Americas ETP News
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CBOE To Introduce First Interest Rate-Based Volatility Index
June 13, 2012--The Chicago Board Options Exchange (CBOE) announced today that it will begin disseminating values for its first interest rate-based volatility index, the CBOE Interest Rate Volatility Index (ticker: SRVX), on Monday, June 18.
The SRVX Index is designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility.
CBOE's Interest Rate Volatility Index measures expected basis-point volatility in the interest rate swap market. Specifically, the index is based on one-year/ten-year U.S. dollar-denominated swap options (swaptions), which are one of the most actively traded contracts in the $14.5-trillion notional over-the-counter (OTC) U.S. dollar interest rate option market.
"The CBOE Interest Rate Volatility Index extends the same benefits provided by our widely followed equity index volatility benchmarks to customers in the enormous fixed income market," CBOE Chairman and CEO William J. Brodsky said. "Interest rate swaps and swaptions together are the most actively traded derivatives in the OTC market, and we believe the CBOE Interest Rate Volatility Index will enable participants to more efficiently assess risk in this enormous asset class."
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Source: CBOE
ETFGI Latin America ETF/ETP Industry Insights-May 2012
June 13, 2012--Summary for ETFs listed in Latin America
At the end of May 2012, the Latin America ETF industry had 33 ETFs, with 499 listings, assets of US$8.9 Bn, from 15 providers on 4 exchanges.
Assets
ETF assets have decreased by 21.4% from US$11.4 Bn in April 2012 to US$8.9 Bn in May 2012.
YTD through end of May 2012, ETF assets have decreased by 13.5% from US$10.3 Bn to US$8.9 Bn.
Flows
In May 2012, ETFs saw net outflows of US$1,170.4 Mn. YTD through end of May 2012, ETFs saw net outflows of US$1,342.5 Mn.
iShares experienced the largest net outflows in May with US$1,037.1 Mn. iShares experienced the largest net outflows YTD with US$1,040.3 Mn, followed by BBVA Asset Management with US$195.3 Mn and Itau Unibanco with US$86.6 Mn net outflows.
Summary for ETFs/ETPs listed in Latin America
Including other Exchange Traded Products (ETPs), at the end of May 2012, the Latin America ETF/ETP industry had 33 ETFs/ETPs, with 528 listings, assets of US$8.9 Bn, from 18 providers on 4 exchanges.
Assets
ETF/ETP assets have decreased by 21.4% from US$11.4 Bn in April 2012 to US$8.9 Bn in May 2012.
YTD through end of May 2012, ETF/ETP assets have decreased by 13.5% from US$10.3 Bn to US$8.9 Bn.
Flows
In May 2012, ETFs/ETPs saw net outflows of US$1,170.4 Mn. YTD through end of May 2012, ETFs/ETPs saw net outflows of US$1,342.5 Mn.
iShares experienced the largest net outflows in May with US$1,037.1 Mn. iShares experienced the largest net outflows YTD with US$1,040.3 Mn, followed by BBVA Asset Management with US$195.3 Mn and Itau Unibanco with US$86.6 Mn net outflows.
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Source: ETFGI
S&P Indices Announces Changes In The S&P/TSX Canadian Indices-A Deletion From The S&P/TSX Venture Composite Index
June 13, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The unitholders of GT Canada Medical Properties REIT (TSXVN:MOB.UN) have accepted the $CDN1.87 cash per unit offer from NorthWest Value Partners Inc..
The company will be removed from the S&P/TSX Venture Composite Index after the close of trading on Thursday, June 14, 2012.
Source: Standard & Poor's
Sustainable North American Oil Sands ETF Debuts
June 13, 2012--The Sustainable North American Oil Sands ETF (SNDS) was rolled out on the New York Stock Exchange with little fanfare this week amid falling oil prices and ample supplies.
SNDS tracks the Sustainable North American Oil Sands Index, which includes Canadian and U.S. companies engaged in the exploration, production, refinement, marketing, storage, transportation, provision of equipment and services in Canada's oil sands.
"The Canadian oil sands represent the majority of proven oil reserves outside of OPEC nations; the sands are the top supplier of crude oil to the U.S. and are rapidly expanding production capacity over the next decade," Derek Gates, founder of Sustainable Wealth Management, said in a statement.
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Source: Investors.com
Man Source ETF raises $565m
June 12, 2012--An active exchange traded fund based on trading recommendations by brokers has seen its assets reach $565m in the 16 months since it was launched.
Launched in January 2011 by Man Group, the alternative asset manager, and Source, the ETF provider, the Man GLG Europe Plus Source ETF, tracks an index that is based on a selection of the strongest buy suggestions ideas from approximately 60 brokers.
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Source: FT.com
J.P. Morgan files with the SEC
June 12, 2012--J.P. Morgan has filed an application for exemptive relief with the SEC for actively-managed ETFs.
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Source: SEC.gov
FTSE Curex announce release of executable benchmarks for spot FX
June 12, 2012--FTSE, the award winning global index provider, and Cürex Group, a leading developer of intellectual property and technologies that link institutional foreign exchange with global capital markets, today announced their worldwide partnership and the launch of the FTSE Cürex FX Index Series-a new range of independently calculated, 24/5 streaming, executable spot FX benchmark FIX for currency pairs and currency baskets.
The FTSE Cürex FX Index Series provides the next generation of FX valuation and performance benchmarking for global capital markets. By establishing real-time Bid and Offer spot FX indices on 192 currency pairs (FTSE Cürex FIX), from multiple independent contributors and at multiple depths of liquidity, global capital markets benefit from improved clarity when viewing previously opaque foreign exchange pricing.
The FTSE Cürex FX Index Series is published in real time during the hours of the institutional OTC FX market, from 17:00 ET Sunday to 17:00 ET Friday. Additionally, ‘snap’ indices are published every 15 minutes, 96 times per day, providing an independent, time-stamped valuation metric to enhance NAV calculation and fuel the creation of new currency risk management tools and investment products. Designed to be highly customizable, the index series enables market participants to combine any of the 192 pairs into custom calculated FX baskets.
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Source: FTSE
Standard & Poor's Announces Changes In The S&P/TSX Canadian Indices
Neo Material Technologies Inc. To Be Removed From The S&P/TSX Composite Index
June 12, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Neo Material Technologies Inc. (TSX:NEM) have accepted the cash and share exchange offer from Molycorp Inc. (NYSE:MCP).
Neo Material Technologies 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 SmallCap and Equity SmallCap, the S&P/TSX Capped Materials, the S&P/TSX Composite High Beta and the S&P/TSX Composite Equal Weight Indices effective after the close of Wednesday, June 13, 2012.
Source: Standard & Poors's
SPDR US ETF Snapshot: May 2012
June 12, 2012--SNAPSHOT OVERVIEW
1,251 Exchange Traded Funds (ETFs)-with assets totaling $1.1TN-were managed by 37 ETF managers as of May 31, 2012.
Month over month, ETF assets decreased $67.4BN, down 5.7%.
The ETF Industry experienced a 5.7% decline in assets during May. However, the Fixed Income category saw a sizeable gain of $7.7BN.
Asset Classes Overall
The S&P 500® Index decreased 6.0% while the MSCI EAFE® Index fell 11.5%. Commodities were negative, with the S&P® GSCI® Index down 13.0% and Gold dropping 5.6%. US Bonds were positive with the Barclays US Treasury Index gaining 1.7% and the Barclays US Aggregate Index increasing 0.9%.
FLOWS
ETF flows topped $5BN in May. The Fixed Income category had a category-leading $7.9BN of inflows, increasing its year-to-date inflows to $28.4BN. International - Emerging had the most significant outflows with $3.5BN leaving the category.
Manager and Fund Detail
The top three managers in the US ETF marketplace were: BlackRock, State Street and Vanguard. Collectively, they account for approximately 83% of the US listed ETF market.
•The top three ETFs in terms of dollar volume traded for the month were the SPDR® S&P 500 [SPY], iShares Russell 2000 [IWM] and PowerShares QQQ [QQQ].
The top three ETFs in terms of assets for the month were the SPDR S&P 500 [SPY], SPDR Gold Shares [GLD] and Vanguard Emerging Markets [VWO].
Performance by Asset Class
International - Developed and Emerging Markets decreased 11.5% and 11.2%, respectively. Domestic Large Cap, Mid Cap and Small Cap markets were all negative, losing 6.0%, 6.5% and 6.3%, respectively. The US Aggregate, the US Treasury and the US Corporate Bond were all positive, gaining, 0.9%, 1.7% and 0.7%, respectively. Commodities fell 13.0%.
visit www.spdrs.com for more information.
Source: SSGA
DB Equity Research Equity Research-US ETF Market Weekly Review: ETP assets added $27bn during last week's rally
June 12, 2012--Net Cash Flows Review
Markets recovered some lost ground during last week. The US (S&P 500) rallied by 3.73%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) did so in a similar way gaining 2.54% and 1.44%, respectively. Moving on to other asset classes, the 10Y Treasury yield rose by 18bps last week; while the DB Liquid Commodity Index was up by 1.49%.
Similarly, the Agriculture sector (DB Diversified Agriculture Index), and the WTI Crude Oil prices rose by 3.44%, and 1.05%, respectively; while the Gold, and the Silver prices dropped by 1.89% and 0.05%, respectively. Last but not least, Volatility (VIX) retreated by 20.37% towards the low 20s during the same period.
The total US ETP flows from all products registered $3.9bn of inflows during last week vs $1.0bn of outflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$61.3bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$2.9bn, +$0.8bn, and +$0.4bn last week vs. -$3.1bn, +$1.9bn, and +$0.2bn the previous week, respectively.
Within Equity ETPs, US sector and small cap products experienced the largest inflows (+$1.3bn, +$1.0bn respectively); while emerging country vehicles experienced the largest outflows (-$0.3bn). Within Fixed Income ETPs, Sovereign & Corporates products recorded the largest inflows (+$0.5bn), followed by broad benchmarked products (+$0.3bn); while Sub-Sovereign experienced outflows of $0.1bn. Within Commodity ETPs, Precious Metals products experienced the largest inflows ($0.3bn).
Top 3 ETPs & ETNs by inflows: IWM (+$1.1bn), QQQ (+$0.8bn), XLE (+$0.6bn)
Top 3 ETPs & ETNs by outflows: SPY (-$1.1bn), TIP (-$0.6bn), XLV (-$0.2bn)
New Launch Calendar: hedge fund holdings tracking and broad commodities
There were 2 new ETPs listed on the NYSE Arca during the previous week. The ETPs offer access to a strategy replicating the holdings of established hedge funds, and to a basket of diversified commodity futures with optimizing roll yield methodology .
Turnover Review: floor activity rose by 11%
Total weekly turnover increased by 10.7% to $320bn vs. $289bn in the previous week. Last week’s turnover level was 15% below last year’s weekly average. The largest absolute increase was on Equity ETP turnover, which rose by $29.6bn or 12.1% to $274bn. Fixed Income ETP and Commodity ETP turnover followed with increases of 1.9% ($0.5bn) and 6.9% ($1.1bn), respectively.
Assets Under Management (AUM) Review: assets recovered 2.4%
ETP Assets recovered more than 2% of assets during last week’s rally. Positive equity markets and healthy inflows added $26.9bn or 2.4% to ETP assets last week, bringing assets up to $1.13bn or up 8.0% YTD at the end of last Friday. Assets for equity, fixed income and commodity ETPs moved +$27.0.bn, +$0.7bn, and -$0.6bn during last week, respectively.
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Source: Deutsche Bank-Equity Research-North America
