Americas ETP News
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DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review-Prices put pressure on ETP assets, but flows receded to neutral
June 18, 2013--Market and Net Cash Flows Review
Most equity markets moved lower last week. The US (S&P 500) fell by 1.01%; while, outside the US, the MSCI EAFE (in USD) rose by 0.45% and the MSCI EM (USD) dropped by 2.63%.
Moving on to other asset classes, the 10Y US Treasury Yield dropped by 3 bps last week; while the DB Liquid Commodity Index was almost flat (-0.14%). Similarly, the Agriculture sector (DB Diversified Agriculture Index) pulled back by 1.72% and the WTI Crude Oil, Gold and Silver rose by 1.9%, 0.56% and 2%, respectively. Last but not least, Volatility (VIX) rose by 13.28% during the same period.
The total US ETP flows from all products registered $0.56bn (-0.0% of AUM) of outflows during last week vs. $9.26bn (-0.6%) of outflows the previous week, setting the YTD weekly flows average at +$3bn (+$72.43bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$1.37bn (0.12%), -$1.68bn (-0.63%), -$0.19bn (-0.24%) last week vs. -$3.87bn (-0.35%), -$4.8bn (-1.75%), -$0.33bn (-0.42%) in the previous week, respectively.
Among US sectors, Energy (+$0.3bn, +1.24%) and Industrials (+$0.3bn, + 4%) received the top inflows, while Financials (-$0.36bn, -0.62%) and Utilities (-$0.11bn, -1.22%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: SPY (+$3.9bn), TLT (+$0.6bn), XLE (+$0.5bn)
Top 3 ETPs & ETNs by outflows: EEM (-$2.5bn), IFG (-$0.9bn), LQD (-$0.5bn)
New Launch Calendar: commodity ETNs
There were 2 new ETNs listed during last week. Both notes focus on Commodity indices. One the notes employs a diversified approach and the other employs a rotation strategy.
Turnover Review: Floor activity decreased by 20%
Total weekly turnover decreased by 19.8% to $346.01bn vs. $431.63bn in the previous week. However, last week's turnover level was 28% over last year's weekly average.
Assets under Management (AUM) Review: assets dropped by $17bn
US ETP assets dropped by $1.27bn (-0.9%) totaling $1.456 trillion at the end of the week. As of last Friday, US ETPs have accumulated an asset growth of 9.2% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$10.1bn, -$2.1bn, -$0.4bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
Sudden Stock Crashes Usually Caused by Human Error, SEC Says
June 18, 2013--Concern that American stock markets have become more susceptible to split-second crashes due to computerization isn't supported by the data, a Securities and Exchange Commission official said.
Most “mini-flash crashes,” a term sometimes applied when an individual U.S. stock briefly surges or plunges for no obvious reason, are the result of human errors, not broken software, said Gregg Berman, head of the SEC’s Office of Analytics and Research.
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Source: Bloomberg
CFE modifies pricing for S&P 500 Variance futures contract
Pricing Method Now Similar to OTC Variance Swaps
June 17, 2013--CBOE Futures Exchange, LLC (CFE) on Monday, June 24 will revise the pricing method for its S&P 500 Variance (VA) futures contract, which began trading on CFE in December 2012.
The change involves the timing of when CFE converts volatility points to futures prices so that the prices of VA futures are more directly comparable to prices in the over-the-counter (OTC) variance swap market.
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Source: CBOE Futures Exchange
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Share Update In The S&P/TSX Composite And 60 Indices
June 17, 2013--S&P Dow Jones Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of EACOM Timber Corporation (TSXVN:ETR) have accepted the all-cash takeover offer from Kelso & Company.
Shareholders of EACOM Timber will receive $CDN0.38 cash for each share held. The shares of EACOM Timber will be removed from the S&P/TSX Venture Composite Index after the close of trading on Tuesday, June 18, 2013.
Source: S&P Dow Jones Indices
NASDAQ OMX and Accretive Asset Management Announce Partnership on BulletShares Indexes
New partnership will result in co-branding of all BulletShares Indexes
BulletShares currently have over $2.5 billion in exchange-traded fund assets tracking indexes
NASDAQ OMX and Accretive to develop new BulletShares and other fixed income index products
June 17, 2013--The NASDAQ OMX Group, Inc. (Nasdaq:NDAQ) and Accretive Asset Management, LLC. today announced a new partnership involving Accretive,s innovative BulletShares(R) Corporate Bond Index family.
NASDAQ OMX and Accretive have agreed to co-brand the indexes and work jointly to promote the BulletShares concept around the world.
"Accretive was quick to identify an opportunity in the bond index field and develop an innovative solution to meet the needs of investors with the first fixed-maturity corporate bond indexes. NASDAQ OMX is excited to partner with Accretive to expand the BulletShares brand globally and bring these indexes to investors around the world," said John L. Jacobs, Executive Vice President, NASDAQ OMX Global Indexes.
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Source: NASDAQ OMX
Morgan Stanley-US ETF Weekly Update
June 17, 2013--US ETF Weekly Update
Weekly Flows: $916 Million Net Outflows
ETF Assets Stand at $1.5 Trillion, up 9% YTD
No ETF Launches Last Week
MSCI Announces Results of 2013 Annual Classification Review
AdvisorShares Closes Active ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $916 mln last week, the fourth consecutive week of net outflows
The streak of net outflows (totaling $12.4 bln) is the longest since the beginning of 2010
10 of the 15 categories we measured posted net outflows last week
Net outflows were primarily driven by International - Emerging Equity ($3.0 bln) and Fixed Income ($1.5 bln) ETFs
ETF assets stand at $1.5 tln, up 9% YTD; $70.4 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $21.7 bln in net inflows
US Large-Cap Equity ETFs have generated $8.8 bln in net inflows over the last 13 weeks, the most of any measured
category; the category is generally dictated by the SPDR S&P 500 ETF (SPY), however five US Large-Cap ETFs posted net
inflows greater than $500 mln over the last 13 weeks
International-Emerging Equity and Commodity ETFs have posted a combined $27.0 bln in net outflows over the last 13 weeks,
the most of any categories we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The SPDR S&P 500 ETF (SPY) posted net inflows of $3.9 bln, the most of any ETF
The iShares MSCI Emerging Markets Index Fund (EEM) exhibited large net outflows for the third consecutive week; over the last
three weeks, EEM has posted a combined $6.5 bln in net outflows as money continues to flee the emerging markets space
Two Treasury-based ETFs, one on the long end of the Treasury curve and one on the short end (iShares Barclays 20+ Year
Treasury Bond Fund (TLT) and the iShares Barclays Short Treasury Bond Fund (SHV)), generated strong net inflows last week
($809 mln in aggregate)
Broad corporate bond ETFs continue to struggle; the iShares iBoxx $ Investment Grade Corporate Bond Fund (LQD) and the
iShares iBoxx $ High Yield Corporate Bond Fund (HYG) have each posted net outflows for five consecutive weeks totaling $4.3
bln; notably, Morgan Stanley Wealth Management’s Fixed Income strategists prefer investment grade corporates over high yield
and recommend shortening duration
US-Listed ETFs: Short Interest Data Updated: Based on data as of 5/31/13
iShares MSCI Emerging Markets Index Fund (EEM) had the largest increases in USD short interest at $529 mln
EEM’s shares short are at their highest level since 2/15/11
Notably, the iShares MSCI EAFE Index Fund (EFA) is at its lowest level of shares short since 10/31/12
Aggregate ETF USD short interest decreased by $1.8 bln over the period ended 5/31/13
The average shares short/shares outstanding for ETFs is currently 4.3%
The iShares Barclays 20+ Year Treasury Bond Fund (TLT) cracked the top 10 most heavily shorted ETFs as a % of shares
outstanding as investors fret rising rates; for contrarian investors, TLT’s increase may be a positive sign for rates and a signal that
the recent sell-off is overdone
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can
exceed 100% (only three 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 Wealth Management ETF Research. Data estimated as of 6/14/13 based on daily change in share counts and daily NAVs.
$7.4 bln in total market cap of ETFs less than 1-year old
Newly launched International Equity ETFs account for 39% of the market cap of ETFs launched over the past year; conversely,
US Equity ETFs account for only 16% of market cap while few ETFs have been launched in traditional US Equity categories
(ie. US size and style)
Issuance has been light in 2013 relative to the past three years; 53 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 65% of the market cap of ETFs launched over the past year
Six ETF sponsors and two asset classes represented in top 10 most successful launches; seven have an income orientation
The iShares MSCI Frontier 100 Index Fund (FM) generated net inflows of $36 mln last week and $202 mln YTD, one of the lead
asset gatherers for newly minted ETFs; notably, FM has posted positive double digit returns relative to broad emerging market
benchmarks which are down in excess of 10% YTD
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Source: Morgan Stanley
CFTC's Division of Market Oversight Provides Time-Limited No-Action Relief to Provide for Transition to SEF Registration
June 17, 2013--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (DMO) today announced the issuance of a time-limited no-action letter providing temporary no-action relief to, among other things, prevent facilities that have been operating pre-Dodd Frank trading platforms
(which were exempt from the Commission’s regulations) from being unduly disrupted during the transition to registration with the Commission as swap execution facilities (SEFs).
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Source: CFTC.gov
CFTC Certifies Futures Contracts on the MSCI World Index, MISCI Europe Index, MSCI Japan Index, and the MSCI All Countries Asia Pacific ex-Japan Index Submitted by Eurex Deutschland
June 17, 2013--The Commodity Futures Trading Commission's Division of Market Oversight issued a letter advising Eurex Deutschland that its MSCI World Index, MSCI Europe Index, MSCI Japan Index, and MSCI All Countries Asia Pacific ex-Japan Index futures contracts
submitted for review on April 29, 2013 were deemed certified.
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Source: CFTC.gov
Fidelity still working out the kinks in some new ETFs
O'Hanley concerned about performance of actively managed bond ETFs under stress
June 17, 2013--If you're anxiously awaiting Fidelity Investment's foray into the exchange-traded fund world, you may have to take a deep breath.
The company received the OK from the Securities and Exchange Commission to launch actively managed ETFs in May and is working out the kinks in corporate-bond and mortgage securities ETFs it has proposed to offer,
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Source: Investment News
Markets on edge as investors seek exit
June 16, 2013--Mom and pop investors who flocked to the great bull run in bonds are now facing a messy exit thanks to striking changes in one of Wall Street's biggest markets.
The rise of exchange traded funds has given retail investors instant access to a range of debt including high-yield, inflation-indexed and investment grade bonds.
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Source: FT.com
