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Morgan Stanley-ETF Weekly Update
November 14, 2011--Exchange-Traded Funds
US ETF Weekly Update-Highlights
Weekly Flows: $4.2 Billion Net Inflows
ETF Assets Stand at $1.1 Trillion, up 7% YTD
Launches: 2 New ETFs
Van Eck Announces Commencement of HOLDRS
Exchange Offer
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $4.2 bln last week; flows have fluctuated recently
Last week’s net inflows were led by Commodity ETFs, specifically the largest gold ETF
ETF assets stand at $1.1 tln, up 7% YTD (due to net inflows)
13-week flows were mostly positive among asset classes; combined $43.4 bln net inflows
Fixed Income ETFs have exhibited the greatest net inflows the past 13 weeks ($15.7 bln net inflows)
We estimate ETFs have generated net inflows 27 out of 45 weeks in 2011; net inflows of $99.2 bln YTD
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Gold Trust (GLD) posted net inflows of $1.4 bln last week, the most of any ETF
Amid market volatility and European uncertainty, investors flocked to GLD last week; despite last week’s net
inflows GLD has exhibited net inflows of only $23 mln YTD
8 out of the 10 ETFs to post the largest net outflows last week were US-equity ETFs
US-Listed ETFs: Change in Short Interest
Data Updated: Based on data as of 10/31/11
QQQ exhibited the largest increase in USD short interest since last updated
$498 million in additional short interest
QQQ’s shares short remain near their high over the past year
IWM exhibited the largest decline in USD short interest since last updated
$1.7 billion in reduced short interest
Shares short for IWM have been drifting lower the past two periods
US-Listed ETFs: Most Successful Recent Launches by Assets Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 11/11/11 based on daily change in share counts and daily NAVs.
$6.8 billion in total market cap of ETFs less than 1 year old
Over past 13 weeks, newly launched Fixed Income ETFs generated most net inflows ($513 mln)
215 new ETF listings and 9 liquidations YTD
Newly issued defensive portfolios have been successful in garnering assets
Top 10 account for $3.2 bln in market cap and posted net inflows of $1.1 bln over last 13 weeks
PowerShares S&P 500 Low Volatility Portfolio (SPLV) and iShares High Dividend Equity Fund (HDV)
have been two standout launches over the past year
request report
Source: Morgan Stanley
ETRACS MLPI ETN continues to be the top performing exchange traded product tracking the Alerian MLP Infrastructure Index
November 14, 2011--UBS Investment Bank today announced that the ETRACS Alerian MLP Infrastructure ETN (Ticker: MLPI) was the top performing exchange-traded product linked to the Alerian MLP
Infrastructure Index (Ticker: AMZI) for the month of October 2011.
Both MLPI and the Alerian MLP ETF (Ticker: AMLP) are designed to deliver the performance of the Alerian MLP
Infrastructure Index (the “Index”). The table below summarizes their performance during the month of October 2011 and year-to-date:
read more
Source: UBS
ProShares files with the SEC
November 14, 2011--ProShares has filed a post-effective amendment, registration statement with the SEC for the ProShares Sovereign Fiscal Strength ETF.
view filing
Source: SEC.gov
MarketShares files with the SEC
November 14, 2011--MarketShares has filed an application for exemptive relief with the SEC for actively-managed ETFs.
view filing
Source: SEC.gov
PowerShares files wih the SEC
October 14, 2011--PowerShares has filed a post-effective amendment, registration statement with the SEC for the
PowerShares KBW Bank Portfolio
PowerShares KBW Regional Banking Portfolio
PowerShares KBW Capital Markets Portfolio
PowerShares KBW Insurance Portfolio
view filing
Source: SEC.gov
Russell files with the SEC
October 14, 2011--Russell has filed a post-effective amendment, registration statement with the SEC for the
Russell Developed ex-U.S. Low Beta ETF
Russell Developed ex-U.S. High Beta ETF
Russell Developed ex-U.S. High Volatility ETF
Russell Developed ex-U.S. High Momentum ETF
view filing
Source: SEC.gov
BofA Says Regulators May Limit Transfer of Merrill Contracts
November 11, 2011--Bank of America Corp. may be prevented by regulators from shifting derivatives contracts into the books of a deposit-taking unit, potentially forcing the lender to hand over more collateral to counterparties.
The lender has designated the retail-deposit unit, Bank of America NA, as the new counterparty on some Merrill Lynch contracts after the company’s credit ratings were cut in September, it said last week in a filing. The Federal Reserve and Federal Deposit Insurance Corp. have disagreed over the moves, and they are now discussing whether to allow future transfers, according to people with knowledge of the matter.
read more
Source: Bloomberg BusinessWeek
NY Fed Not Considering Higher Capital Standards for Dealers.
November 11, 2011--Speculation the MF Global Holdings Ltd. collapse is driving the Federal Reserve Bank of New York to consider higher capital standards for its primary dealer is wrong, the central bank says.
The so-called list of primary dealers is a critical part of how the Fed makes monetary policy. These elite banks, numbering 21 firms, do business directly with the central bank when it buys, sells and lends bonds to achieve the objectives of the Federal Open Market Committee. The dealers, some of which are under direct Fed regulatory supervision and some of which are not, are viewed as having the central bank’s stamp of approval, having met the specialized criteria to become primary dealers.
read more
Source: Wall Street Journal
ISDA Publishes Discussion Paper on: "Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products"
November 10, 2011--The International Swaps and Derivatives Association, Inc. (ISDA) today announced the publication of an in-depth discussion and analysis of the impact of electronic execution requirements on over-the-counter (OTC) derivatives markets that were mandated by the Dodd-Frank Act.
The paper, “Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products,” was developed by ISDA staff and consultants in conjunction with NERA Economic Consulting, which assisted with research and analysis.
The paper explores and analyzes whether the market structure being developed by the Commodity Futures Trading Commission to implement these requirements will meet the CFTC’s key goals: increase the efficiency of the market by reducing transaction costs, improving access to markets and increasing transparency. The paper also assesses the costs and expenses that market participants and ultimately end-users are likely to bear as a result of the mandate’s implementation.
The paper finds that:
OTC derivatives pricing is extremely competitive, compares favorably to similar futures products and, unlike futures execution, is available in large transactions.
The electronic execution mandate and the proposed new regulatory framework will limit choice for end-users and ultimately increase transaction costs.
The possible benefits for small end-users will be no more than $1,000 for a $10 million interest rate swap before fees for execution and clearing. Any net benefit for small end-users will be dramatically outweighed by costs to the market as a whole.
view discussion paper-Costs and Benefits of Mandatory Electronic Execution Requirements for Interest Rate Products
Source: ISDA
Standard & Poor's Announces Changes In The S&P/TSX Venture Composite And Select Indices
November 10, 2011--Standard & Poor's will make the following changes in the S&P/TSX Venture Composite and Select Indices:
The shares of Realm Energy International Corporation (TSXVN:RLM) will be removed from the S&P/TSX Venture Composite and Venture Select Indices after the close today, Thursday, November 10, 2011.
The shares of the company will be delisted from the TSX Venture Exchange at the same time following the completion of an Arrangement Agreement whereby the company has been acquired by San Leon Energy plc.
Company additions to and deletions from an S&P equity index do not in any way reflect an opinion on the investment merits of the company.
Source: Standard & Poor's
