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Public float of Russell 3000 shrinks
April 17, 2012--A key measure of the number of publicly tradable shares in US companies is shrinking at the fastest pace since 1994.
The public float of the Russell 3000 index – which accounts for 98 per cent of US stock by market capitalisation – has fallen 4 per cent in the last year, according to data from TrimTabs Investment Research.
State Street Global Advisors Launches SSgA Upromise 529 Plan
April 17, 2012--State Street Global Advisors (SSgA)*, the asset management business of State Street Corporation (NYSE: STT-News), today announced the launch of the SSgA Upromise 529 Plan, marking a new arrangement with the State of Nevada and Upromise Investments, Inc.
Designed to lower costs and simplify investment choices, the SSgA Upromise 529 Plan features innovative investment strategies that will be implemented using State Street's SPDR exchange traded funds (ETFs).
“We’re excited to partner with Nevada and Upromise Investments, Inc. to offer SPDR ETF investments to American families looking to enhance their college savings strategies,” said James Ross, senior managing director and global head of SPDR Exchange Traded Funds at State Street Global Advisors. "The SSgA Upromise 529 Plan combines the benefits of State Street’s institutional asset management with SPDR ETFs to offer advisors and investors innovative college savings solutions at significantly lower costs."
Barclays Announces Closing of Three iPath Exchange-Traded Notes Offerings
April 17, 2012--Barclays Bank PLC ("Barclays") announced that it has issued C$250,000,000 principal amount of three series of iPath Exchange-Traded Notes ("iPath ETNs"), each with a maturity date of April 16, 2042. The following are the new iPath ETNs and their exchange tickers:
1. iPath S&P 500 VIX Short-Term FuturesTM CAD Hedged ETN (VIX)
2. iPath® S&P 500 Dynamic VIX CAD Hedged ETN (DVX)
3. iPath® Pure Beta Crude Oil CAD Hedged ETN (PBO)
The iPath ETNs will be listed and posted for trading on the Toronto Stock Exchange commencing at the open of trading today.
CME stands ground after Eurodollar options protest
CME executives meet with Eurodollar options traders
Independent traders boycotted open outcry pit on Friday
No changes made to rules on "block trades"
April 16, 2012--CME Group is standing its ground on large, privately negotiated trades in the active Eurodollar options market after meeting on Monday with traders who protested against its rules, traders said.
CME executives, including Phupinder Gill, the company's next CEO, met with floor traders who boycotted the options on Eurodollar futures pit on Friday morning, depressing volume, said David Stein, a trader who attended the meeting.
"The exchange is not interested in changing anything," Stein said.
Floor traders claim that the way large, privately negotiated trades are handled puts them at a disadvantage.
AdvisorShares files with the SEC
April 16, 2012--AdvisorShares has filed an amednded application for an Order under Section 6(c) of the Investment Company Act of 1940 for an exemption from certain provisions of Section 15(a) of the Act, and Rule 18f-2 thereunder, and certain disclosure requirements under various Rules and Forms.
view filing
Treasury International Capital Data for February
April 16, 2012--The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for February 2012. The next release, which will report on data for March 2012, is scheduled for May 15, 2012.
In sum, the net foreign acquisition of long-term securities, the change in foreign holdings of short-term U.S. securities, and banking flows yielded monthly net TIC inflows of $107.7 billion. Of this, net foreign private inflows were $86.9 billion, and net foreign official inflows were $20.8 billion.
Foreign residents increased their holdings of long-term U.S. securities in February – net purchases were $24.8 billion. Net purchases by private foreign investors were $6.2 billion, and net purchases by foreign official institutions were $18.6 billion.
At the same time, U.S. residents increased their holdings of long-term foreign securities, with net purchases of $14.6 billion.
Brazil's economy slips for 2nd month
April 16, 2012--Economic activity in Brazil slipped in February for the second month in a row, the central bank said, in data showing that Latin America's biggest economy remains stagnant despite interest rate cuts and government measures to spur growth.
Brazil has been flirting with recession since the second half of last year as local manufacturers struggle with high business costs and a strong currency - a surprising letdown for an economy that had been among the world’s most vibrant.
Morgan Stanley-ETF Weekly Update
April 16, 2012--US ETF Weekly Update
Weekly Flows: $6.3 Billion Net Outflows
Only the 3rd Week This Year ETFs Have Posted Net Outflows
ETF Assets Stand at $1.2 Trillion, up 11% YTD
Two ETF Launches Last Week
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US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted weekly net outflows for only the 3rd time this year
Last week’s net outflows were primarily driven by US Large-Cap ETFs; the SPDR S&P 500 ETF (SPY), in particular, exhibited
net outflows of $3.9 bln
ETF assets stand at $1.2 tln, up 11% YTD; ETFs have posted net inflows 12 out of 15 weeks YTD ($46.5 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $34.6 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (35 straight weeks of net inflows)
Fixed Income ETFs currently make up 18% of ETF market capitalization, up from 14% at the beginning of 2011
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Energy Select Sector SPDR (XLE) generated net inflows of $410 mln last week, the most of any ETF
Despite posting net outflows as a whole, only 16% of ETFs exhibited net outflows last week
SPY not only posted net outflows last week, but YTD has exhibited net outflows of $5.3 bln; notably, SPY’s flows tend to be
volatile and are not always indicative of underlying market sentiment
US-Listed ETFs: Short Interest Data Updated: Based on data as of 3/30/12
SPDR Dow Jones Industrial Average ETF (DIA) posted the largest increase in USD short interest
DIA’s shares short are at their highest levels since 12/15/11
For the second consecutive period, SPY had the largest decline in USD short interest
The average shares short/shares outstanding for ETFs is currently 5%
CurrencyShares Euro Trust (FXE) has seen its short interest ratio jump recently despite its shares short declining; the reason is
FXE’s shares outstanding dropped more than 50% from the prior period
Based on multiple borrowings and the ability to continuously create new shares, short interest as a % of market cap can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 4/13/12 based on daily change in share counts and daily NAVs.
$7.2 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Fixed Income ETFs generated most net inflows at $739 mln
83 new ETF listings and 16 closures YTD; 39 of the ETFs launched YTD were issued by iShares
Over the past year, many of the successful launches have an income/dividend orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
PowerShares S&P 500 Low Volatility Portfolio (SPLV) posted meaningful net outflows last week ($187 mln net outflows);
ex-SPLV, US Custom ETFs launched over the past year would have exhibited net inflows last week
Top 10 most successful launches account for 54% of market cap of ETFs launched over the past year
DB Equity Research Equity Research-North America:Market correction and outflows removed $17bn from ETP AUM
April 16, 2012--Net Cash Flows Review
Last week, markets extended the correction recording their third negative week in the last four weeks. The US (S&P 500) lost 1.99%. Other developed and emerging markets outside the US did similarly; the MSCI EAFE (in USD) dropped by 1.15%, while the MSCI EM (in USD) declined by 0.93% during the week. Moving on to other asset classes, the 10Y Treasury yield retreated by 17bps last week, while the DB Liquid Commodity Index was down by 1.24%. Other sectors were mixed.
The Agriculture sector (DB Diversified Agriculture Index), WTI Crude Oil and Silver prices fell by 1.27%, 0.46% and 1.09%, respectively; while the Gold price edged higher by 1.33%. Last but not least, Volatility (VIX) advanced by 17.07% during the same period.
The total US ETP flows from all products registered $6.3bn of outflows during last week vs $1.2bn of inflows the previous week, setting the YTD weekly flows average at +$3.1bn (+$47.0bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$6.8bn, +$0.9bn, and -$0.3bn last week vs. +$0.8bn, +$0.4bn, and +$0.0bn the previous week, respectively.
Within Equity ETPs, US Sector products experienced the largest inflows (+$0.6bn); while Large Cap vehicles experienced the largest outflows (-$5.8bn), followed by Reginal EM ETPs (-$0.6bn). Within Fixed Income ETPs, Sovereign products recorded the largest inflows (+$0.6bn), followed by Sub-Sovereign products (+$0.1bn). Within Commodity ETPs Crude Oil products experienced the largest outflows (-$0.1bn).
Top 3 ETPs & ETNs by inflows: XLE (+$0.4bn), TLT (+$0.3bn), SCPB (+$0.2bn)
Top 3 ETPs & ETNs by outflows: SPY (-$3.9bn), QQQ (-$1.0bn), EEM (-$0.6bn)
New Launch Calendar: 2 new listings on NYSE
There were two new ETP listings during the previous week. Both were listed on NYSE Arca. One of the products provides exposure to high yield corporate debt which has been downgraded, and the other ETP provides exposure to a portfolio of diversified agriculture products.
Turnover Review: total and daily floor activity increases on rising volatility
Total weekly turnover increased by 32.7% to $332bn vs. $250bn in the previous shorter week. Similarly, average daily turnover was also higher recording $66.4bn vs. $62.5bn in the previous one. The largest increase was on Equity ETP turnover, which rose by $78.1bn or 35.8% to $296bn. Fixed Income and Commodity ETP turnover followed with increases of 17.7% (+$2.8bn) and 1.8% (+$0.3bn), respectively.
Assets Under Management (AUM) Review: markets lost 1.5%
Volatile markets and negative flows resulted in a pull-back in ETP assets of $17.5bn. ETP AUM fell by 1.5% to $1.16 trillion from the previous week’s level. YTD growth remains strong at 11.4%. Assets for equity, fixed income and commodity ETPs moved -$20.7bn, +$1.6bn, and +$1.7bn during last week, respectively.
BNY Mellon ADR Index Monthly Performance Review is Now Available-March 2012
April 16, 2012--The BNY Mellon ADR Index Monthly Performance Review March 2012 is now available.
view updates
Invesco Canada launches nation's first senior loan ETF; Yet another first for Canadian investors
April 16, 2012--In an effort to meet the growing investor demand for increased yield and protection against the threat of rising interest rates, Invesco Canada is proud to launch the latest addition to its innovative lineup of exchange-traded funds (ETFs): PowerShares Senior Loan (CAD Hedged) Index ETF [TSX: BKL].
Canada's first senior loan ETF, Invesco Canada's latest offering provides access to an asset class that has historically delivered higher yield than other fixed-income securities of equal or higher credit quality and provided investors with an added measure of security against borrower default. In addition, the low duration of senior loans may help to reduce a portfolio's overall interest-rate sensitivity.
"With this new ETF, Invesco Canada is helping to open up an asset class that has traditionally been traded exclusively by institutional investors," said Michael Cooke, Head of Distribution for PowerShares Canada. "Senior Loans are a great way for investors to diversify their fixed-income portfolios by offering low correlation to other fixed-income segments."
JP Morgan lodges fresh copper ETF filing with NYSE
April 13, 2012--Investment bank JPMorgan has lodged a filing to list a copper-backed exchange-traded fund (ETF)with NYSE Euronext.
J.P. Morgan Commodity ETF Services lodged a proposal to list and trade shares of JPM XF Physical Copper Trust in a filing dated April 2, 2012.
FlexShares files with the SEC
April 13, 2012--FlexShares has filed a first amended and restated application for exemptive relief with the SEC.
view filing
CSA and IIROC announce implementation of dark liquidity framework
April 13, 2012--The Canadian Securities Administrators (CSA) and the Investment Industry Regulatory Organization of Canada (IIROC) are implementing a new regulatory framework for the use of orders entered without pre-trade transparency (dark orders).
To implement the framework, amendments have been made to National Instrument 21-101 Marketplace Operation and to the Universal Market Integrity Rules (UMIR), approved by the CSA on March 30, 2012. The framework is comprised of the following key elements:
Visible order priority –Visible orders will have execution priority over dark orders on the same marketplace at the same price;
Meaningful price improvement – In order to trade with a dark order, smaller orders must receive a minimum level of price improvement, which is defined as one trading increment or half a trading increment for securities with a bid-ask spread of one trading increment; and
Minimum size – IIROC has the ability to designate a minimum size for dark orders. It is not doing so at this time, but the CSA and IIROC will monitor market developments closely to consider whether and when IIROC should implement a minimum size.
United States Commodity Funds LLC Launches the United States Agriculture Index Fund (USAG)
April 13, 2012--The United States Commodity Funds LLC, a sponsor of exchange traded commodity funds, listed for trading on the New York Stock Exchange Arca, a new exchange traded
commodity index fund, United States Agriculture Index Fund, under the ticker "USAG".
The United States Agriculture Index Fund (USAG) is an exchange traded product (“ETP”) that seeks to
reflect the performance of a portfolio of agriculture futures contracts fully collateralized with U.S. Treasury
Bills. The investment objective of USAG is for the daily changes in percentage terms of its units’ net
asset value (“NAV”) to reflect the daily changes in percentage terms of the SummerHaven Dynamic
Agriculture Index Total ReturnSM, less USAG’s expenses. USAG issued units may be purchased and
sold on the NYSE Arca.
