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NYSE cancels trades after algo glitch
August 1, 2012--The New York Stock Exchange cancelled trades in six stocks after an electronic trading system run by Knight Capital malfunctioned and revived memories of the "flash crash" of 2010.
Prices in numerous stocks fluctuated widely during the first 45 minutes of trading and market participants said an algorithm-based order – known as an “algo” – had overwhelmed the market. NYSE responded by reviewing trades in 148 stocks and said no additional stocks would be cancelled and that the decision is not subject to appeal.
ISE Reports Business Activity for July 2012
August 1, 2012--ISE was the second largest equity options exchange in July with market share of 17.8%, excluding dividend trades.
Dividend trades made up 5.2% of industry volume in July 2012.
The International Securities Exchange (ISE) today reported average daily volume of 2.3 million contracts
in July 2012. This represents a decrease of 20.0% compared to July 2011.
Total options volume for the month was 48.1 million contracts. ISE was the second largest U.S. equity options exchange in July with market share of 17.8%*.
Business highlights for the month of July include:
On July 2, 2012, ISE announced that it has filed a Form 1 application for a second exchange license with the Securities and Exchange Commission. ISE plans to launch its second options
exchange platform by the end of 2012, pending SEC approval.
On July 27, 2012, ISE announced that that it has introduced a new order type, the Add Liquidity Only Order (ALO). An ALO specifies that the order can only be executed if it adds liquidity to the order book as a “maker.” If the order cannot be added to the book, it will be cancelled, or may be re-priced to rest on the book at the discretion of the firm entering the order.
U.S. Federal Reserve issues FOMC statement
August 1, 2012--Information received since the Federal Open Market Committee met in June suggests that economic activity decelerated somewhat over the first half of this year. Growth in employment has been slow in recent months, and the unemployment rate remains elevated. Business fixed investment has continued to advance.
Household spending has been rising at a somewhat slower pace than earlier in the year. Despite some further signs of improvement, the housing sector remains depressed. Inflation has declined since earlier this year, mainly reflecting lower prices of crude oil and gasoline, and longer-term inflation expectations have remained stable.
Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee expects economic growth to remain moderate over coming quarters and then to pick up very gradually. Consequently, the Committee anticipates that the unemployment rate will decline only slowly toward levels that it judges to be consistent with its dual mandate. Furthermore, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee anticipates that inflation over the medium term will run at or below the rate that it judges most consistent with its dual mandate.
Glitch Upends Trade, Confidence in U.S. Markets
August 1, 2012--U.S. stock markets were struck Wednesday by the latest in a series of technical problems that have undermined investor confidence, as high order volume triggered unusual price swings in about 150 stocks.
Knight Capital Group Inc.,one of the market’s largest brokerages, said it was probing software problems and told clients to send their orders to other firms as a wave of orders shook the market and prompted exchanges to halt trading in some securities.
Knight Capital shares sink after algorithm glitch
NYSE reviewing potentially erroneous trades
August 1, 2012--Shares of Knight Capital Group Inc. sank nearly 33% on Wednesday after the New Jersey-based firm said its market-making unit suffered "a technology issue" that affected the routing of trades on around 150 stocks on the New York Stock Exchange.
NYSE Euronext (US:NYX), which operates the New York Stock Exchange, said it would cancel trades in six stocks after this morning’s trading glitches. The announcement came after the NYSE reviewed potentially erroneous trades that took place between 9:30 a.m. and 10:15 a.m. Eastern.
OCC Announces Cleared Contract Volume Declined 12% in July While Securities Lending Volume Rose 19%
August 1, 2012--OCC announced that cleared contract volume reached 309,599,417 contracts in July, representing a 12 percent decrease from the July 2011 volume of 351,117,113 contracts.
OCC's year-to-date total contract volume is down 7 percent with 2,410,587,457 contracts in 2012.
Options: Exchange-listed options trading volume reached 306,817,994 contracts in July, a 12 percent decrease from July 2011. Average daily options trading volume in July was 14,610,380 contracts, 16 percent lower than the 17,410,909 contracts in July of last year. Year-to-date options trading volume is down 7 percent from 2011 with 2,390,920,900 contracts.
Futures: Futures cleared by OCC reached 2,781,423 contracts in July, down 4 percent from 2011. Equity futures came in at 369,694 contracts this month, up 219 percent from 2011. Index and other futures reached 2,411,729 contracts, down 13 percent from 2011. OCC is averaging 134,702 cleared futures contracts per day in 2012.
SEC Recommends Improvements to Help Investors in Municipal Securities Market
July 31, 2012-- The Securities and Exchange Commission today issued a comprehensive report with recommendations to help improve the structure of the $3.7 trillion municipal securities market and enhance the disclosures provided to investors.
The report is the culmination of an extensive review of the municipal securities market that was initiated by SEC Chairman Mary L. Schapiro in mid-2010 and led by SEC Commissioner Elisse B. Walter. The recommendations address concerns raised by market participants and others in public field hearings and meetings with Commissioner Walter and SEC staff as well as the public comment process during the agency’s review of the municipal securities market.
view SEC Report on the Municipal Securities Market
DB-Equity Research-US ETF Market Weekly Review:ETP assets edged higher despite outflows of $3.0bn
July 31, 2012--Net Cash Flows Review
Markets moved higher during last week. The US (S&P 500) edged higher by 1.71%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 1.25% and 0.56%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield rose by 9bps last week; while the DB Liquid Commodity Index was down by 0.76%.
Similarly, the Agriculture sector (DB Diversified Agriculture Index) and the WTI Crude Oil pulled back by 0.89% and 1.43%, while Gold and Silver prices advanced by 2.42%, and 1.57%, respectively. Last but not least, Volatility (VIX) rose by 2.6% during the same period.
The total US ETP flows from all products registered $3.0bn of outflows during last week vs $5.5bn of inflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$81.0bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$3.1bn, +$0.6bn, and -$0.5bn last week vs. +$5bn, +$1.2bn, and -$0.8bn previous week, respectively.
Within Equity ETPs, emerging markets products experienced the largest inflows (+$1.0bn); while large cap products had the largest outflows (-$4.7bn). Within Fixed Income ETPs, corporate products had the largest inflows (+$0.3bn); while sovereign ETPs experienced the only outflows (-$0.1bn), respectively. Within Commodity ETPs, precious metals products experienced the largest outflows (-$0.4bn), while the other sectors experienced less relevant flows.
Top 3 ETPs & ETNs by inflows: VWO (+$1.0bn), IWM (+$0.3bn), DIA (+$0.3bn) Top 3 ETPs & ETNs by outflows: SPY (-$3.4bn), QQQ (-$1.6bn), GLD (-$0.3bn)
New Launch Calendar: new active sector rotation strategy
There was 1 new ETF listed during last week. The new product offers exposure to an active asset allocation strategy by investing in companies which sectors are believed to have the greatest potential for capital appreciation according to the fund’s managers.
Turnover Review: floor activity rose by 21.1%
Total weekly turnover increased by 21% to $289bn vs. $238bn in the previous week. Last week’s turnover level was 23% below last year’s weekly average. Equity ETPs experienced an increase of $46.7bn or +22.3% to $256bn along with Fixed Income ETPs which rose by 19.8% (+$2.8bn). In the meantime, Commodity ETPs turnover experienced a small decline (-0.1%).
Assets Under Management (AUM) Review: assets rose by 0.8%
Positive markets drove ETP assets up by 0.8%, in spite of sizeable outflows of $3.0bn during last week, ending the week at $1.19 trillion. As of last Friday, US ETPs have accumulated an asset growth of 13.5% YTD. Assets for equity, fixed income and commodity ETPs moved +$8.0bn, +$0.4bn, and +$1.5bn during last week, respectively.
Morgan Stanley-ETFs Exhibited Net Inflows of $24.7
July 31, 2012--There were 34 new ETFs listed in the US in the second quarter of 2012. So far this year, 119 ETFs have been issued and three providers have entered the ETF market. There have also been 17
ETF liquidations through the first half of the year. As of July 26, 2012, there were 37 issuers with 1,268 ETFs listed in the US.
Net inflows into US-listed ETFs were $24.7 billion during 2Q12.
Although this is well below the net cash inflows of $54.6 billion in
the first quarter, net inflows through the first half of the year ($77.6
billion) are on pace for the biggest year since 2008 ($174.6 billion in
net inflows).
The largest net cash inflows this past quarter went into Fixed Income ETFs. ETFs tracking fixed income indices had the highest net cash inflows this past quarter at $16.4 billion and they now account for over 19% of the US-listed ETF market. US Large-Cap and US Sector and Industry ETFs had the next highest net cash inflows this past quarter at $4.0 billion and $2.5 billion, respectively. Emerging Market Equity ETFs exhibited the largest net cash outflows this past quarter at $3.2 billion, bringing their net inflows for the first half of 2012 down to $7.6 billion.
US ETF industry assets of $1.2 trillion are ~14% higher than their level at the end of 2011. Despite the growth of the ETF market, it remains concentrated with three providers and 20 ETFs accounting for almost 79% and 48% of industry assets, respectively.
IMF -Brazil: Financial System Stability Assessment
July 31, 2012--EXECUTIVE SUMMARY
Since the last FSAP in 2002, Brazil's financial system has grown in size, diversification, and sophistication, hand in hand with the country's economic progress. Over the last decade,
financial sector assets doubled, driven by macroeconomic stabilization, significant gains in financial inclusion, the expansion of the securities and derivatives markets, and the considerable involvement of institutional investors.
The structure of public debt has become more resilient and the private bond market, though still small, more vibrant. The banking sector remains dominated by domestic financial institutions, with public banks having a significant share, while international
investors play important roles in the capital and derivatives markets.
Due to deft policy responses and built-in financial system buffers, the financial system weathered the global crisis remarkably well. A range of complementary measures were adopted
to maintain market stability and preserve confidence. These included (i) fiscal and monetary policy
stimulus, including a significant release of bank reserves to preserve market liquidity; (ii) a quasifiscal
stimulus through the national development bank; (iii) other public banks expanding lending;
(iv) foreign exchange intervention and the establishment of a swap facility with the U.S. Federal
Reserve; and (v) measures to channel liquidity to small and medium-sized banks facing stress.
view the IMF Country Report-Brazil: Financial System Stability Assessment
Market Vectors China ETF Adds Ability to Enter into Sub-Advisory Arrangements
July 31, 2012--Market Vectors China ETF now has the ability to enter into sub-advisory agreements with the approval of the Fund's Board of Trustees, it was announced today.
At a Special Meeting of the shareholders of the Fund on July 31, 2012, the shareholders approved reliance upon an order from the Securities and Exchange Commission exempting the Market Vectors ETF Trust and Van Eck Associates Corporation, the Fund’s Adviser, (the “Adviser”) from certain provisions of the Investment Company Act of 1940, as amended and rules thereunder that would permit the Adviser to enter into new sub-advisory agreements with unaffiliated sub-advisers with the approval of the Board of Trustees, but without the approval of shareholders.
Congressional leaders reach short-term budget deal to avoid shutdown
July 31, 2012--House and Senate leaders have reached a short-term spending deal that would remove the possibility of a government shutdown from the politically sensitive fall campaign season, they announced Tuesday.
Under the agreement, Congress would agree to fund the government for six months when the fiscal year expires Sept. 30, setting agency spending for the year at $1.047 trillion.
AltaVista-ETF Research Center-Reporting Monitor-Update of S&P 500 Earnings Reports by Sector
July 31, 2012--Highlights
With a little more than half of S&P500 firms reporting, it looks as if overall index EPS grew about 1% YoY. Tech (XLK) and Industrials (XLI) were the largest contributors to profit growth, while the Energy sector (XLE) was the biggest drag..
Sales grew in every sector except Energy and Materials (XLB). The decline in the former was large enough to basically offset gains in the rest of the index. The margin picture is mixed, with Industrials likely faring the best, and Utilities (XLU) under the most pressure
The biggest positive surprises were in the Financials (XLF) and Industrials sectors, while Apple's shortfall headlined a large negative surprise for the Tech sector...page 3.
Treasury Announces Marketable Borrowing Estimates
August 30, 2012--The U.S. Department of the Treasury today announced its current estimates of net marketable borrowing for the July-September 2012 and October- December 2012 quarters:
During the July-September 2012 quarter, Treasury expects to issue $276 billion in net marketable debt, assuming an end-of-September cash balance of $60 billion.
This borrowing estimate is $12 billion higher than announced in April 2012. The increase is primarily due to lower receipts, higher outlays, redemptions of portfolio holdings by the Federal Reserve System, and higher issuances of State and Local Government securities.
During the October – December 2012 quarter, Treasury expects to issue $316 billion in net marketable debt, assuming an end-of-December cash balance of $40 billion. During the April – June 2012 quarter, Treasury issued $172 billion in net marketable debt, and ended the quarter with a cash balance of $91 billion. In April 2012, Treasury estimated $182 billion in net marketable borrowing and assumed an end-of-June cash balance of $95 billion. The decrease in borrowing was driven by higher net issuances of State and Local Government Series securities partially offset by higher-than-projected outlays.
Additional financing details relating to Treasury’s Quarterly Refunding will be released at 9:00 a.m. on Wednesday, August 1, 2012.
Morgan Stanley-US ETF Weekly Update
July 30, 2012--Weekly Flows: $3.0 Billion Net Outflows
ETF Assets Stand at $1.2 Trillion, up 14% YTD
One ETF Launch Last Week
AdvisorShares Announces ETF Closure
BlackRock Announces Planned Liquidation of Muni Term ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $3.0 bln last week, following three consecutive weeks of net inflows
Last week’s net outflows were primarily driven by US Large-Cap ETFs ($4.6 bln in net outflows)
ETF assets stand at $1.2 tln, up 14% YTD; ETFs have posted net inflows 22 out of 30 weeks YTD ($81.6 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $27.3 bln net inflows
Fixed Income ETFs have generated net inflows 49 out of the past 50 weeks ($12.7 bln net inflows over the last 13 weeks)
Commodity ETFs have struggled taking in new money the past 13 weeks exhibiting net outflows of $1.8 bln; specifically the
SPDR Gold Trust (GLD) posted net outflows of $1.8 bln over this time period
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard MSCI Emerging Markets ETF (VWO) generated net inflows of $979 mln last week, most of any ETF
We estimate that VWO has posted net inflows 25 out of 30 weeks YTD ($8.9 bln in net inflows)
Interestingly, the Market Vectors Gold Miners ETF (GDX) which owns gold mining companies, exhibited net inflows of $221 mln
last week, while the SPDR Gold Trust (GLD) which actually owns the metal, had net outflows of $313 mln (the same dichotomy can be said for the four and 13-week periods)
US-Listed ETFs: Short Interest- Data Updated: Based on data as of 7/13/12
iShares MSCI EM Index Fund (EEM) had the largest increase in USD short interest at $577 mln
- Aggregate ETF USD short interest declined $2.8 bln over the past two weeks ended 7/13/12
For the third consecutive period, SPDR S&P 500 ETF (SPY) short interest declined; SPY’s 205.7 mln shares short is its lowest
level since 12/31/09
The average shares short/shares outstanding for ETFs is currently 4.6%
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 7/27/12 based on daily change in share counts and daily NAVs.
$7.6 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Active ETFs generated most net inflows at $1.6 bln (specifically the PIMCO Total Return ETF-BOND)
119 new ETF listings and 17 closures YTD
Over the past year, many of the successful launches have an income/dividend orientation
Five different ETF sponsors and three asset classes represented in top 10 most successful launches
Despite being one of the most successful launches over the past year, the ProShares Ultra VIX Short-Term Futures ETF
(UVXY) posted net outflows of $41 mln amid a decline in volatility during the second half of the week
Top 10 most successful launches account for 71% of market cap of ETFs launched over the past year
