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CFTC Weekly Swaps Report
February 19, 2014--CFTC's Weekly Swaps Report has been updated, and is now available.
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Source: CFTC.gov
Nasdaq to roll out 'kill switch' to help catch trading errors
February 19, 2014--Nasdaq OMX Group plans to roll out a "kill switch" that would cut off trading of its member firms when pre-set limits are breached, the exchange operator said in a regulatory filing.
Controlling risk has been a major focus for the securities industry in the wake of high-profile snafus like the August 2012 glitch at Knight Capital Group, now a part of KCG Holdings Inc, that sent a flood of errant orders to the NYSE, nearly sank the firm, and led to its takeover by rival Getco
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Source: Reuters
DB-Synthetic Equity & Index Strategy- North America-US ETF Market Weekly Review-US ETP assets up by 3.1% amid positive markets and healthy inflows
February 18, 2014--Data in this report is as of Friday, Feb 14
Market and Net Cash Flows Review
The US (S&P 500) edged higher by 2.32%, while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 2.48% and 2.18%, respectively. In the meantime, performance was positive across US sectors.
The Utilities (+3.35%) and the Healthcare (+3.27%) sectors recorded the biggest weekly gains. The DB Liquid Commodity Index rose by 1.06%, similarly, the Agriculture sector (DB Diversified Agriculture Index), the WTI Crude Oil, Gold and Silver prices rose by 1.35%, 0.42%, 4.06% and 7.26%, respectively. Meanwhile on the FX side the USD strengthened against all major currencies, the Euro, the British Pound, the Swiss Franc and the Japanese Yen depreciated 0.43%, 2.05%, 0.62% and 0.49%, respectively. Last but not least, volatility (VIX) dropped by 11.25% during the same period.
The total US ETP flows from all products registered $16.0bn (+1.0% of AUM) of inflows during last week vs. $9.1bn (-0.6%) of outflows the previous week, setting the YTD weekly flows average at -$1.2bn (-$8.3bn YTD in total cash flows).
Equity, Fixed Income and Commodity ETPs experienced flows of +$14.5bn (+1.1%), +$1.4bn (+0.5%) and +$45mn (+0.1%) last week vs. -$24.1bn (-1.9%), +$14.9bn (+5.7%) and +$0.2bn (+0.4%) in the previous week, respectively. Among US sectors, Healthcare (+$1.5bn, +5.2%) and Financials (+$1.1bn, +1.9%) received the top inflows, while Energy (-$1.1bn, -4.1%) and Industrials (-$0.6bn, -3.7%) experienced the largest outflows. Top 3 ETPs & ETNs by inflows: SPY (+$6.0bn), IWM (+$1.3bn), IVV (+$0.5bn) Top 3 ETPs & ETNs by outflows: IYJ (-$0.6bn), IYE (-$0.6bn), BND (-$0.5bn)
New Launch Calendar: Gold ETFs
There were four new ETFs listed during the previous week. The new actively managed funds from AdvisorShares offer exposure to Gold utilizing a variety of currencies other than the USD.
Turnover Review: Floor activity decreased by 36.2%
Total weekly turnover decreased by 36.2% to $309.9bn vs. $485.5bn from the previous week. However, last week's turnover level was 8.3% over last year's weekly average. Commodity ETPs turnover increased by $0.6bn (+5.0%), while Equity and Fixed Income ETPs turnover decreased by $149.5bn (-34.9%) and $24.4bn (-58.9%), respectively.
Assets under Management (AUM) Review: assets increased by 3.1%
US ETP assets rose by $50.7bn (+3.1%) totaling $1.669 trillion at the end of the week. As of last Friday, US ETPs assets had declined by 0.5% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved +$46.2bn, +$1.7bn and +$2.7bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy- North America
Invesco PowerShares Expands Smart Beta Suite with International BuyBack Achievers ETF
February 18, 2014--Invesco PowerShares Capital Management LLC, a leading global provider of exchange-traded funds (ETFs), announced today the anticipated listing of the PowerShares International BuyBack Achievers(TM) Portfolio (IPKW) on Feb. 27, 2014, on the NASDAQ Stock Market, LLC. IPKW will provide investors efficient access to a portfolio of international companies classified as International BuyBack Achievers(TM).
BuyBack Achievers are companies that have effected a net reduction of 5% or more of their outstanding shares in the past 12 months, and have met additional criteria in accordance with the guidelines and mandated procedures of the NASDAQ OMX Group, Inc., the underlying index provider.
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Source: MarketWatch
Direxion Launches Synthetic Convertible Security Strategies
Alternative Investment Solutions Provider Expands Lineup of Tradable Mutual Funds
February 18, 2014--Direxion, a leader in alternative investment solutions, has expanded its suite of tradable mutual funds by launching the Direxion Indexed Synthetic Convertible Strategy Fund (DXCBX) and Direxion Indexed Synthetic Convertible Strategy Bear Fund (DXCVX), offering investors access to the risk/return characteristics of the convertible bond asset class through a synthetic approach that can potentially help alleviate liquidity, transparency and capacity issues that are characteristic of some traditional convertible bonds.
"We continue to seek ways for investors to gain exposure to different asset classes that allow them to trade freely," said Edward Egilinsky, Managing Director and Head of Alternative Investments at Direxion. "These mutual funds provide our clients exposure to the convertible space without having to own the underlying bonds, which have certain limitations."
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Source: Direxion
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
Changes In The S&P/TSX Preferred Share Indices
February 18, 2014--S&P Dow Jones Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
Bank of Montreal (TSX:BMO) has announced that it will redeem for $CDN25.00 cash per share all of the outstanding shares of its Non-Cumulative 5-Year Rate Reset Class B Preferred Shares Series 18 (TSX:BMO.PR.N) at the close on February 25, 2014.
The shares of this issue will be removed from the S&P/TSX Preferred Share, the S&P/TSX Preferred Share Laddered and the S&P/TSX North American Preferred Stock Indices after the close of trading on Tuesday, February 25, 2014.
Source: S&P Dow Jones Indices
Morgan Stanley-US ETF Weekly Update
February 18, 2014--US ETF Weekly Update
Weekly Flows: $16.0 Billion Net Inflows
First Net Inflows in Four Weeks
ETF Assets Stand at $1.7 Trillion, Down 1% YTD
Four ETF Launches Last Week
Guggenheim Announces Actively Managed ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $16.0 bln last week, the first net inflows in four weeks
Largest weekly net inflows since the week of 9/16/13
Last week's net inflows were led by US Large-Cap ETFs at $7.7 bln; conversely, no categories exhibited significant net outflows last week
Twelve of the 15 categories we measured posted net inflows last week and five of them exhibited net inflows greater than $1 bln
ETF assets stand at $1.7 tln, down 1% YTD
13-week flows remain positive among asset classes; combined $19.5 bln in net inflows
Fixed Income ETFs have generated net inflows for three consecutive weeks, totaling $14.0 bln; as referenced last week, this is a reversal from the net outflows we witnessed during the second half of last year
International - Emerging ETFs have seen their ETF market share shrink to 7% from 12% in the last year driven by weak equity market performance and net outflows; over the last 13 weeks, International - Emerging ETFs have exhibited net outflows of $12.1 bln, the most of any category
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) posted net inflows of $6.0 bln this past week, the most of any ETF
US equity ETFs accounted for nine of the 10 ETFs to generate the largest net inflows last week, totaling $10.3 bln; interestingly, they also made up seven of the 10 ETFs to post the largest net outflows last week ($2.4 bln in net outflows)
Notably, the iShares US Industrials ETF (IYJ) and the iShares US Energy ETF (IYE) each posted net outflows that account for approximately 50% of their current market capitalization; First Trust Energy AlphaDEX Fund (FXN) also had large net outflows relative to its market cap (small market cap to begin with)
Over the last 13 weeks, the iShares 3-7 Year Treasury Bond ETF (IEI) has exhibited net inflows of $3.7 bln, the most of any ETF; investors have flocked to high quality Fixed Income ETFs amid a volatile start to 2014, especially in equity markets
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume declined to 25% in January, which is below the five-year average of 28%
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume was $319 bln last week, down $180 bln from the prior week, but still 6% above its 13-week average
Fixed Income ETFs accounted for 5% of ETF $ volume last week, however make up 15% of ETF market share, signifying longer holding periods
US-Listed ETFs: Short Interest Data Updated: Based on data as of 1/31/14
The SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.4 bln
The iShares MSCI Emerging Markets ETF (EEM) also had a big jump in short interest ($1.1 bln increase); EEM's shares short are at their highest level since 6/14/13 as investors continue to flee emerging markets
598 ETFs exhibited short interest increases while 640 experienced short interest declines over the last period
Aggregate ETF USD short interest increased by $3.0 bln over the period ended 1/31/14
The average shares short/shares outstanding for ETFs is currently 4.2%, down from 4.4% last period
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are sector/industry related
For the third consecutive period, the SPDR Oil & Gas Exploration & Production ETF (XOP) was the most heavily shorted ETF with shares short as a % of shares outstanding of 366%
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
$8.1 bln in total market cap of ETFs less than 1-year old
Active ETFs account for 24% of the market capitalization of ETFs launched over the past year, the most of any category, followed closely by newly launched Fixed Income ETFs with 23% of market capitalization
Over the last 13 weeks, International - Developed ETFs have attracted $621 mln in net inflows, the most of any group
35 new ETF listings and two closures YTD (11 additional closures announced)
The top 10 most successful launches make up 46% of the market cap of ETFs launched over the past year
Seven ETF sponsors and two asset classes (equities and fixed income) represented in top 10 most successful launches; we note that the representation of funds with an income orientation is currently five (down from seven at the end of the second quarter 2013)
Despite not cracking the top 10 most successful launches over the past year, the First Trust Global Tactical Commodity Strategy Fund (FTGC) generated net inflows of $64 mln last week, the most of any recently launched ETF; FTGC is an actively managed commodity ETF
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Source: Morgan Stanley
IMA sets out plan for overhaul of dealing commission
February 18, 2014--The Investment Management Association has set out recommendations which could see the banning of dealing commission to purchase investment research with fund groups instead paying directly for such services.
A report published today by the IMA, entitled 'The Use of Dealing Commission for the Purchase of Investment Research', lays out a series of measures for good practice surrounding research payments and a possible overhaul of the existing model of dealing commissions.
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Source: FundWeb
SEC to roll out cross--border derivatives rules in phases
February 18, 2014--IN BRIEF
The US Securities and Exchange Commission plans to roll out final international derivatives rules in phases, combining them with new domestic rules, federal officials told MLex.
The first rules tranche, to be approved at some unspecified point in the near term, will be definitions for terms such as "US person" and bank "affiliate" to be used in domestic and international rules, they said.
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Source: mlex.com
Deutsche Asset & Wealth Management Hires Simon Mendelson to Lead Product Management and Development in the Americas
Deutsche Asset & Wealth Management Hires Simon Mendelson to Lead Product Management and Development in the Americas
February 18, 2014--Deutsche Asset & Wealth Management (DeAWM) announced today that Simon Mendelson has joined as a Managing Director and Head of Product Management and Development in the Americas. Based in New York, Mendelson reports to Jerry Miller, Head of Deutsche Asset & Wealth Management, Americas.
"His appointment will help to accelerate DeAWM’s growth strategy by aligning our product offerings with the needs of investors."
In this newly created position, Mendelson will be responsible for overseeing the development, implementation and positioning of DeAWM's investment products and solutions in the Americas. He will play a key role in aligning DeAWM's investment and distribution channels, not only to develop and deliver new products, but also to manage and optimize existing product capabilities.
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Source: Deutsche Asset & Wealth Management
