX
Morgan Stanley-ETF Weekly Update
November 19, 2012--US ETF Weekly Update
Weekly Flows: $6.7 Billion Net Outflows
ETFs Have Posted Net Inflows 35 of 46 Weeks YTD ($130.3 Bln)
ETF Assets Stand at $1.2 Trillion, up 18% YTD
No ETF Launches Last Week
No News Items Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted large net outflows for the 2nd time in the past four weeks ($6.7 bln in net outflows last week)
Net outflows were primarily driven by US Large- and Small-Cap ETFs (combined $6.7 bln in net outflows)
ETF assets stand at $1.2 tln (up 18% YTD) and have posted net inflows 35 out of 46 weeks in 2012 ($130.3 bln YTD)
13-week flows were mostly positive among asset classes; combined $42.6 bln net inflows
Despite posting net outflows last week, Fixed Income ETFs have posted net inflows 63 out of the past 66 weeks, including
$11.2 bln over the past 13 weeks
Emerging Markets Equity ETFs have generated $9.4 bln in net inflows over the last 13 weeks, the 2nd most of any category behind Fixed Income
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) generated net inflows of $371 mln, the most of any ETF
The 10 ETFs to post the largest net inflows last week were mixed, reflecting both defensive and aggressive areas of the market (i.e.
T-Bills to China), while the top 10 ETFs to exhibit the largest net outflows last week were skewed toward riskier portfolios
(i.e. Small-Cap Equities to High Yield)
Notably, high yield bond ETFs posted meaningful net outflows last week, totaling $897 mln
US-Listed ETFs: Short Interest
Data Unchanged:
Based on data as of 10/31/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.9 bln
Despite an increase in short interest last period, SPY’s shares short remained 26% below their average level over the past year
Aggregate ETF USD short interest increased by $3.9 bln over the past two weeks ended 10/31/12
The average shares short/shares outstanding for ETFs is currently 4.4%
Smaller ETFs by market cap may skew the results (3 of the top 10 with the highest % of shares short have market caps <$25 mln)
Notably, the iShares Barclays 20+ Year Treasury Bond Fund (TLT) cracked the top ten most heavily shorted ETFs
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only seven 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 11/16/12 based on daily change in share counts and daily NAVs.
$7.7 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 52% of the market cap of ETFs launched over the past year
142 new ETF listings and 76 closures YTD (additional 3 liquidations have been announced)
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
Fixed Income ETFs make up 27% of total ETFs launched over the past year, however account for 77% of the group’s market cap (includes actively managed fixed income funds for both number and market cap)
Despite not cracking the top 10 most successful launches the past year, the PowerShares S&P Emerging Markets Low Volatility Portfolio (EELV) generated net inflows of $67 mln last week, the second most out of any recently launched ETF
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Source: Morgan Stanley
Fact Sheet: Final Determination on Foreign Exchange Swaps and Forwards
November 16, 2012-- The Dodd-Frank Act put in place a comprehensive set of reforms to help build stronger, safer, and more efficient financial markets.
The Obama Administration fought hard for and strongly supports the Dodd-Frank Act’s comprehensive reforms to the derivatives market, which will reduce risk, increase transparency, and provide accountability for market participants.
Congress provided the Secretary of the Treasury with the authority to determine whether certain derivatives requirements, including central clearing and exchange trading, should apply to foreign exchange (FX) swaps and forwards, based on the recognition within Congress that the unique characteristics and pre-existing oversight of the FX swaps and forwards market already reflect many of the Dodd-Frank Act’s objectives for reform – including high levels of transparency, effective risk management, and financial stability.
view the Fact Sheet: Final Determination on Foreign Exchange Swaps and Forwards
Source: US Department of the Treasury
U.S. Department of the Treasury Economic Statistics-Monitoring the Economy Update
November 16, 2012--The Economic Statistics-Monitoring the Economy for U.S. Department of the Treasury have been updated and are now available.
view the US Economic Data-Monthly data report
view the US Economic Data-Quarterly report
Source: US Department of the Treasury
CFTC.gov Commitments of Traders Reports Update
November 16, 2012--The current reports for the week of November 13, 2012, are now available.
view updates
Source: CFTC.gov
ISE Elects New Member to Board of Directors
November 16, 2012--The International Securities Exchange (ISE) today announced that Marcus Thompson was elected by the Board of Directors for a two-year term.
Mr. Thompson, who is a Managing Director within the CFO division of Deutsche Börse AG, will serve as a non-industry director.
“I would like to welcome Marcus Thompson to ISE’s Board,” said Gary Katz, President and Chief Executive Officer of ISE. “Many of us at ISE have had the opportunity to work with Marcus in his role at Deutsche Börse Group over the past five years, and his knowledge of our business and the exchange industry will make him a valuable contributor in this new capacity as a member of our Board of Directors.”
In his role at Deutsche Börse Group, Mr. Thompson currently is responsible for Financial Accounting & Controlling. He also serves on the executive board of the Group’s Clearstream subsidiary. Prior to joining Deutsche Börse in 2000, Mr. Thompson worked for KPMG, Thomas Miller & Co and Citigroup. He is a member of the Institute of Chartered Accountants in England & Wales.
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Source: International Securities Exchange (ISE)
ISE Weekly Listings November 16, 2012
November 16, 2012--The International Securities Exchange listed new options classes during the week beginning November 12, 2012 as described below.
Effective Wednesday, November 14, 2012, the ISE will list options on the following product(s) along with their related symbol(s):
Bin 6- UBS Securities LLC
Equity
Sandstorm Gold Ltd. (Symbol: SAND, Trading Symbol(s): SAND) will trade on a March expiration cycle with exercise and position limits of 50000.
Nationstar Mortgage Holdings Inc (Symbol: NSM, Trading Symbol(s): NSM) will trade on a January expiration cycle with exercise and position limits of 250000.
Bin 8 - Citadel Securities LLC Equity
Active Network Inc. (Symbol: ACTV, Trading Symbol(s): ACTV) will trade on a January expiration cycle with exercise and position limits of 75000.
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Source: Mondovisione
OECD-Latin American Economic Outlook
New SME policies needed to boost Latin America's growth, say OECD and ECLAC
November 16, 2012--After nearly a decade of continuous expansion, GDP growth in Latin America will slow from 4.4% in 2011 to 3.2% in 2012 and 4.0% in 2013.
The outlook remains relatively positive, but is exposed to global uncertainty and volatility. Latin American governments must act now to strengthen growth and development and counter these risks, according to the 2013 Latin American Economic Outlook, jointly produced by the OECD Development Centre and ECLAC.
“Now is the time for Latin America to go structural, to build on previous reforms and make further progress to reduce inequality and strengthen economic growth. The global context calls for structural change to enhance productivity, to enhance productivity in the region.” said OECD Secretary-General Angel Gurría, launching the report at the XXII Iberoamerican Summit in Spain. “SMEs in Latin America have the potential to act as catalysts and help the region drive up productivity. Greater coordination is needed to help SMEs overcome obstacles in terms of access to financing, human capital and innovation.”
view the Latin American Economic Outlook 2013
Source: OECD
