Americas ETP News
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Knight Capital head defends leadership
August 28, 2012--The head of Knight Capital defended his leadership of the electronic trading company just weeks after a trading glitch left the company on the verge of bankruptcy, adding that its finances were now as "healthy" as they had ever been.
The statements from Tom Joyce, chief executive and a well-known industry figure, came as Knight named three new directors to its board as part of a $400m bailout it agreed to this month. Investors in the bailout now own about 70 per cent of the company.
read more
Source: FT.com
DB-Equity Derivatives and Quantitative Strategy Research-North America-US ETF Market Weekly Review : ETP assets reach record high
August 28, 2012--Net Cash Flows Review
Equity markets moved lower last week. Stocks in the US (S&P 500) fell by-0.50%, while abroad, the MSCI EAFE and MSCI EM indices, both in USD terms, declined by -0.04% and -0.53%, respectively.
Among the other asset classes, over the same period: the 10 Yr US Treasury yield declined 13bps. Meanwhile, the DB Liquid Commodity index gained 1.08%, as Agriculture (DB Diversified Agriculture index), WTI Crude Oil, Gold, and Silver prices rose by 0.18%, 0.15%, 3.37%, and 9.59%, respectively. Finally, Volatility (VIX index) rose by 12.86%.
All US ETP products in aggregate had inflows of $2.9bn last week vs. $0.6bn of inflows in the previous week. Cash flows year-to-date total $91.4bn, for a weekly average of $2.7bn.
Equity, Fixed Income, and Commodity ETPs experienced inflows of +$1.3bn, +$0.5bn, and +$0.9bn last week vs. outflows of -$0.5bn and inflows of +$0.3bn and +$0.8bn in the previous week, respectively.
Within Equity ETPs, Large Cap products had the most inflows (+$0.8bn); while Small Cap products had the most outflows (-$0.2bn). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.5bn); while Sovereign products had the only outflows (-$0.3bn). And within Commodity ETPs, only the precious metals products had significant flows (+$0.9bn).
Top 3 ETPs & ETNs by inflows: SPY (+$0.7bn), GLD (+$0.6bn), VWO (+$0.5bn) Top 3 ETPs & ETNs by outflows: IWM (-$0.2bn), XLV (-$0.2bn), DIA (-$0.2bn)
New Launch Calendar: No New Listings There were no new product listings last week.
Turnover Review: Floor Activity Increased by 16%
Total weekly turnover increased by 16% to $218bn vs. $188bn from the previous week. However, last week’s turnover level was 42% below last year’s weekly average. Equity ETP turnover increased by $21.6bn, or 13.3%, to $184bn. Concurrently, Fixed Income and Commodity ETPs turnover rose by 0.7% ($0.1bn) and 82.9% ($7.6bn), respectively.
Assets under Management (AUM) Review: Assets Rose by 0.3%
Last week, total US ETP AUM reached a new all-time high of $1.219 trillion. Although Equity ETP assets declined by -$2.3bn, Fixed Income and Commodity ETP assets gained $1.8bn and $4.5bn, respectively. As of last Friday, total assets, year-to-date, had grown by 16.6% or $173.4bn.
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http://pull.db-gmresearch.com/p/632-744E/64203527/US_ETF_Market_Weekly_Review_08282012.pdf
Source: Deutsche Bank - Equity Derivatives and Quantitative Strategy Research - North America
BlackRock First ETP Landscape Thematic Report Published on Fixed Income
August 28, 2012--The Fixed Income Special Report provides key highlights on the global Fixed Income Exchange Traded Products (ETPs) industry, as of July 2012.
This report is the first in a new series of thematic reports that offer an in-depth analysis of specific segments and/or significant market trends emerging within the global ETP industry.
Global Fixed Income ETP assets have rapidly grown to $309 billion, delivering a 10 year compound annual growth rate (CAGR) of 57%.1
Global Fixed Income ETP assets could exceed $1 trillion in five years and $2 trillion over the next decade. We believe investor appetite for Bond ETPs will continue over the coming decade spurred by the income needs of aging populations resulting in a larger allocation to Fixed Income assets.2
The Fixed Income ETP market accounts for a mere 0.3% of the $98 trillion global bond market leaving ample room for future growth.
request report
Source: BlackRock Investment Institute
Wall Street Granted Another Brief Reprieve
August 28, 2012--Wall Street received a brief but important reprieve on Monday, as federal regulators quietly postponed another set of new rules.
At first, when regulators announced their action, the delay went undetected. In a statement on Monday, the Commodity Futures Trading Commission instead highlighted how it approved a package of reforms that would bring clarity to derivatives trading, one of the foggiest corners of Wall Street.
But buried in the 254-page document, the agency also granted a separate extension for some rules. The agency’s decision was reached behind closed doors rather than at a public meeting in Washington.
read more
Source: NY Times
Statement of Support-Internal Business Conduct Standards
Chairman Gary Gensler
August 27, 2012--I support the final rule implementing Congress' direction that the Commission adopt rules for "timely and accurate confirmation, processing, netting, documentation, and valuation of all swaps."
This direction was included in the swaps market reform provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).
Each of these requirements promotes crucial back office standards that will reduce risk and increase efficiency in the swaps market. These final rules are critical to the risk management of swap dealers and major swap participants and lowering their risk to the public.
read more
Source: CFTC.gov
Federal Reserve Board begins practice of publishing Reserve Bank financial reports on a quarterly basis
August 27, 2012--The Federal Reserve Board on Monday began the practice of publishing unaudited combined Federal Reserve Bank financial reports on a quarterly basis.
This enhancement to the Board's previous financial reporting procedures will provide greater transparency by communicating financial information on a more frequent basis and in greater detail.
view 2012 Q1-Federal Reserve Banks Combined Quarterly Financial Report view the view 2012 Q2-Federal Reserve Banks Combined Quarterly Financial Report CFTC Issues Final Rules Establishing Swap Dealer and Major Swap Participant Requirements for Swap Trading Relationship Documentation, Swap Confirmation, Reconciliation and Compression of Swap Portfolios
The Dodd-Frank Wall Street Reform and Consumer Protection Act directed the Commission to adopt rules on the timely and accurate confirmation, processing, netting, documentation, and valuation of all swaps, as well as the reconciliation and compression of swap portfolios. These rules fulfill this congressional direction. Federal Reserve Board considering changes to the implementation timeline for the Dodd-Frank company-run stress test requirements The Federal Reserve in December 2011 issued a notice of proposed rulemaking to implement the enhanced prudential standards and early remediation requirements established under the Dodd-Frank Act. The December 2011 proposal would require all bank holding companies and state member banks with more than $10 billion in total consolidated assets to comply with the requirements to conduct an annual company-run stress test beginning on the effective date of the final rule. The December 2011 proposal would also require all savings and loan holding companies with more than $10 billion in assets to comply with the annual company-run stress test requirements once those holding companies become subject to minimum risk-based capital requirements. read more Morgan Stanley-ETF Weekly Update ETFs posted net inflows of $2.9 bln last week, the fourth consecutive week of net inflows
13-week flows were mostly positive among asset classes; combined $32.7 bln net inflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $708 mln last week, the most of any ETF
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 8/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.6 bln
The average shares short/shares outstanding for ETFs is currently 5.2%
US-Listed ETFs: Most Successful Recent Launches by Assets $8.6 billion in total market cap of ETFs less than 1-year old
Over the past year, many of the successful launches have an income/defensive orientation
request report Europe bracing for US-style ETF shakeout read more
Source: FBR
August 27, 2012--The Commodity Futures Trading Commission (CFTC) today approved final rules to improve the risk management procedures of swap dealers and major swap participants.
The CFTC voted 5 to 0 via seriatim to approve the final rules, which will become effective 60 days after publication in the Federal Register.
August 27, 2012--The Federal Reserve Board is considering changes to the implementation timeline for the annual company-run stress test requirements required by the Dodd-Frank Wall Street Reform and Consumer Protection Act.
The changes under consideration would delay implementation until September 2013 for bank holding companies, state member banks, and savings and loan holding companies with between $10 billion and $50 billion in total consolidated assets.
Source: FBR
August 27, 2012--US ETF Weekly Update
Weekly Flows: $2.9 Billion Net Inflows
Fourth Consecutive Week of Net Inflows
ETF Assets Stand at $1.2 Trillion, up 17% YTD
No ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
For the second straight week, Commodity ETFs had the largest net inflows of any category ($921 mln)
31% of ETFs had net inflows/26% of ETFs had net outflows/43% had no net flows over last 4 weeks
ETF assets stand at $1.2 tln (up 17% YTD) and have posted net inflows 26 out of 34 weeks YTD ($90.5 bln in net inflows)
Fixed Income ETFs have generated net inflows 53 out of the past 54 weeks ($9.7 bln net inflows over the last 13 weeks)
Over the last 13 weeks, US Mid-Cap ETFs have exhibited net outflows of $1.1 bln, the most of any category we measured
Notably, two physical gold ETFs and one gold miners ETF landed in the top 10 last week and posted a combined $959 mln in net
inflows (GLD, IAU, and GDXJ) as gold has garnered a bid again
Over the last 13 weeks, the Vanguard MSCI Emerging Markets ETF (VWO) exhibited net inflows of $3.3 bln, the most of any ETF;
over the same time period, VWO’s market price is up 9% on a total return basis
SPY’s short interest increased for the first time since 5/31/12, however its 213 mln shares short is well below its 52-week average
of 335 mln shares short
Aggregate ETF USD short interest increased $104 mln over the past two weeks ended 8/15/12
Out of the 10 ETFs with the highest % of shares short, five of them have market caps less than $20 mln, and in our view skewing
the impact of the exhibit
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%)
Source: Bloomberg, Morgan Stanley Smith Barney Research.
Data estimated as of 8/24/12 based on daily change in share counts and daily NAVs.
Over the past 13 weeks, newly launched Active ETFs generated most net inflows at $1.4 bln (specifically the PIMCO Total
Return ETF-BOND)
124 new ETF listings and 35 closures YTD (additional 34 liquidations have been announced)
Five different ETF sponsors and three asset classes represented in top 10 most successful launches
Despite not cracking the top 10 most successful launches over the last year, the PowerShares KBW Bank Portfolio (KBWB) posted net inflows of $58 mln last week, the most of any recently launched ETF
Top 10 most successful launches account for 72% of market cap of ETFs launched over the past year
Source: Morgan Stanley
August 26, 2012--The current shakeout in the US exchange traded fund industry, which has seen several players scale back operations in recent weeks, could be a sign of things to come in Europe, according to industry experts.
Over the past month, a handful of players in the US have announced their retreat from the ETF business due to competitive forces and a failure to raise significant assets.
Source: FT.com
