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DB-Equity Research-US ETF+ Monthly Directory- August 2012 ETPs:
September 12, 2012--This document includes all US listed exchange-traded funds (ETFs) and exchange-traded vehicles (ETVs), plus a special section covering exchange-traded notes (ETNs).
The directory is organized by asset class and asset-class-related sub sections. Within each sub section it has also been sorted. For Equity and Fixed Income ETPs it is sorted by country (or sub region for regional products) in alphabetical order and by AUM in descending order, and for the other ETP asset classes it is sorted by sub sector in alphabetical order and by AUM in descending order. A number of key information points per product has been included in order to enable the reader to get an overview in their respective area of interest. Among the key numeric information we include avg. daily turnover, assets under management, and cash flows (all in $US). If you have any questions for any of the products listed, or any suggestions on how to improve the directory going forward, please do not hesitate to get in touch.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/575-4607/93204725/US_ETF+_Monthly_Directory.pdf
Source: Deutsche Bank-Equity Research-North America
Big Banks Hide Risk Transforming Collateral for Traders
September 11, 2012--JPMorgan Chase & Co. (JPM) and Bank of America Corp. are helping clients find an extra $2.6 trillion to back derivatives trades amid signs that a shortage of quality collateral will erode efforts to safeguard the financial system.
Starting next year, new rules designed to prevent another meltdown will force traders to post U.S. Treasury bonds or other top-rated holdings to guarantee more of their bets. The change takes effect as the $10.8 trillion market for Treasuries is already stretched thin by banks rebuilding balance sheets and investors seeking safety, leaving fewer bonds available to backstop the $648 trillion derivatives market.
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Source: Bloomberg Business Week
VIX Index Options Set New Single-Day Volume Record: More Than 1.2 Million Contracts Traded
September 11, 2012--Chicago Board Options Exchange (CBOE) today announced that CBOE Volatility Index options (VIX) established a new single-day volume record as a reported
1,221,403 VIX Index options contracts changed hands. Today's record exceeds the previous record of 1,169,892 contracts traded on August 5, 2011.
Source: CBOE
DB-Global Equity Index and ETF Research- North America-US ETF Market Weekly Review:Market rally and $5bn inflows boost ETP assets by $30bn
September 11, 2012-Net Cash Flows Review
Equity markets move higher across the board last week. The US (S&P 500) soared by 2.23%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 2.9% and 2.36%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 10bps last week; Meanwhile the DB Liquid Commodity Index was up by 0.7%, as the Agriculture sector (DB Diversified Agriculture Index) pulled back by 0.33%. The WTI Crude Oil dropped 0.05%, while Gold and Silver prices moved higher by 2.58% and 6.15%, respectively. Last but not least, Volatility (VIX) dropped by 17.69% during the same period.
The total US ETP flows from all products registered $5.0bn of inflows during last week vs. $2.0bn of inflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$98.4bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$5.0bn, -$0.8bn, and +$0.6bn last week vs. inflows of +$0.5bn, +$1.3bn and +$0.2bn in the previous week, respectively.
Within Equity ETPs, Small Cap products had the most inflows (+$1.0bn); while US Broad Country products had the most, albeit discrete, outflows (-$73m). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.8bn); while Sovereign products had significant outflows (-$1.8bn). And within Commodity ETPs, Precious Metals products experienced inflows of +$0.5bn; meanwhile Energy products had outflows of -$0.2bn.
Top 3 ETPs & ETNs by inflows: SPY (+$1.2bn), IWM (+$1.1bn), IJH (+$1.0bn) Top 3 ETPs & ETNs by outflows: IVV (-$1.0bn), IEI (-$0.8bn), UST (-$0.6bn)
New Launch Calendar: RBS launches new ETN
There was 1 new ETN listed during the previous week. The new product offers exposure to the S&P 500 Total Return Index, the S&P 500 Low Volatility Total Return Index or the S&P 500 Equal Weight Total Return Index, based on a quantitative strategy.
Turnover Review: Floor Activity Increased by 14.5%
Total weekly turnover increased by 14.5% to $217bn vs. $189bn from the previous week. However, last week’s turnover level was 43% below last year’s weekly average. Equity ETP turnover increased by $21.6bn, or 13.4%, to $183bn. Concurrently, Fixed Income and Commodity ETPs turnover rose by 29.1% ($3.4bn) and 9.3% ($1.3bn), respectively.
Assets under Management (AUM) Review: Assets Rose by 2.5%
Last week, total US ETP AUM reached a new all-time high of $1.247 trillion, keeping the trend seen during the last couple of weeks. As of last Friday, US ETPs have accumulated an asset growth of 19.2% YTD. Assets for equity, fixed income and commodity ETPs moved +$25.7bn, -$0.9bn, +$5.2bn during last week, respectively.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/575-2534/91541031/US_ETF_Market_Weekly_Review_11_Sep.pdf
Source: Deutsche Bank - Global Equity Index and ETF Research-North America
CFTC.gov Financial Data for Futures Commission Merchants Update
September 11, 2012--Selected FCM financial data as of July 31, 2012 (from reports filed by September 04, 2012) is now available.
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
September 10, 2012-Weekly Flows: $5.0 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 19% YTD
No ETF Launches Last Week
Global X Makes Changes to Canada ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $5.0 bln last week, the sixth consecutive week of net inflows
US Small- & Micro-Cap ETFs generated net inflows of $1.1 bln last week, the most of any category (net inflows were driven by
the iShares Russell 2000 Index Fund (IWM))
ETF assets stand at $1.3 tln (up 19% YTD) and have posted net inflows 28 out of 36 weeks YTD ($97.5 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $36.8 bln net inflows
All but one category exhibited net inflows over the past 13 weeks (Currency ETFs had net outflows of a mere $194 mln)
Despite posting net outflows last week, Fixed Income ETFs have generated net inflows of $8.4 bln the past 13 weeks and have posted net inflows 54 out of the past 56 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
ETFs Tracking the S&P 500 Index Accounted for Largest In/Outflows Last Week
The SPDR S&P 500 ETF (SPY) posted net inflows of $1.2 bln while the iShares S&P 500 Index Fund (IVV) exhibited net outflows of
$1.0 bln last week
Five out of the 10 ETFs to post the largest net outflows were either US-Treasury based or have significant US Treasury exposure;
the five ETFs (IEI, UST, TIP, SHY, AGG) posted a combined $2.2 bln in net outflows
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 8/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.6 bln
SPY’s short interest increased for the first time since 5/31/12; however, its 213 mln shares short is well below its 52-week average
of 335 mln shares short
Aggregate ETF USD short interest increased $104 mln over the past two weeks ended 8/15/12
The average shares short/shares outstanding for ETFs is currently 5.2%
Out of the 10 ETFs with the highest % of shares short, five of them have market caps less than $20 mln, and in our view, are skewing the impact of the exhibit
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%)
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 9/7/12 based on daily change in share counts and daily NAVs.
$9.3 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Active ETFs generated most net inflows at $1.3 bln (specifically the PIMCO Total Return ETF-BOND)
125 new ETF listings and 44 closures YTD (additional 25 liquidations have been announced)
Over the past year, many of the successful launches have an income/volatility orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Notably, the iShares MSCI Global Select Metals & Mining Producers Fund (PICK) posted net inflows of $88.7 mln last week,
the most of any recently launched ETF; despite the big week, PICK did not crack the top 10 largest funds
Top 10 most successful launches account for 69% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
CFTC Staff Responds to Questions on Timing of Swap Dealer Registration Rules
September 10, 2012--Today, Commodity Futures Trading Commission (CFTC) staff is responding to questions from market participants and other interested parties on the timing of when entities will be required to register as swap dealers.
The CFTC is issuing a Frequently Asked Questions document to help market participants better understand the rules, what is required and by when.
In sum, the swap dealer registration regulations go into effect on October 12, and entities that have more than the de minimis level of dealing (swaps entered into after Oct 12) must register by no later than two months after the end of the month in which they surpass the de minimis level. By way of example, if an entity reaches $8 billion in swap dealing the day after October 12, then the entity would have to register within two months after the end of October, or by December 31.
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Source: CFTC.gov
DB Equity Derivatives and Quantitative Strategy Research-North America-US ETF Market Monthly Review : Risk on sentiment keeps ETP assets around all-time highs
September 10, 2012--ETP assets in the US rose by $24.5bn to $1.22 trillion last month, reaching a new all-time high and boosting AUM growth to a decent 16.4% growth on a YTD basis.
Global ETP industry assets rose to $1.66 trillion, or 15.6% up YTD.
It’s still risk-on below the surface
US ETP flows experienced inflows of $4.9bn during August (+$93.4bn, 8.9% of last year’s AUM).
Within long-only ETPs, total flows were +$3.6bn in August vs. +$15.7bn in July.
Equity, Fixed Income, and Commodity long-only ETPs experienced cash flows of -$3.8bn, +$5.0bn, and +$2.3bn, respectively.
Asset class returns for the month of August clearly point to a comeback to risk, however the ETP flows read may look inconsistent at first glance.
A second look, however, provides further understanding. Most of the outflows from equities (about $5.7bn) came from two ETPs (SPY and IWM) which are commonly used for hedging purposes and hence can experience large cash flow fluctuations which may not be consistent with the underlying investment trend. Excluding these outflows, equity flows would have been positive (about $2.0bn), with inflows to broad EM and DM ex US equities, and flat flows for US equities. Furthermore, investors turned to cyclical sectors while exiting defensive ones. In the fixed income ETP space, investors favored Credit by focusing on Corporates. And in the commodity space, gold was the highlight of the month following the newly reported positions of large hedge fund managers and the likelihood of additional easing. Overall the long-only ETP flows still suggest that the underlying investor sentiment is leaned towards risk on.
Some of the relevant flow trends of the month were: (1) US equity (-$5.9bn), (2) Investment Grade debt (+$3.4bn), and (3) gold (+$2.3bn).
New Launch Calendar: expanding the ETF branches
There were 6 new ETFs listed during the previous month. Four of them were listed in the NYSE Arca, while the other two in the NASDAQ. The new products cover multiple asset classes such as equity, multi asset, and alternative.
The new additions to the ETF offering give access to emerging markets, income-driven investments, and quantitative strategies.
ETP floor activity keep trending lower
ETP turnover totaled $0.97 trillion last month, down by 9.0% from the previous month figure of $1.07 trillion, and also 41% under last year’s monthly average of $1.65 trillion).
ETP trading made up 25.0% of all US cash equity trading in August, down from last year’s peak of 37.5% in August, and still below its 3-year monthly average of 29.0%.
Equity ETPs turnover fell by $106bn or 11.3% to $0.8 trillion during August, meanwhile Fixed Income and Commodity ETPs turnover rose by $2.9bn (totaling $69.8bn) and $8.7bn (totaling $58.5bn) during last month, respectively.
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Source: Deutsche Bank - Equity Derivatives and Quantitative Strategy Research - North America
Virtus Wealth Masters Fund Launches Based on ISE Index
Virtus Wealth Masters Fund Tracks the Horizon Kinetics ISE Wealth Index
September 10, 2012--The International Securities Exchange (ISE) today announced that the Virtus Wealth Masters Fund (Tickers: VWMAX, VWMCX, VWMIX), which tracks the Horizon Kinetics ISE Wealth Index (Ticker: RCH), was launched by Virtus Investment Partners, Inc. (NASDAQ: VRTS).
It is the first mutual fund based on an index jointly developed by ISE and Horizon Kinetics LLC.
The Horizon Kinetics ISE Wealth Index includes companies whose senior managements have demonstrated track records of skill and specific industry knowledge that have translated into long-term shareholder value creation. These individuals have also used their respective companies as the primary means of accumulating substantial personal wealth, such as with index components Berkshire Hathaway (Ticker: BRK/B) led by Chairman Warren Buffet and Liberty Media Corporation (Ticker: LMCA) headed by Chairman John Malone. The fund began trading on September 6, 2012.
“We are very excited to expand the product portfolio of our index development group to include the Virtus Wealth Masters Fund, the first mutual fund tracking a Horizon Kinetics-ISE index to debut,” said Kris Monaco, Head of New Product Development at ISE. “Working with our partners at Horizon Kinetics, this index offers a unique view into the role that insider wealth can have on the performance of publicly traded companies, and the introduction of the Virtus Wealth Masters Fund provides investors with an opportunity to gain exposure to these high-performance businesses and their seasoned management teams.”
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Source: International Securities Exchange (ISE)
Institutional investors accounted for largest share of ETF trading on BM&FBOVESPA in August
September 10, 2012--Institutional investors accounted for 35.8% of the total volume of exchange-traded funds traded on BM&FBOVESPA in August. Financial investors ranked second with 24.5%, followed by foreign investors with 23.9%, individual investors with 12.8% and private- or public-sector corporations with 3.1%.
iShares Ibovespa Fundo de Índice ( BOVA11 ) was the most traded ETF on BM&FBOVESPA in August, accounting for 89.8% of the total trading volume in all the ETFs available on the Exchange.
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Source: BM&FBOVESPA
