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US Senate panel to hold hearing on automated trading
Hearing to feature top exchange, bank officials
Senators to explore rules for high-speed trading
Sen. Reed called for review after Knight, Nasdaq glitches
Senators also expected to ask about SEC's security lapse
SEC had left sensitive data on unencrypted laptops
December 11, 2012-- A U.S. Senate banking subcommittee will hold a hearing next Tuesday to examine whether regulators should impose new rules to protect markets from glitches in a world of high-speed computerized trading.
The event will mark the latest hearing on the issue to be called by Rhode Island Democrat Jack Reed, who chairs the Senate Banking subcommittee on securities.
Blue Chip Equity Indexes Based on Rapid Ratings Launched by S-Network
December 11, 2012--S-Network Global Indexes, LLC announced today the launch of the Rapid Ratings Blue Chip Equity Indexes: Rapid Ratings US Blue Chip Index (Ticker: RRBCUS) and Rapid Ratings International (ex-US) Blue Chip Index (Ticker: RRINTL).
The indexes cover the US and international large cap sectors and are based on the Financial Health Rating (FHR™), Rapid Ratings’ proprietary and innovative measure of risk. The FHR measures a company’s absolute and relative ability to compete with its global industry peers.
AllianceBernstein files with the SEC
November 11, 2012--AllianceBernstein has filed a sixth amended and restated application for exemptive relief with the SEC-actively-managed ETFs.
view filing
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX Composite Index
December 10, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Progress Energy Resources Corp. (TSX:PRQ) have voted to accept the terms of an arrangement agreement with PETRONAS Canada whereby the shares of Progress Energy will be acquired for cash consideration of $CDN22.00 per share.
Progress Energy 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 Capped Energy, the S&P/TSX Composite Dividend and the S&P/TSX Composite Equal Weight Indices after the close of trading on Friday, December 14, 2012.
Toroso Investments(TM) Launched to Challenge Current Advisor to Client Interactions
December 10, 2012— Toroso Investments(TM), a new investment advisory firm founded by industry veterans Larry Medin, Dan Carlson, and Michael Venuto, challenges conventional advisor-client relationships by placing an emphasis on an advisor's or a client's economic point of view, as well as risk tolerance and time horizon when constructing portfolios.
With more than 80 years of combined experience, the firm’s founding partners bring to the business an array of portfolio analytics and wealth management experience. Larry Medin serves as Toroso’s Chief Executive Officer, Dan Carlson as Chief Financial Officer, and Michael Venuto as Chief Investment Officer.
Toroso Investments is launching in direct response to the poor performance of portfolios that have followed modern portfolio theory over the past decade. By challenging modern portfolio theory, Toroso Investments fills an existing void in the marketplace, as advisors and other financial professionals are seeking new tools to help their clients express an economic point of view, as opposed to executing a portfolio based solely on well-worn definitions of risk.
The firm uses Exchange Traded Products (ETPs) to access asset allocation strategies intended to perform well in all economic climates (prosperity, recession, inflation, and deflation).
DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review - ETP assets break the $1.3 trillion mark and record new historical high
December 10, 2012--Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) edged higher by 0.13%; While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 0.81% and 1.7%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield rose by 2 bps last week.
In the meantime, all major commodity indices pulled back. The DB Liquid Commodity Index was down by 1.84%. Similarly, the WTI Crude Oil and Silver prices retreated by 3.35% and 1.04%, respectively. Last but not least, Volatility (VIX) ended flat last week.
The total US ETP flows from all products registered $1.08bn (0.1% of AUM) of inflows during last week vs. $18.04bn (1.4%) of inflows the previous week, setting the YTD weekly flows average at +$3.2bn (+$155.27bn, +14.8% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$0.39bn (0.0%), +$1.14bn (0.4%), +$0.4bn (0.3%) last week vs. +$16.29bn (1.8%), +$1.22bn (0.5%), +$0.5bn (0.4%) in the previous week, respectively.
Among US sectors, Consumer Staples (+$0.34bn, +3.8%) and Healthcare (+$0.27bn, +2.0%) received the top inflows, while Materials (-$0.52bn, -5.9%) and Utilities (-$0.15bn, -1.9%) experienced the largest outflows.
Within Equity ETPs, Large Cap products had the largest inflows (+$1.6bn, +0.7%). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.9bn, +0.8%); meanwhile Sovereign (-$0.7bn, -1.1%) ETPs experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: EEM (+$0.9bn), SPY (+$0.9bn), QQQ (+$0.5bn) Top 3 ETPs & ETNs by outflows: VO (-$1.4bn), VT (-$1.2bn), VB (-$0.8bn)
New Launch Calendar: hedging against market uncertainty
There was 1 new ETF listed during the previous week. The new product offers exposure to broad US equity market with an implied volatility hedge by dynamically allocating between equity, volatility and cash.
Turnover Review: Floor activity decreased by 5.5%
Total weekly turnover decreased by 5.5% to $252bn vs. $267bn from the previous week. Last week's turnover level was 33% below last year's weekly average. Equity and Commodity ETPs turnover decreased by $14.3bn (-6.0%) and $0.3bn (-2.3%), respectively, while Fixed Income ETPs turnover remained mostly flat.
Assets under Management (AUM) Review:
US ETPs reach $1.3 trillion in assets
US ETP assets crossed the $1.3 trillion milestone during last week, setting a new historical high. As of last Friday, US ETPs have accumulated an asset growth of 24.5% YTD. Assets for equity, fixed income and commodity ETPs moved +$4.0bn, +$1.0bn, -$1.7bn during last week, respectively.
CBOE Futures Exchange Launched S&P 500 Variance Futures on December 10
New Contract Mirrors Quoting Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
December 10, 2012--CBOE Futures Exchange, LLC (CFE) launched trading in S&P 500 Variance futures on December 10, 2012.
The listing cycle for variance futures match listed SPX options expirations. Quote and trade prices are expressed in annualized volatility terms, and trade sizes in vega notional. Post-trade, the price and quantity are converted from volatility/vega terms to variance/contract terms.
Quotes can be found from the Bloomberg terminal on "VAAA Morgan Stanley-US ETF Weekly Update ETFs posted net inflows of $1.1 bln last week, the 3rd consecutive week of net inflows
13-week flows were mostly positive among asset classes; combined $56.5 bln net inflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares MSCI Emerging Markets Index Fund (EEM) posted net inflows of $947 mln, the most of any ETF
US-Listed ETFs: Short Interest SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.1 bln
The average shares short/shares outstanding for ETFs is currently 4.9%, up from 4.4% in the prior period
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. $8.2 billion in total market cap of ETFs less than 1-year old
The top 10 most successful launches make up 72% of the market cap of ETFs launched over the past year
Monitoring the Economy FlexShares files with the SEC Credit Suisse Plans to Dismiss 120 in New York City Private Equity Activity Slows in Latin America, According to Thomson Reuters Report
Private equity activity in the region has been a roller coaster ride in recent years. It climbed from $1 billion in 2005 to $7.5 billion in 2007, then dipped to about $3 billion in 2008 and 2009. It spiked the following year to $17.2 billion before declining to $5.5 billion in 2011.
CFTC's Division of Market Oversight Issues Time-Limited No-Action Relief for Part 20 Reporting Entities Regarding Identifying Information and for Part 45 & Part 46 Reporting Counterparties Regarding Legal Entity Identifiers & Other Identifying Information CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter for Operators of Mortgage REITs CFTC's Division of Swap Dealer and Intermediary Oversight Provides No-Action Relief to Swap Dealers and Major Swap Participants from Compliance with Statutory Disqualification Prohibition with Respect to their Association with Certain Persons
December 10, 2012--Weekly Flows: $1.1 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 25% YTD
One ETF Launch Last Week
IndexIQ Announces Emerging Markets ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
Net inflows were led by Emerging Market Equity ETFs which posted net inflows of $1.5 bln
ETF assets stand at $1.3 tln (up 25% YTD) and have posted net inflows 38 out of 49 weeks in 2012 ($154.0 bln YTD)
ETF flows are on pace for their highest amount since 2008 when net inflows totaled nearly $175 bln
Fixed Income ETFs have posted net inflows 66 out of the past 69 weeks; including $13.1 bln over the past 13 weeks
Currency as well as Leveraged/Inverse ETFs were the only categories we measured over the last 13 weeks to exhibit net outflows;
they posted a combined $869 mln in net outflows
EEM also generated the highest net inflows over the last 13 weeks at $5.5 bln
Nine of the 10 ETFs to post the largest net outflows last week were US equity-based (Vanguard captured seven of the spots); the Vanguard outflows were nearly identical reversals from the prior week’s net inflows
Interestingly, the PowerShares QQQ (QQQ) has exhibited net outflows of $2.7 bln over the last 13 weeks, the most of any ETF; Apple, the largest holding in QQQ at ~17%, is down more than 6% over this time period vs. the S&P 500 which is down only 1%
Data Unchanged: Based on data as of 11/15/12
SPY’s shares short climbed for the second period in a row and currently reside at their highest level since 6/29/12
Aggregate ETF USD short interest increased by $6.0 bln over the past two weeks ended 11/15/12
Smaller ETFs by market cap may skew results (four of the top 10 with the highest % of shares short have market caps <$25 mln)
Retail ETFs continue to be some of the most heavily shorted ETFs; SPDR Retail ETF (XRT) and Market Vectors Retail ETF (RTH) each have shares short as a % of shares outstanding over 200%
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%)
Data estimated as of 12/7/12 based on daily change in share counts and daily NAVs.
Newly launched Active ETFs account for 53% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $3.9 bln
146 new ETF listings and 79 closures YTD (IndexIQ announced an additional closure to take place on 12/18)
ETF issuance is on pace for its lightest year since 2009 when only 125 ETFs came to market
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
ETFs with a fixed income orientation account for the majority of the top 10 most successful launches over the past year
December 10, 2012--The Office of Economic Policy monitors key economic indicators to produce the following summary tables of monthly and quarterly U.S. economic statistics.
view the US Economic Data-Monthly report
December 10, 2012--FlexShares has filed a post-effective amendment, registration statement with the SEC for the FlesShares Trust.
view filing
December 10, 2012--Credit Suisse Group AG (CSGN), the second-largest Swiss lender, plans to eliminate 120 jobs in New York City as Chief Executive Officer Brady Dougan pursues plans to reduce expenses.
The cuts will take place between Dec. 30 and March 4 at the company’s Madison Avenue offices in Manhattan, the Zurich-based bank said in a notice dated yesterday with the state Department of Labor. The dismissals are part of previously announced cost reductions, according to Jack Grone, a spokesman for the bank. He declined to elaborate on the filing.
December 10, 2012--Private equity and venture capital investment in Latin America reached $1.79 billion in the first half of 2012, down 60 percent from the same period in 2011, according to the latest issue of Venture Equity Latin America from Thomson Reuters.
The report is published by WTE, part of the Tax & Accounting business of Thomson Reuters.
December 10, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (Division) issued a letter providing reporting parties under Parts 20, 45 and 46 of the Commission's regulations with time-limited no-action relief from requirements to report certain identifying information regarding their non-reporting counterparties.
The Division’s no-action letter addresses Legal Entity Identifiers, other identifying swap data fields pursuant to Parts 45 and 46, and large swap trader counterparty identification information pursuant to Part 20.
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter to mortgage real estate investment trusts (mREITs).
The letter states that DSIO will not recommend that the CFTC take enforcement action against the operators of mREITs for failure to register as commodity pool operators under the Commodity Exchange Act and the CFTC’s regulations provided that the mREIT satisfies certain criteria including compliance with a de minimis threshold.
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) announced the issuance of limited no-action relief to Swap Dealers and Major Swap Participants (collectively, Swap Entities) from compliance with the prohibition in
Regulation 23.22(b) against permitting a person who is subject to a statutory disqualification to effect or be involved in effecting swaps on behalf of the Swap Entity.
