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Morgan Stanley-US ETF Weekly Update
October 15, 2012--US ETF Weekly Update
Weekly Flows: $3.4 Billion Net Outflows
First Weekly Net Outflows in Past 11 Weeks
ETF Assets Stand at $1.3 Trillion, up 22% YTD
One ETF Launch Last Week
US-Listed ETFs: Estimated Flows by Market Segment
After 10 consecutive weeks of net inflows, ETFs posted net outflows of $3.4 bln last week
Last week’s net outflows broke a streak whereby ETFs generated net inflows of $52.4 bln over a 10-week period
Net outflows were primarily driven by US Large-Cap Equity ETFs ($4.9 bln in net outflows)
ETF assets stand at $1.3 tln (up 22% YTD) and have posted net inflows 32 out of 41 weeks in 2012 ($130.6 bln YTD)
13-week flows were mostly positive among asset classes; combined $51.5 bln net inflows
Fixed Income ETFs have posted net inflows 59 out of the past 61 weeks; including $10.3 bln over the past 13 weeks
Currency and Leveraged/Inverse ETFs were the only categories that we measured to exhibit net outflows over the past 13 weeks; the two categories exhibited a combined $421 mln in net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Gold Trust (GLD) generated net inflows of $430 mln, the most of any ETF
GLD has exhibited net inflows for 11 consecutive weeks (combined $5.1 bln net inflows over the 11-week period)
Despite posting solid positive absolute returns over the last 13 weeks, the PowerShares QQQ (QQQ) posted net outflows of $1.8 bln
over the period, the most of any ETF (four consecutive weeks of net outflows totaling $2.7 bln)
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 9/28/12
SPDR Dow Jones Industrial Average ETF (DIA) had the largest increase in USD short interest at $518 mln
DIA’s shares short climbed to their highest level since 5/31/12, however remain 40% below their 2012 high reached on 4/13/12
Aggregate ETF USD short interest decreased by $4.4 bln over the past two weeks ended 9/28/12
The average shares short/shares outstanding for ETFs is currently 4.9%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$25 mln)
The top two spots of shares short as a % of shares outstanding were occupied by retail ETFs; since we’ve been measuring the data
point, retail ETFs have consistently been some of the 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 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 10/12/12 based on daily change in share counts and daily NAVs.
$9.1 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.3 bln (PIMCO Total Return ETF-BOND had the largest net inflows in the space at $1.1 bln over the period)
132 new ETF listings and 46 closures YTD (additional 27 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Over the past year, BlackRock has launched 31% of all ETFs and commands 39% of new market share, the most of any sponsor
Top 10 most successful launches account for 75% of market cap of ETFs launched over the past year
request report
Source: Morgan Stanley
Vanguard taking wraps off short-term Tips ETF
October 14, 2012--Vanguard expects to start selling a short-term Treasury inflation protected securities fund this month.
The new Short-Term Inflation Protected Securities Index Fund, in registration since July, will be sold in retail investor, “Admiral” and institutional shares as well as an exchange traded fund class.
view more
Source: FT.com
IMF-Regional Economic Outlook Update: Western Hemisphere-Latin America and the Caribbean-October 2012
October 12, 2012--Growth in the Latin America and Caribbean (LAC) region has softened since our April report, reflecting the larger-than-anticipated impact of earlier policy tightening and the somewhat less favorable external environment.
Global downside risks have increased, as the crisis in Europe continues to simmer, and the U.S. fiscal cliff looms. Nevertheless, with slack in many countries limited, and the twin tailwinds of external finance and commodity prices still stimulative, policies need to be carefully calibrated to keep domestic demand and credit growth in check. The key task for many countries remains to strengthen the resilience of their economies by rebuilding fiscal buffers and safeguarding financial stability. Challenges are more pressing in some countries, particularly those in the Caribbean, where the recovery has been held back by weak balance sheets and external demand
view the Regional Economic Update-Latin America and the Caribbean, October 2012
Source: IMF
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter Regarding the Swaps Calculation by Certain Foreign Entities for Purposes of the Swap Dealer and Major Swap Participant Definitions
October 12, 2012--On July 12, 2012, the Commission published for public comment Proposed Cross-Border Interpretive Guidance and a Proposed Cross-Border Exemptive Order, in which the Commission proposed a definition of the term "U.S. person" that would encompass both persons (or classes of persons) located within the United States as well as those that may be domiciled or operating outside the United States.
The proposed definition would provide clarity to market participants in making the calculations required under the swap dealer and major swap participant definitions. The Commission continues to diligently review the many comments received in anticipation of finalizing the guidance and exemptive order.
read more
Source: CFTC.gov
CFTC Division of Swap Dealer and Intermediary Oversight Issues Letter Providing Time-Limited No-action Relief with Respect to Foreign Exchange Forwards and Foreign Exchange Swaps
October 12, 2012--Today, the Commodity Futures Trading Commission's Division of Swap Dealer and Intermediary Oversight is issuing a letter providing time-limited no-action relief from the obligation to include any foreign exchange swap or foreign exchange forward for purposes of determining if a person is a major swap participant,
or the calculation to determine if an entity is a swap dealer if the Secretary of the Treasury determines at a later date to exempt such swaps or forwards from the definition of the term “swap” under the Commodity Exchange Act (“CEA”).http://www.cftc.gov/PressRoom/PressReleases/pr6389-12" TARGET="_top">view more
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues Time-Limited No-Action Letter Regarding the Treatment of Agricultural and Exempt Commodities in Making Calculations for Purposes of the Swap Dealer and Major Swap Participant Definitions
October 12, 2012--The Commodity Futures Trading Commission's Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter regarding the treatment of agricultural and exempt commodities in making calculations for purposes of the swap dealer and major swap participant definitions.
In order to provide participants in the market for swaps referencing agricultural and exempt commodities sufficient time to determine whether and in what manner to transition their current business practices to the new regulatory environment, and to enable any such transition to proceed in an orderly manner, DSIO staff issued the no-action letter to afford market participants a short period of additional time to evaluate the various staff documents issued recently and adjust their business practices accordingly. DSIO staff believes that this limited transitional no-action relief will further the Commission’s stated objective to “ensure that market practices will not be unduly disrupted during the transition to the new regulatory regime.”
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues Interpretative Letter Regarding Scope of Bona Fide Hedging Exemption for Registered Investment Companies
October 12, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight today issued an interpretative letter that clarifies, in light of the recent court decision regarding the Commission's position limits rule,
the scope of the bona fide hedging exemption from the trading thresholds as applied to registered investment companies pursuant to Commission Regulation 4.5.
Source: CFTC.gov
CFTC Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter Regarding the De Minimis Threshold for Swaps with Utility Special Entities
October 12, 2012--Today, the Commodity Futures Trading Commission's Division of Swap Dealer and Intermediary Oversight is issuing a letter providing temporary no-action relief from certain requirements in the de minimis exception from the definition of the term swap dealer.
The no-action relief would allow non-financial entities that are active in the physical energy markets to deal in swaps with publicly-owned, government-owned or federal agency utilities with an aggregate gross notional amount of up to $800 million per year, and not be required to register as swap dealers.
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Source: CFTC.gov
CFTC Office of General Counsel Issues Interpretative and No-Action Letter Regarding Eligible Contract Participant Issues
October 12, 2012--The Commodity Futures Trading Commission's Office of General Counsel (OGC) today issued an interpretative and no action letter regarding Eligible Contract Participant issues.
The letter provides interpretations stating that swap guarantors generally must be ECPs, a non-ECP generally may not be jointly and severally liable for swap obligations, and cash proceeds from a loan may be included within the calculation of total assets for purposes of qualifying as an ECP under Commodity Exchange Act. The letter also provides no-action relief, subject to specified conditions, with respect to certain ECP guarantee arrangements, “anticipatory ECPs,” and certain determinations regarding “amounts invested on a discretionary basis.”
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Provides Registration No-Action Relief for Certain Swaps Intermediaries
October 12, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today announced the issuance of a no-action letter to provide relief from registration for various swaps intermediaries until December 31, 2012.
Without the delay, certain entities would have to be registered immediately.
Specifically, the letter provides a registration delay for any person who, solely by virtue of its swaps activity, would have been required to register immediately as an introducing broker, commodity pool operator, commodity trading advisor, associated person (AP), floor broker, or floor trader. The DSIO letter also provides delay for any person who would be required to register solely because of their involvement with the transition of certain contracts on ICE and NYMEX to clearing as commodity futures and options.
view the CFTC Letter No. 12-15-Staff No-Action Positions: Registration Relief for Certain Persons
Source: CFTC.gov
