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Exclusive: Nasdaq, NYSE at odds on outage cause as SEC seeks facts
August 27, 2013--U.S. regulators have asked Nasdaq OMX Group (NDAQ) and NYSE Euronext (NYX) to come up with a timeline of Thursday's three-hour trading disruption, but the rival exchange operators have been unable to agree on the details, according to several sources familiar with the situation on Monday.
Five days after a glitch that paralyzed Nasdaq-listed stocks for three hours on all U.S. markets, Nasdaq and NYSE have a different understanding of what happened in the period preceding and during the blackout, with each side blaming the other for the outage, according to the sources.
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Source: Reuters
Morgan Stanley-US ETF Weekly Update
August 26, 2013--US ETF Weekly Update
Weekly Flows: $8.2 Billion Net Outflows
Second Consecutive Week of Net Outflows
ETF Assets Stand at $1.5 Trillion, up 12% YTD
One ETF Launch Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs exhibited net outflows of $8.2 bln last week, the second consecutive week of net outflows
For the second straight week net outflows were driven by US Large-Cap ETFs; the SPDR S&P 500 ETF (SPY) accounted for 80% of the
net outflows in the category
Nine of the 15 categories we measure posted net outflows last week
ETF assets stand at $1.5 tln, up 12% YTD; $96.9 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $14.4 bln in net inflows
International - Developed ETFs have generated $8.9 bln in net inflows over the last 13 weeks, the most of any category; net inflows into
international markets have been led by European ETFs or ETFs with significant European exposure
Fixed Income ETFs have posted net outflows for four consecutive weeks and over the last 13 weeks have exhibited net outflows of $11.7
bln, the most of any measured category
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares U.S. Real Estate ETF (IYR) posted net inflows of $882 mln this past week, the most of any ETF
The iShares Russell 2000 ETF (IWM) generated net inflows of $874 mln last week and over the last 13 weeks has posted net inflows of
$3.5 bln, the most of any ETF; over the last 13 weeks small-cap stocks have significantly outperformed their large-cap counterparts from
a performance standpoint
The SPDR Gold Trust (GLD) posted its first back-to-back week of net inflows since December 2012
Fixed Income ETFs exhibited $2.7 bln in net outflows last week, including five of the top 10 net outflows; while the segment as a whole
has experienced net outflows over the last 13 weeks, notably, short duration fixed income ETFs have posted meaningful net inflows
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 7/31/13
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.3 bln
SPY’s shares short are at their highest level since 3/28/13 and nearly 10% above their one-year average
The Vanguard FTSE Emerging Markets ETF (VWO) is coming off its highest level of shares short ever last period; VWO’s
short interest declined $845 mln and its shares short were down 22 mln
Aggregate ETF USD short interest increased by $187 mln over the period ended 7/31/13
The average shares short/shares outstanding for ETFs is currently 4.3%- For the third consecutive period, three of the 10 most heavily shorted ETFs as a % of shares outstanding have been currency based - 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 Wealth Management ETF Research. Data estimated as of 8/23/13 based on daily change in share counts and daily NAVs.
$8.3 bln in total market cap of ETFs less than 1-year old
International Equity ETFs account for 46% of market capitalization of ETFs launched over the past year and make up 40% of net
inflows over the last 13 weeks of recently launched ETFs
Over the last 13 weeks, the only category of the recently launched ETFs to post net outflows was the Leveraged/Inverse area ($4 mln in
net outflows)
91 new ETF listings and 30 closures/delistings YTD
The top 10 most successful launches make up 68% of the market cap of ETFs launched over the past year
Five 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 six
Increasing interest rates and fears of long-term interest rates moving up have spurred demand for floating rate senior loans; specifically,
the SPDR BlackStone/GSO Senior Loan ETF (SRLN) generated net inflows of $27 mln last week and $279 mln over the last 13 weeks
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Source: Morgan Stanley
DB-Synthetic Equity & Index Strategy-North America- US ETPs experienced $8.4bn outflows led by Equity products
August 26, 2013--Data in this report is as of Fri, Aug 23
Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) edged higher by 0.46%; while, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) dropped by 0.54% and 2.61%, respectively.
In the meantime, performance was mostly positive across US sectors. Real Estate (+2.39%) and Materials (+1.05%) recorded the biggest gains; The DB Liquid Commodity Index rose by 0.43%. In the meantime, the Agriculture sector (DB Diversified Agriculture Index) and the WTI Crude Oil fell by 0.91% and 0.97%, respectively; while Gold and Silver prices rose by 1.52% and 3.50%, respectively. Moving into other asset classes, the 10Y US Treasury Yield dropped 2bps ending at 2.82%. Last but not least, Volatility (VIX) dropped by 2.71% during the same period.
The total US ETP flows from all products registered $8.4bn (-0.6% of AUM) of outflows during last week vs. $6.5bn (-0.4%) of outflows the previous week, setting the YTD weekly flows average at +$2.9bn (+$98.8bn YTD in total cash flows).
Equity, Fixed Income and Commodity ETPs experienced flows of -$6.0bn (-0.5%), -$2.6bn (-1.0%) and +$0.3bn (+0.4%) last week vs. -$5.6bn (-0.5%), -$1.1bn (-0.4%) and +$0.2bn (+0.3%) in the previous week, respectively.
Among US sectors, Financials (+$0.6bn, +1.1%) and Materials (+$0.2bn, +2.0%) received the top inflows, while Energy (-$1.1bn, -4.7%) and Consumer Discretionary (-$0.1bn, -1.3%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: IYR (+$0.9bn), IWM (+$0.9bn), VGK (+$0.5bn)
Top 3 ETPs & ETNs by outflows: SPY (-$5.3bn), XLE (-$1.1bn), SHV (-$0.8bn)
New Launch Calendar: Income and Diversification
There was one new ETF listed during the previous week on the NASDAQ. The new product offers international exposure to a mix of asset classes with focus on income generation and diversification.
Turnover Review: Floor activity decreased by 1.3%
Total weekly turnover decreased by 1.3% to $270.7bn vs. $274.2bn from the previous week. However, last week's turnover level was 0.4% over last year's weekly average. Fixed Income ETPs turnover increased by $1.9bn (+8.6%); while Equity and Commodity ETPs turnover decreased by $2.8bn (-1.2%) and $2.3bn (-18.5%), respectively.
Assets under Management (AUM) Review: assets dropped by $6.4bn
US ETP assets dropped by $6.4bn (-0.4%) totaling $1.495 trillion at the end of the week. As of last Friday, US ETPs had accumulated an asset growth of +12.1% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$4.1bn, -$2.9bn and +$0.7bn during last week, respectively.
Visit https://eqindex.db.com/etf/ for report
Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
ETF Securities Precious Metals Weekly-Have Gold and Silver Prices Already Discounted
August 26, 2013--Fed Tapering?
Gold and silver rise despite spike in US bond yields and stronger dollar.
The silver price rose 1.0% last week, bringing gains over the past 8 weeks to
27%. The gold price also rose, bringing the total increase to 14% since its 5 July low.
While the spike in US bond yields is pressuring many financial assets,
precious metals took the latest release of the Fed's FOMC minutes in stride,
ignoring the Fed's statement that it is “broadly comfortable” with moving ahead with reductions in bond buying in the near future. The fact that both gold and silver prices ended the week higher indicates that the start of Fed tapering has largely been priced in to precious metals prices. U.S. 10yr yields and the gold
price are now trading more or less around the same levels they were in November of 2010, when QEII was first announced.
The 2013 correction in precious metals prices has attracted substantial physical demand, notably strategic buying by China. This demand surge, combined with a sharp decline in recycled gold supply and diminishing mining productivity, appears to be forming a solid foundation for the gold price.
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Source: ETF Securities Research
Horizons ETFs announces new name for HAF
August 26, 2013--Horizons ETFs Management ( Canada ) Inc. ("Horizons ETFs") and its affiliate AlphaPro Management Inc. (the "Manager") announced today that it will change the name of the Horizons Active Advantage Yield ETF ("HAF" or the "ETF") to the Horizons Active Yield Matched Duration ETF.
This name change is intended to emphasize the risk-mitigation strategy employed by the ETF to attempt to limit the negative impact that future interest rate increases could have on the value of the ETF. The name change is expected to take effect on September 6, 2013 .
HAF's investment objective and sub-advisor, Fiera Capital Corporation ("Fiera"), will remain the same.
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Source: Horizons ETFs Management (Canada) Inc.
Horizons ETFs announces final valuation for terminated ETF
August 26, 2013--Horizons ETFs Management ( Canada ) Inc. ("Horizons ETFs") and its affiliate AlphaPro Management Inc. (the "Manager") previously announced, by way of a press release dated June 25, 2013 , that the Horizons S&P/TSX 60 130/30(TM) Index ETF (the "ETF") would be terminated effective upon the close of business today, August 26, 2013.
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Source: Horizons ETFs Management (Canada) Inc.
NYSE to temporarily lift limit rules on 530 ETFs
August 26, 2013--NYSE Euronext said it will temporarily lift volatility curbs on hundreds of lightly traded exchange-traded funds after a slew of halts in low volume shares over the past week.
The exchange operator will temporarily roll back so-called limit-up/limit-down rules on certain ETFs that trade on the electronic Arca exchange starting on Wednesday, according to an alert sent Monday afternoon by the exchange operator.
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Source: MarketWatch
Lew Tells Congress Treasury to Hit Debt Limit in Mid-October
August 26, 2013--The U.S. will hit the $16.7 trillion debt ceiling in mid-October, Treasury Secretary Jacob J. Lew said in a letter urging Congress to raise the limit "as soon as possible."
"Extraordinary measures are projected to be exhausted in the middle of October," Lew said in the letter today to House Speaker John Boehner and other lawmakers.
"At that point, the United States will have reached the limit of its borrowing authority, and Treasury would be left to fund the government with only the cash we have on hand on any given day," he said. The cash balance at that time is forecast to be about $50 billion, "insufficient to cover net expenditures for an extended period of time," according to Lew.
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Source: Bloomberg
Indictments Expected in Alleged Trading Code Theft
Criminal Complaint Targets Three, Including Two Former Flow Traders Employees
August 25, 2013--The top prosecutor in Manhattan is seeking to indict three men for allegedly stealing valuable computer source code from an automated trading firm, according to people familiar with the matter.
A criminal complaint filed by Manhattan District Attorney Cyrus Vance Jr. in New York and seen by The Wall Street Journal alleges that Glen Cressman and Jason Vuu, who worked as traders at Flow Traders US LLC in New York, emailed themselves lines of code that contained secret algorithms at the heart of the firm's high-frequency trading strategy.
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Source: Wall Street Journal
CFTC Issues Interpretation Concerning Retail Commodity Transactions
August 23, 2013--The U.S. Commodity Futures Trading Commission (CFTC) today announced an Interpretation concerning its authority over retail commodity transactions, as provided by Section 2(c)(2)(D) of the Commodity Exchange Act (CEA).
Today's Interpretation clarifies the CFTC’s view of the meaning of “actual delivery” under Section 2(c)(2)(D).
Section 742(a) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) amended the CEA to add Section 2(c)(2)(D), entitled "Retail Commodity Transactions." Section 2(c)(2)(D) broadly applies to any agreement, contract, or transaction in any commodity that is entered into with, or offered to, a non-eligible contract participant or non-eligible commercial entity on a leveraged, margined, or financed basis. The Section requires such agreements, contracts, and transactions to be conducted on a regulated exchange and subjects them to the CFTC’s anti-fraud authority. However, the Section does not apply if “actual delivery" of the commodity is made within 28 days.
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Source: CFTC.gov
