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DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review-Market sell-off removes $35.0bn from ETP assets
January 27, 2014--Data in this report is as of Friday, Jan 24th
Market and Net Cash Flows Review
Global equities fell sharply last week. The US (S&P 500) retreated 2.63%; While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 1.99% and 2.29%, respectively. In the meantime, performance was negative across all US sectors; the Materials (-4.51%) and Industrials (-3.92%) sectors experienced the largest weekly losses.
The DB Liquid Commodity Index rose by 0.50%; similarly, the Agriculture sector (DB Diversified Agriculture Index), the WTI Crude Oil and Gold prices rose by 0.19%, 2.41% and 1.28%, respectively; while Silver prices fell by 2.03%. 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 1.01%, 0.35%, 1.71% and 1.93%, respectively. Last but not least, Volatility (VIX) rose by 45.82% during the same period.
The total US ETP flows from all products registered $4.4bn (-0.3% of AUM) of outflows during last week vs. $2.8bn (+0.2%) of inflows the previous week, setting the YTD weekly flows average at -$0.3bn (-$1.2bn YTD in total cash flows). Equity, Fixed Income and Commodity ETPs experienced flows of -$2.7bn (-0.2%), -$1.0bn (-0.4%) and -$0.7bn (-1.1%) last week vs. +$2.3bn (+0.2%), +$0.6bn (+0.2%) and -$0.1bn (-0.2%) in the previous week, respectively. Among US sectors, Financials (+$0.7bn, +1.1%) and Healthcare (+$0.3bn, +1.1%) received the top inflows, while Consumer Discretionary (-$0.3bn, -2.1%) and Consumer Staples (-$0.1bn, -0.7%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: EFA (+$0.6bn), IYR (+$0.5bn), VEA (+$0.3bn)
Top 3 ETPs & ETNs by outflows: SPY (-$4.2bn), QQQ (-$1.2bn), EEM (-$1.0bn)
New Launch Calendar: Active, smart beta, currency-hedge and leveraged
There were thirteen new ETFs listed during the previous week. The new products offer exposure to US, Global ex US and EM equities with focus on fundamentals and Dividend, currency-hedged exposure to South Korea, Mexico and Global ex US companies, leveraged (+3/-3) exposure to Europe and actively managed fixed income portfolios with focus in short and medium duration.
Turnover Review: Floor activity decreased by 6.4%
Total weekly turnover decreased by 6.4% to $278.3bn vs. $297.2bn from the previous week. Last week's turnover level was 2.8% below last year's weekly average. Commodity ETPs turnover increased by $0.1bn (+1.4%); while Equity and Fixed Income ETPs turnover decreased by $18.3bn (-6.8%) and $0.9bn (-4.9%), respectively.
Assets under Management (AUM) Review: assets decreased by $35.0bn
US ETP assets dropped by $35.0bn (-2.1%) totaling $1.645 trillion at the end of the week. As of last Friday, US ETPs assets had declined by 2.0% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$34.1bn, -$1.0bn and +$0.1bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
IMF Working paper-Mapping the Shadow Banking System Through a Global Flow of Funds Analysis
January 24, 2014-- Summary: This paper presents an approach to understanding the shadow banking system in the United States using a new Global Flow of Funds (GFF) conceptual framework developed by the IMF's Statistics Department (STA). The GFF uses external stock and flow matrices to map claims between sector-location pairs.
Our findings highlight the large positions and gross flows of the U.S. banking sector (ODCs) and its interconnectedness with the banking sectors in the Euro area and the United Kingdom. European counterparties are large holders of U.S. other financial corporations (OFCs) debt securities. We explore the relationship between credit to domestic entities and the growth of non-core liabilities. We find that external debt liabilities of the financial sector are procyclical and are closely aligned with domestic credit growth.
view the IMF Working paper-Mapping the Shadow Banking System Through a Global Flow of Funds Analysis
Source: IMF
iShares Announces Changes to U.S. Fund Lineup
January 24, 2014-Shares Exchange Traded Funds (ETFs) business, the world's largest manager of ETFs, plans to close and liquidate ten funds that make up the iShares All Country World Index (ACWI) ex-U.S. sector suite.
The following funds will be closed and liquidated based on ongoing reviews, client feedback and limited interest in ex-U.S. sector strategies:
| Ticker | Name | ||
| AXDI | iShares MSCI ACWI ex U.S. Consumer Discretionary ETF | ||
| AXSL | iShares MSCI ACWI ex U.S. Consumer Staples ETF | ||
| AXEN | iShares MSCI ACWI ex U.S. Energy ETF | ||
| AXFN | iShares MSCI ACWI ex U.S. Financials ETF | ||
| AXHE | iShares MSCI ACWI ex U.S. Healthcare ETF |
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Source:BlackRock
Euronext launches Multicurrency Trading Service for ETFs
The first U.S. or European exchange to launch the CNY and the HKD
20 currencies available
January 24, 2014--Euronext, a wholly owned subsidiary of IntercontinentalExchange Group (NYSE: ICE), today announced the launch of a multicurrency trading service for Exchange Traded Funds (ETFs), including for the first time on a U.S. or European exchange, the Chinese Yuan Renminbi (CNY) and the Hong Kong Dollar (HKD), subject to approval of relevant clearing authorities.
The new service will allow international investors to trade any Euronext listed ETFs in 20 different currencies1 . Euronext plans to make it available from Monday 17th February 2014.
By offering investors the possibility of buying an ETF in multiple currencies, Euronext is considerably simplifying access to the international markets, reducing currency exchange risk and foreign exchange costs, and providing investors broader investment opportunities.
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Source: NYSE Euronext
S&P Dow Jones Indices And CBOE Announce Successful Conclusion Of ISE Index Litigation
January 24, 2014--S&P Dow Jones Indices LLC (SPDJI) and Chicago Board Options Exchange, Incorporated (CBOE(R)) reported today that the International Securities Exchange (ISE) has not appealed a federal court decision that rejected ISE's attempt in the New York courts to challenge SPDJI's rights to control the use of the S&P 500(R) and the Dow Jones Industrial Average(TM) as the basis of index options.
CBOE holds an exclusive license to list options on the S&P 500(R) index, the Dow Jones Industrial Average, and select other indices calculated and published by SPDJI.
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Source: CBOE
CFTC.gov Commitments of Traders Reports Update
January 24, 2014--The current reports for the week of January 21, 2014 are now available.
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Source: CFTC.gov
Floating Rate Note Auction Marks Introduction of First New Treasury Security in 17 Years
January 23, 2014--The U.S. Department of the Treasury's Bureau of the Fiscal Service today announced details of the first Floating Rate Note (FRN) auction, a new type of marketable security with a floating interest rate that resets each day and makes coupon payments each quarter.
Today's announcement marks the first new security Treasury has offered since Treasury Inflation Protected Securities (TIPS) were first auctioned in 1997.
"Floating Rate Notes bring additional diversity to Treasury's current portfolio and help support our goal of saving taxpayer dollars by financing the government’s borrowing needs at the lowest cost over time," said Under Secretary for Domestic Finance Mary J. Miller. "Over the past three years, Treasury has worked closely with market participants to design the FRN program and we appreciate their continued feedback."
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Source: US Department of the Treasury
The Commodity Futures Trading Commission's Division of Market Oversight Announces Trade Execution Mandate for Additional Interest Rate Swaps
January 23, 2014--The Commodity Futures Trading Commission's (CFTC or Commission) Division of Market Oversight (Division) today announced that trueEX, LL's (trueEX) self--certification of available-to-trade determinations (MAT Determinations) for certain
interest rate swap contracts is deemed certified.
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Source: CFTC.gov
Adoption of Smart Beta ETFs Increasing Among Institutional Asset Managers
Independent Research Reveals Use of Low Volatility & High Dividend Strategies Will Escalate
January 23, 2014--Today, 1 in 4 institutional investors report using smart beta ETFs, and adoption among non-users is likely to accelerate in the near future, according to a new study conducted by Cogent Research, a division of Market Strategies International.
The results reveal that nearly half (46%) of institutional decision makers not currently using smart beta ETFs indicate they are likely to start using the products over the next three years, particularly institutional investors with assets in excess of $500M.
Within the smart beta ETF category, low volatility funds have experienced the greatest growth in 2013: an impressive 99% increase in assets.1 This trend is expected to continue as two-thirds (67%) of institutional decision-makers not currently using smart beta ETFs indicate they are most likely to use low volatility funds moving forward. In addition to low-volatility products, nearly half (46%) of non-smart beta ETF users anticipate using high dividend ETFs and over a third (34%) plan on using fundamentally weighted investment strategies.
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Source: Invesco PowerShares Capital Management LLC
Direxion Launches MLP High Income ETF Tracking Zacks MLP Index
Firm Adds to Suite of Strategic Buy-and-Hold Products
January 23, 2014--Direxion, a leader in alternative investment solutions, has expanded its lineup of long-term buy-and-hold strategies by introducing the Direxion Zacks MLP High Income Shares (ZMLP), an exchange-traded fund (ETF) seeking to generate investment results based on the Zacks MLP Index's price and yield performance.
Zacks Index Services compiles and manages the index, which is composed of approximately 25 master limited partnerships (MLPs) listed on North American stock exchanges.
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Source: Direxion
