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CFTC.gov Swaps Report Update
December 26, 2013--CFTC's Weekly Swaps Report has been updated, and is now available.
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Source: CFTC.gov
DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review- Growth ETPs led Equity weekly inflows of $9.6bn
December 23, 2013--Data in this report is as of Fri, Dec 20th
Market and Net Cash Flows Review
The US (S&P 500) edged higher by 2.42%; while, outside the US, the MSCI EAFE (in USD) rose by 2.57% and the MSCI EM (USD) dropped by 0.21%. In the meantime, performance was positive across US sectors; the Industrials (+3.39%) and Materials (+2.80%) sectors recorded the largest weekly gains.
The DB Liquid Commodity Index rose by 1.02%; similarly, the Agriculture sector (DB Diversified Agriculture Index) and the WTI Crude Oil rose by 0.42% and 2.82%, respectively; while Gold and Silver prices fell by 2.87% and 1.40%, respectively. Moving into other asset classes, the 10Y US Treasury Yield rose 1bps ending at 2.89%. Last but not least, Volatility (VIX) dropped by 12.50% during the same period.
The total US ETP flows from all products registered $7.9bn (+0.5% of AUM) of inflows during last week vs. $7.6bn (+0.5%) of inflows the previous week, setting the YTD weekly flows average at +$3.5bn (+$176.9bn YTD in total cash flows).
Equity, Fixed Income and Commodity ETPs experienced flows of +$9.6bn (+0.7%), -$0.7bn (-0.3%) and -$1.1bn (-1.7%) last week vs. +$7.4bn (+0.6%), +$0.7bn (+0.3%) and -$0.5bn (-0.9%) in the previous week, respectively.
Among US sectors, Industrials (+$0.6bn, +4.5%) and Materials (+$0.4bn, +3.7%) received the top inflows, while Energy (-$0.2bn, -0.8%) and Utilities (-$0.1bn, -1.5%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: VO (+$1.3bn), VXF (+$1.0bn), VB (+$0.9bn)
Top 3 ETPs & ETNs by outflows: SPY (-$1.9bn), GLD (-$0.5bn), QQQ (-$0.5bn)
New Launch Calendar: USD, JGB, US HY Corporate and US broad bonds
There were six new ETFs listed by WisdomTree during the previous week. The new products offer exposure to the US broad bond market (AGZD; AGND) and below investment grade corporate bonds (HYZD; HYND) while seeking to manage interest rate risk through the use of short positions in US Treasuries; changes in Japanese interest rates (JGBB), and the value of the US dollar against a basked of developed and emerging market currencies (USDU).
Turnover Review: Floor activity increased by 32.4%
Total weekly turnover increased by 32.4% to $369.4bn vs. $279.0bn from the previous week; Furthermore, last week's turnover level was 37.0% over last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover increased by $81.9bn (+32.8%), $4.2bn (+23.6%) and $3.4bn (+38.6%) during the same period, respectively.
Assets under Management (AUM) Review: assets increased by $28.3bn
US ETP assets rose by $28.3bn (+1.7%) totaling $1.650 trillion at the end of the week. As of last Friday, US ETPs had accumulated an asset growth of +23.8% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved +$31.2bn, -$0.7bn and -$2.2bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
US ETF shop for sale (ETFs not included)
December 23, 2013--A private equity group has put its exchange traded fund business on the auction block, soliciting offers for an entity without products or assets but with regulatory approval to launch them.
It is the latest example of an entity selling its ETF regulatory approval to the highest bidder, an undertaking that is meeting with varying degrees of success, sources say.
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Source: FT.com
NYSE proposes 'kill switch' to help catch trading errors
December 23, 2013--IntercontinentalExchange Group's NYSE Euronext unit has filed a plan with regulators to offer firms that trade on the New York Stock Exchange a "kill switch" that could cut off trading if preset levels were breached.
Risk controls have 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. Knight was one of the biggest executors of U.S. trades.
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Source: Reuters
FINRA may bar brokers from selling investments they can't explain
December 23, 2013--The Financial Industry Regulatory Authority is giving new emphasis to the role of brokers in financial frauds that involve complex investments.
The regulator is considering restricting the ability of brokers to sell a product if they cannot explain its risks to potential investors.
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Source: Smartbrief.com
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Relief Regarding Introducing Brokers' Compliance with Certain Financial Reporting and Capital Computation Requirements
December 23, 2013--The U.S. Commodity Futures Trading Commission's (Commission) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter that provides relief for certain Introducing Brokers (IBs) registered with the Commission from certain financial reporting and capital computation requirements.
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Source: CFTC.gov
CFTC's Division of Market Oversight Provides Conditional No-Action Relief from Limitations on Execution Methods for Required Transactions that Involve Basis Risk Mitigation Services Provided by a SEF
December 23, 2013--The U.S. Commodity Futures Trading Commission's (CFTC or Commission) Division of Market Oversight (DMO) today announced the issuance of a no-action letter providing swap execution facilities (SEFs) relief, under certain conditions, in connection with a SEF's provision of certain "basis risk mitigation services," i.e.,
a service that manages the basis risk from reference price quarterly re-pricing timing mismatches on swaps.
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Source: CFTC.gov
CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Relief Regarding Swaps Entered Into by Persons Registered as Floor Traders
December 23, 2013--The U.S. Commodity Futures Trading Commission's (Commission) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter that provides relief from certain conditions of the swap dealer exclusion for registered floor traders.
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Source: CFTC.gov
Use of ETPs by institutional investors still elusive
December 23, 2013--Based on quarter-end and annual filings, many of the largest (and smallest) pension funds in the U.S. would appear to have largely ignored the $1.6 trillion exchange-traded product market.
Only a handful of ETPs consistently show up as long-term holdings, from quarter to quarter.
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Source: Pensions & Investments
Morgan Stanley ETF Weekly Update
December 23, 2013--US ETF Weekly Update
Weekly Flows: $7.9 Billion Net Inflows
$174.3 Billion Net Inflows YTD
ETF Assets Stand at $1.7 Trillion, up 23% YTD
Six ETF Launches Last Week
No ETF News Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows for the second consecutive week ($7.9 bln last week)
Last week's net inflows were led by US Mid-Cap ETFs at $3.0 bln; conversely, Commodity ETFs exhibited another week of net outflows at $1.1 bln, the most of any category we measured
11 of the 15 categories we measured posted net inflows last week
ETFs have exhibited net inflows 35 out of 51 weeks YTD
ETF assets stand at $1.7 tln, up 23% YTD; $174.3 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $46.5 bln in net inflows
International - Developed ETFs generated net inflows of $23.4 bln over the last 13 weeks, the most of any category we measured and 50% of all ETF net inflows over the last 13 weeks
Despite International - Developed ETF flow success over the last 13 weeks, International - Emerging ETFs have posted net outflows of $3.5 bln over the last 13 weeks; major Emerging Markets benchmarks have been notable laggards from a performance standpoint over this time period relative to Developed Markets
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard Mid-Cap ETF (VO) posted net inflows of $1.3 bln this past week, the most of any ETF
Nine of the 10 ETFs to generate the largest net inflows last week were US equity-based with Vanguard being a big beneficiary; some of Vanguard's net inflows coincide with quarterly rebalancing
Five of the 10 ETFs to exhibit the largest net inflows have a small-/mid-capitalization tilt
Despite a difficult last week, the SPDR S&P 500 ETF (SPY) has posted net inflows of $5.9 bln over the last 13 weeks, the most of any ETF
Over the last 13 weeks, the Vanguard FTSE Emerging Markets ETF (VWO) has exhibited net outflows of $4.3 bln, the most of any ETF
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume dropped to 24% in November (had been essentially flat the prior four months)
ETF monthly $ volume as a % of listed trading volume is at its lowest level since May 2008
ETF $ volume increased last week to $368 bln, up $89 bln from the prior week and 26% above its 13-week average
US Large-Cap ETFs accounted for 47% of ETF $ volume last week, up from 42% the prior week
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 11/29/13
The SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.2 bln
While SPY's shares short (280.1 mln) are at one of their highest levels in the past year and a half, the iShares Russell 2000 ETF (IWM) shares short are at their lowest level since 4/30/09 (111.2 mln)
596 ETFs exhibited short interest increases while 566 experienced short interest declines over the last period
Aggregate ETF USD short interest decreased by $2.2 bln over the period ended 11/29/13
The average shares short/shares outstanding for ETFs is currently 4.1%, flat from last period
Six of the 10 most heavily shorted ETFs as a % of shares outstanding are industry based
The SPDR Oil & Gas Exploration & Production ETF (XOP) is the most heavily shorted ETF with shares short as a % of shares outstanding of 240%
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only eight ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$6.5 bln in total market cap of ETFs less than 1-year old
Fixed Income ETFs account for 25% of the market capitalization of ETFs launched over the past year; over the last 13 weeks, Fixed Income ETFs have generated net inflows of $339 mln
143 new ETF listings and 48 closures/delistings YTD
The top 10 most successful launches make up 50% of the market cap of ETFs launched over the past year
Seven ETF sponsors and two asset classes 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)
The Vident International Equity Fund (VIDI) posted net inflows of $120 mln last week, the most of any recently launched ETF, and its market cap is currently $490 mln; VIDI owns international equities in countries that exhibit favorable conditions for growth
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Source: Morgan Stanley
