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DB-Synthetic Equity & Index Strategy-North America-US ETF Weekly Review - ETP assets break the $1.3 trillion mark and record new historical high
December 10, 2012--Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) edged higher by 0.13%; While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 0.81% and 1.7%, respectively. Moving on to other asset classes, the 10Y US Treasury Yield rose by 2 bps last week.
In the meantime, all major commodity indices pulled back. The DB Liquid Commodity Index was down by 1.84%. Similarly, the WTI Crude Oil and Silver prices retreated by 3.35% and 1.04%, respectively. Last but not least, Volatility (VIX) ended flat last week.
The total US ETP flows from all products registered $1.08bn (0.1% of AUM) of inflows during last week vs. $18.04bn (1.4%) of inflows the previous week, setting the YTD weekly flows average at +$3.2bn (+$155.27bn, +14.8% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$0.39bn (0.0%), +$1.14bn (0.4%), +$0.4bn (0.3%) last week vs. +$16.29bn (1.8%), +$1.22bn (0.5%), +$0.5bn (0.4%) in the previous week, respectively.
Among US sectors, Consumer Staples (+$0.34bn, +3.8%) and Healthcare (+$0.27bn, +2.0%) received the top inflows, while Materials (-$0.52bn, -5.9%) and Utilities (-$0.15bn, -1.9%) experienced the largest outflows.
Within Equity ETPs, Large Cap products had the largest inflows (+$1.6bn, +0.7%). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.9bn, +0.8%); meanwhile Sovereign (-$0.7bn, -1.1%) ETPs experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: EEM (+$0.9bn), SPY (+$0.9bn), QQQ (+$0.5bn) Top 3 ETPs & ETNs by outflows: VO (-$1.4bn), VT (-$1.2bn), VB (-$0.8bn)
New Launch Calendar: hedging against market uncertainty
There was 1 new ETF listed during the previous week. The new product offers exposure to broad US equity market with an implied volatility hedge by dynamically allocating between equity, volatility and cash.
Turnover Review: Floor activity decreased by 5.5%
Total weekly turnover decreased by 5.5% to $252bn vs. $267bn from the previous week. Last week's turnover level was 33% below last year's weekly average. Equity and Commodity ETPs turnover decreased by $14.3bn (-6.0%) and $0.3bn (-2.3%), respectively, while Fixed Income ETPs turnover remained mostly flat.
Assets under Management (AUM) Review:
US ETPs reach $1.3 trillion in assets
US ETP assets crossed the $1.3 trillion milestone during last week, setting a new historical high. As of last Friday, US ETPs have accumulated an asset growth of 24.5% YTD. Assets for equity, fixed income and commodity ETPs moved +$4.0bn, +$1.0bn, -$1.7bn during last week, respectively.
request report
Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
CBOE Futures Exchange Launched S&P 500 Variance Futures on December 10
New Contract Mirrors Quoting Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
December 10, 2012--CBOE Futures Exchange, LLC (CFE) launched trading in S&P 500 Variance futures on December 10, 2012.
The listing cycle for variance futures match listed SPX options expirations. Quote and trade prices are expressed in annualized volatility terms, and trade sizes in vega notional. Post-trade, the price and quantity are converted from volatility/vega terms to variance/contract terms.
Quotes can be found from the Bloomberg terminal on "VAAA Morgan Stanley-US ETF Weekly Update ETFs posted net inflows of $1.1 bln last week, the 3rd consecutive week of net inflows
13-week flows were mostly positive among asset classes; combined $56.5 bln net inflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The iShares MSCI Emerging Markets Index Fund (EEM) posted net inflows of $947 mln, the most of any ETF
US-Listed ETFs: Short Interest SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $2.1 bln
The average shares short/shares outstanding for ETFs is currently 4.9%, up from 4.4% in the prior period
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. $8.2 billion in total market cap of ETFs less than 1-year old
The top 10 most successful launches make up 72% of the market cap of ETFs launched over the past year
request report Monitoring the Economy Credit Suisse Plans to Dismiss 120 in New York City view more
Private Equity Activity Slows in Latin America, According to Thomson Reuters Report
Private equity activity in the region has been a roller coaster ride in recent years. It climbed from $1 billion in 2005 to $7.5 billion in 2007, then dipped to about $3 billion in 2008 and 2009. It spiked the following year to $17.2 billion before declining to $5.5 billion in 2011.
read more CFTC's Division of Market Oversight Issues Time-Limited No-Action Relief for Part 20 Reporting Entities Regarding Identifying Information and for Part 45 & Part 46 Reporting Counterparties Regarding Legal Entity Identifiers & Other Identifying Information view more CFTC's Division of Swap Dealer and Intermediary Oversight Issues No-Action Letter for Operators of Mortgage REITs view more CFTC's Division of Swap Dealer and Intermediary Oversight Provides No-Action Relief to Swap Dealers and Major Swap Participants from Compliance with Statutory Disqualification Prohibition with Respect to their Association with Certain Persons view more CBO -Monthly Budget Review-Fiscal Year 2013
Total Receipts Were Up by 10 Percent in the First Two Months of Fiscal Year 2013
Receipts for the first two months of in fiscal year 2013 totaled $346 billion, $30 billion more than those in the same period last year. Compared with receipts in October and November last year:
Net receipts from individual income and payroll (social insurance) taxes rose by $23 billion, or 8 percent. Increases in amounts withheld from workers’ paychecks ($21 billion, or 8 percent) accounted for most of the year-over-year gain, partly because wages and salaries were higher and partly because October 2012 had two more days on which tax payments were received than October 2011 did. Nonwithheld receipts, mainly from filings of 2011 tax returns by people who had received filing extensions, increased by $2 billion.
Receipts from corporate income taxes, which are quite small at this point in the year, have been slightly less.
view the CBO Monthly Budget Revue-Fiscal Year 2013
Source: CBOE
December 10, 2012--Weekly Flows: $1.1 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 25% YTD
One ETF Launch Last Week
IndexIQ Announces Emerging Markets ETF Closure
US-Listed ETFs: Estimated Flows by Market Segment
Net inflows were led by Emerging Market Equity ETFs which posted net inflows of $1.5 bln
ETF assets stand at $1.3 tln (up 25% YTD) and have posted net inflows 38 out of 49 weeks in 2012 ($154.0 bln YTD)
ETF flows are on pace for their highest amount since 2008 when net inflows totaled nearly $175 bln
Fixed Income ETFs have posted net inflows 66 out of the past 69 weeks; including $13.1 bln over the past 13 weeks
Currency as well as Leveraged/Inverse ETFs were the only categories we measured over the last 13 weeks to exhibit net outflows;
they posted a combined $869 mln in net outflows
EEM also generated the highest net inflows over the last 13 weeks at $5.5 bln
Nine of the 10 ETFs to post the largest net outflows last week were US equity-based (Vanguard captured seven of the spots); the Vanguard outflows were nearly identical reversals from the prior week’s net inflows
Interestingly, the PowerShares QQQ (QQQ) has exhibited net outflows of $2.7 bln over the last 13 weeks, the most of any ETF; Apple, the largest holding in QQQ at ~17%, is down more than 6% over this time period vs. the S&P 500 which is down only 1%
Data Unchanged: Based on data as of 11/15/12
SPY’s shares short climbed for the second period in a row and currently reside at their highest level since 6/29/12
Aggregate ETF USD short interest increased by $6.0 bln over the past two weeks ended 11/15/12
Smaller ETFs by market cap may skew results (four of the top 10 with the highest % of shares short have market caps <$25 mln)
Retail ETFs continue to be some of the most heavily shorted ETFs; SPDR Retail ETF (XRT) and Market Vectors Retail ETF (RTH) each have shares short as a % of shares outstanding over 200%
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only six ETFs exhibited shares short as a % of shares outstanding greater than 100%)
Data estimated as of 12/7/12 based on daily change in share counts and daily NAVs.
Newly launched Active ETFs account for 53% of the market cap of ETFs launched over the past year; PIMCO Total Return ETF (BOND) is the largest actively managed ETF with a market cap of $3.9 bln
146 new ETF listings and 79 closures YTD (IndexIQ announced an additional closure to take place on 12/18)
ETF issuance is on pace for its lightest year since 2009 when only 125 ETFs came to market
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
ETFs with a fixed income orientation account for the majority of the top 10 most successful launches over the past year
Source: Morgan Stanley
December 10, 2012--The Office of Economic Policy monitors key economic indicators to produce the following summary tables of monthly and quarterly U.S. economic statistics.
view the US Economic Data-Monthly report
Source: US Department of the Treasury
December 10, 2012--Credit Suisse Group AG (CSGN), the second-largest Swiss lender, plans to eliminate 120 jobs in New York City as Chief Executive Officer Brady Dougan pursues plans to reduce expenses.
The cuts will take place between Dec. 30 and March 4 at the company’s Madison Avenue offices in Manhattan, the Zurich-based bank said in a notice dated yesterday with the state Department of Labor. The dismissals are part of previously announced cost reductions, according to Jack Grone, a spokesman for the bank. He declined to elaborate on the filing.
Source: Bloomberg
December 10, 2012--Private equity and venture capital investment in Latin America reached $1.79 billion in the first half of 2012, down 60 percent from the same period in 2011, according to the latest issue of Venture Equity Latin America from Thomson Reuters.
The report is published by WTE, part of the Tax & Accounting business of Thomson Reuters.
Source: Thomson Reuters
December 10, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Market Oversight (Division) issued a letter providing reporting parties under Parts 20, 45 and 46 of the Commission's regulations with time-limited no-action relief from requirements to report certain identifying information regarding their non-reporting counterparties.
The Division’s no-action letter addresses Legal Entity Identifiers, other identifying swap data fields pursuant to Parts 45 and 46, and large swap trader counterparty identification information pursuant to Part 20.
Source: CFTC.gov
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) today issued a no-action letter to mortgage real estate investment trusts (mREITs).
The letter states that DSIO will not recommend that the CFTC take enforcement action against the operators of mREITs for failure to register as commodity pool operators under the Commodity Exchange Act and the CFTC’s regulations provided that the mREIT satisfies certain criteria including compliance with a de minimis threshold.
Source: CFTC.gov
December 7, 2012--The Commodity Futures Trading Commission's (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) announced the issuance of limited no-action relief to Swap Dealers and Major Swap Participants (collectively, Swap Entities) from compliance with the prohibition in
Regulation 23.22(b) against permitting a person who is subject to a statutory disqualification to effect or be involved in effecting swaps on behalf of the Swap Entity.
Source: CFTC.gov
December 7, 2012--The federal budget deficit was $292 billion for the first two months of fiscal year 2013, $57 billion more than the shortfall recorded in October and November of last year, CBO estimates.
Without shifts in the timing of certain payments in each year, however, the deficit for the two-month period would have been about $8 billion lower this year than in fiscal year 2012.
Source: Source: CBO (Congressional Budget Office)
