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CBOE/CBOT 10-Year Treasury Note Volatility Index Futures Product Launch
November 4, 2014--CBOE Futures Exchange, LLC will launch trading in CBOE/CBOT 10-Year Treasury Note Volatility Index (VXTYN) futures on November 13, 2014.
The terms and conditions for VXTYN futures and the
Lead Market Maker (LMM) Program for VXTYN futures will also become effective on that date.
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Source: CBOE
Pimco Total Return ETF posts $437 million outflow in October: Morningstar
November 4, 2014--The Pimco Total Return Exchange-Traded Fund posted its second straight month of outflows in October, totaling $437 million compared with $631 million outflow in September,
according to Morningstar data on Tuesday.
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Source: Reuters
Treasury Announces Marketable Borrowing Estimates
November 3, 2014--The U.S. Department of the Treasury today announced its current estimates of net marketable borrowing for the October-December 2014 and January-March 2015 quarters:
During the October-December 2014 quarter, Treasury expects to issue $232 billion in net marketable debt, assuming an end-of-December cash balance of $200 billion. This borrowing estimate is $45 billion higher than announced in August 2014.
The increase in borrowing relates primarily to changes in cash balance assumptions. [1]
During the January-March 2015 quarter, Treasury expects to issue $209 billion in net marketable debt, assuming an end-of-March cash balance of $100 billion.
During the July-September 2014 quarter, Treasury issued $205 billion in net marketable debt and ended the quarter with a cash balance of $158 billion. In August 2014, Treasury had estimated $192 billion in net marketable debt and assumed an end-of-September cash balance of $150 billion. The increase in borrowing is driven primarily by a higher ending cash balance.
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Source: US Department of the Treasury
ISE Holdings Reports Business Activity for October 2014
November 3, 2014--ISE Gemini reported record monthly ADV (1,007,614 contracts) and market share (5.3%).
ISE Gemini surpassed one million contracts in 12 of the 23 trading days in October.
ISE and ISE Gemini combined represent 17.4% of equity options market share, excluding dividend trades
ISE and ISE Gemini reported a combined ADV of 3.3 million contracts.
Dividend trades made up 0.3% of industry volume in October 2014.
International Securities Exchange Holdings, Inc. (ISE Holdings) today reported a combined average daily volume (ADV) of 3.3 million contracts in October 2014 for its two exchanges, ISE and ISE Gemini. This represents 17.4% of U.S. equity options market share.
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Source: ISE Holdings
Mutual Funds to Face New Rules as SEC Outlines Oversight Plan
November 24, 2014--U.S. regulators may limit how much mutual funds can invest in hard-to-sell assets and use derivatives to boost returns,
as concerns mount over firms' ability to unwind positions in times of financial stress.
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Source: Bloomberg
Horizons ETFs Reduces Management Fee for Horizons Canadian Black Swan ETF (HUT) and Horizons US Black Swan ETF (HUS)
November 3, 2014--Horizons ETFs Management (Canada) Inc. and its affiliate AlphaPro Management Inc. (collectively, "Horizons ETFs") are pleased to announce a change to the management fee structure of Horizons Canadian Black Swan ETF ("HUT") and
Horizons US Black Swan ETF ("HUS" and collectively, the "Black Swan ETFs").
The change, which is retroactive to November 1, 2014...
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Source: Horizons ETFs Management (Canada) Inc.
Source scrubbed from China ETF launch in US
November 3, 2014--Hong Kong-based CSOP Asset Management has quit its plans to join hands with UK-based exchange traded fund provider Source to list a co-branded China A-shares ETF in the US and will instead go it alone.
Its planned CSOP FTSE CHINA A50 ETF, which will track the FTSE China A50 Net Total Return Index, will be listed on the NYSE Arca after it receives relevant approvals, a source with knowledge of the planned listing told Ignites Asia on condition of anonymity.
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Source: FT.com
Morgan Stanley-US ETF Weekly Update
November 3, 2014--Weekly Flows: $16.5 Billion Net Inflows
Largest Weekly Net Inflows in 2014
High-conviction ETF Recommendations Slide
ETFs Have Generated Net Inflows 33 of 44 Weeks YTD
ETF Assets Stand at $1.9 Trillion, Up 13% YTD
Three ETF Launches Last Week
PowerShares DB Suite Transferred to Invesco PowerShares
PIMCO Active ETFs Receive Increased Derivatives Use Approval
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $16.5 bln last week; largest weekly net inflows in 2014
Last week's net inflows were led by US Large-Cap ETFs at $7.0 bln; conversely, Commodity ETFs posted net outflows of $204 mln, the most of any category we measured
Fourteen of the 15 categories we measured posted net inflows last week; ETFs have generated net inflows 33 of the 44 weeks YTD totaling $139.4 bln
ETF assets stand at $1.9 tln, up 13% YTD
13-week flows remain positive among most asset classes; combined $59.1 bln in net inflows
Fixed Income ETFs generated net inflows of $23.3 bln over the last 13 weeks, the most of any category
Trailing only Fixed Income ETFs, US Large-Cap ETFs have exhibited net inflows of $18.1 bln over the last 13 weeks; interestingly, US Large- Cap ETF market share has climbed to 26% from 21% over the last two years
Commodity ETFs continue to struggle, and over the last 13 weeks have posted net outflows of $2.1 bln; notably, Commodity ETF market share has declined to 3% from 9% over the last two years
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Russell 2000 ETF (IWM) posted net inflows of $3.2 bln last week, the most of any ETF
Eight of the 10 ETFs to generate the largest net inflows last week were US equity-based
The three ETFs to mirror the S&P 500 Index (SPY, IVV, and VOO) delivered a combined $3.7 bln in net inflows last week
Notably, the PowerShares QQQ (QQQ) posted net inflows of $1.5 bln last week showing some resiliency after exhibiting a combined $8.7 bln in net outflows over the prior seven weeks
The Materials Select Sector SPDR (XLB) and the First Trust Materials AlphaDEX Fund (FXZ) had a combined $1.4 bln in net outflows last week; the funds' net outflows were significant compared to their current market caps
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume jumped in October to 30% amid a spike in volatility and trading volumes; October's reading compares to September's 25%; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume declined by $18 bln last week compared to the prior week, but is still 10% above its 13-week average
US Small- & Micro-Cap ETFs accounted for 9% of ETF $ volume last week compared to their 13-week average of 8% and market capitalization share of 5%
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Russell 2000 ETF (IWM) posted net inflows of $3.2 bln last week, the most of any ETF
Eight of the 10 ETFs to generate the largest net inflows last week were US equity-based
The three ETFs to mirror the S&P 500 Index (SPY, IVV, and VOO) delivered a combined $3.7 bln in net inflows last week
Notably, the PowerShares QQQ (QQQ) posted net inflows of $1.5 bln last week showing some resiliency after exhibiting a combined $8.7 bln in net outflows over the prior seven weeks
The Materials Select Sector SPDR (XLB) and the First Trust Materials AlphaDEX Fund (FXZ) had a combined $1.4 bln in net outflows last week; the funds' net outflows were significant compared to their current market caps
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume jumped in October to 30% amid a spike in volatility and trading volumes; October's reading compares to September's 25%; over the last 5 years, ETF monthly $ volume as a % of listed trading volume averaged 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume declined by $18 bln last week compared to the prior week, but is still 10% above its 13-week average
US Small- & Micro-Cap ETFs accounted for 9% of ETF $ volume last week compared to their 13-week average of 8% and market capitalization share of 5%
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 10/15/14
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $6.8 bln
SPY's shares short at 292 mln are at their highest level since 5/31/12
Notably, the SPDR Barclays High Yield Bond ETF (JNK) and the iShares iBoxx $ High Yield Corporate Bond ETF (HYG) exhibited meaningful declines in short interest last period; shares short in JNK are at their second lowest level of 2014 and HYG's shares short are at their lowest level of the year
694 ETFs exhibited short interest increases while 646 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $12.2 bln over the period ended 10/15/14
The average shares short/shares outstanding for ETFs is currently 3.9%, down from 4.2% last period
For the third consecutive period, the SPDR Retail ETF (XRT) was the most heavily shorted ETF as a % of shares outstanding at 267%
Seven of the 10 most heavily shorted ETFs as a % of shares outstanding are sector/industry based (XRT, SMH, XOP, IYR, XBI, OIH, DRV)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only seven ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$7.0 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 35% of recently launched ETF market share and 48% of net inflows over the last 13 weeks, the most of any category
International equity ETFs have experienced 62 launches over the last year, accounting for 34% of all recently launched ETFs
166 new ETF listings and 57 closures YTD
The top 10 most successful launches make up 43% of the market cap of ETFs launched over the past year
Seven ETF sponsors and three asset classes (equity, fixed income, and currency) were represented in top 10 most successful launches
The First Trust Enhanced Short Maturity ETF (FTSM) had a surge of net inflows last week at $561 mln; FTSM is a short duration actively managed fixed income portfolio that focuses on investment grade securities
Notably, the WisdomTree Bloomberg US Dollar Bullish Fund (USDU) also had a big week, generating net inflows of $91 mln, or 59% of USDU's current market cap
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Source: Morgan Stanley
CBOE may cut VIX futures trading hours after glitches
October 31, 2014--CBOE Holdings Inc may trim trading hours at its futures exchange after suffering glitches that disrupted activity this month, the company's president said on Friday.
The CBOE Futures Exchange experienced problems related to extended market hours for futures on its CBOE Volatility Index, or VIX, as trading volumes spiked, CBOE President Ed Provost said on a call to discuss third-quarter earnings.
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Source: Reuters
RIAs drive rise in commission-free ETFs
October 31, 2014--Exchange-traded funds, including it would appear those that are commission-free, are a rapidly growing portion of institutional portfolios, thanks in no small part to their RIAs.
Research from Greenwich Associates earlier this year showed that one-quarter of the largest private defined benefit funds now deploy ETFs, and adoption rates are even higher with public defined benefit funds and endowments.
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Source: benefitspro.com
