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CFTC Approves Final Regulations for Exemption from Required Clearing for Swaps Entered into by Certain Cooperatives; Division of Clearing and Risk Issues Time-Limited No-Action Relief
August 13, 2013--The Commodity Futures Trading Commission (Commission) today issued a final rule to exempt swaps entered into by qualified cooperatives from the clearing requirement under section 2(h)(1)(A) of the Commodity Exchange Act (CEA) and part 50 of the Commission's regulations, subject to certain conditions.
The Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) amended the CEA to require clearing of certain swaps. On December 13, 2012, the Commission issued its first clearing requirement determination, requiring that swaps meeting the specifications outlined in four classes of interest rate swaps and two classes of credit default swaps (CDS) be cleared. On March 11, 2013, swap dealers, major swap participants, and private funds active in the swaps market began clearing certain index CDS and interest rate swaps that they entered into on or after March 11, 2013.
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
August 12, 2013--Weekly Flows: $272 Million Net Inflows
Seventh Consecutive Week of Net Inflows
ETF Assets Stand at $1.5 Trillion, up 14% YTD
Two ETF Launches Last Week
US-Listed ETFs: Estimated Flows by Market Segment
ETFs eked out net inflows of $272 mln last week despite the S&P 500 being down four of five days
Over the last seven weeks, ETFs have generated net inflows totaling $45.5 bln
Net inflows were led by International- Developed ETFs at $1.8 bln; conversely, US Sector & Industry ETFs posted net
outflows of $1.1 bln, the most of any category we measured
Eight of the 15 categories we measured exhibited net outflows last week
ETF assets stand at $1.5 tln, up 14% YTD; $111.7 bln net inflows YTD
13-week flows remain mostly positive among asset classes; combined $33.7 bln in net inflows
Over the last 13 weeks, US Small- & Micro-Cap ETFs have posted net inflows of $6.5 bln, accounting for 9% of the category’s
current market cap (largest % of current market cap of those posting net inflows)
International – Emerging ETFs have posted net outflows of $9.3 bln over the last 13 weeks, the most of any category; the
two largest ETFs in the space account for $7.6 bln in net outflows
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Vanguard FTSE Developed Markets ETF (VEA) posted net inflows of $573 mln, the most of any ETF
For the second consecutive week, ETFs with European exposure exhibited meaningful net inflows; the Vanguard FTSE Developed
Markets ETF (VEA-60% allocated to Europe), Vanguard FTSE Europe ETF (VGK), Vanguard FTSE All-World ex-US ETF (VEU-
45% allocated to Europe), and SPDR EURO STOXX 50 ETF (FEZ) posted a combined $1.3 bln in net inflows
The PowerShares Senior Loan Portfolio (BKLN) generated net inflows of $166 mln last week; YTD, BKLN has posted only one
week of net outflows as investors have flocked to short duration fixed income ETFs
The iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) had net outflows of $307 mln last week and has posted net
outflows for 13 consecutive weeks totaling $4.1 bln
US-Listed ETFs: Short Interest Data Updated: 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 8/9/13 based on daily change in share counts and daily NAVs.
$8.8 bln in total market cap of ETFs less than 1-year old
International Equity ETFs account for 42% of market cap and 38% of total flows over the last 13 weeks of recently launched
ETFs
83 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
The Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) generated net inflows of $27 mln last week, the
most of any recently launched ETF; since inception, VTIP has consistently posted net inflows, whereas longer-dated TIPS ETFs
have struggled as inflationary fears have dissipated and real rates have risen
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Source: Morgan Stanley
Vanguard Introduces Five New Equity ETFs
Firm announces lower management fees for two existing ETFs and expects to launch two new fixed income ETFs
July 12, 2013--Vanguard Investments Canada Inc. announced today that five new equity Canada-domiciled exchange-traded funds (Vanguard ETFs(TM)) will begin trading this morning on Toronto Stock Exchange (TSX).
Vanguard, which entered the Canadian market in December 2011 and saw its Canadian ETFs surpass $1 billion in assets earlier this year, now offers 16 low-cost, high-quality ETFs.
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Source: Vanguard
United States Commodity Funds-Notice of Forward Unit Split
August 12, 2013--United States Brent Oil Fund, LP ("USBO") announced today that it will execute a two-for-one forward unit split for holders of USBO units ("Unitholders").
The forward unit split will apply to all Unitholders of record as of the close of the markets on August 26, 2013, payable after the close of markets on August 28, 2013. USBO will trade at its post-split price on August 29, 2013 (the "ex-date"). USBO's ticker symbol and CUSIP, "BNO" and 91167Q100, respectively, will not change, and units of USBO will continue to trade on the NYSE Arca. John Hyland, Chief Investment Officer of United States Commodity Funds LLC (the "General Partner"), stated "Although a forward stock split will not change the basic economics of each of our investor's current holdings, we hope that a reduction in the value of each unit, and the proportionate increase in the number of units outstanding, will translate in higher daily trading volume which should be a benefit to investors."
Visit www.unitedstatesbrentoilfund.com for more info.
Source: United States Commodity Funds
nvesco Bolsters Line of Low Volatility Investing Options, Adding Mutual Funds to Line.
August 12, 2013-Invesco, a leader in low volatility investing, has expanded its innovative suite of low volatility products by introducing two mutual funds managed by its Invesco Quantitative Strategies team.
Effective July 31, 2013, the Invesco U.S. Quantitative Core Fund and Invesco Global Quantitative Core Fund were renamed and restructured, seeking to provide investors the opportunity to reduce risk and generate income without sacrificing total return. Invesco U.S. Quantitative Core Fund was renamed Invesco Low Volatility Equity Yield Fund, while the Invesco Global Quantitative Core Fund is now the Invesco Global Low Volatility Equity Yield Fund. The distribution frequency for both funds also was changed from annual to quarterly.
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Source: Invesco PowerShares
DB-Synthetic Equity & Index Strategy-North America-US ETF Market Weekly Review-Mild inflows of $0.3bn into US listed ETPs amid mixed markets
August 12, 2013--Data in this report is as of Fri, Aug 9
Market and Net Cash Flows Review
Markets were mixed during last week. The US (S&P 500) fell by 1.07%; while, outside the US, the MSCI EAFE (in USD) rose by 0.34% and the MSCI EM (USD) dropped by 0.34%. In the meantime, performance was mostly negative across US sectors; Materials (+0.88%) and Real Estate (+0.16%) recorded the only increases; The DB Liquid Commodity Index fell by 0.73%; similarly, the WTI Crude Oil dropped by 0.91%; meanwhile, the Agriculture sector (DB Diversified Agriculture Index), Gold and Silver prices rose by 1.59%, 0.20% and 3.27%, respectively.
Moving into other asset classes, the 10Y US Treasury Yield dropped 17bps ending at 2.57%. 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 0.50%, 1.33%, 0.72% and 2.76%, respectively. Last but not least, Volatility (VIX) rose by 11.94% during the same period.
The total US ETP flows from all products registered $0.3bn (+0.0% of AUM) of inflows during last week vs. $4.2bn (+0.3%) of inflows the previous week, setting the YTD weekly flows average at +$3.6bn (+$113.7bn YTD in total cash flows). Equity, Fixed Income and Commodity ETPs experienced flows of +$1.2bn (+0.1%), -$0.8bn (-0.3%) and -$0.0bn (-0.0%) last week vs. +$7.2bn (+0.6%), -$2.5bn (-0.9%) and -$0.5bn (-0.7%) in the previous week, respectively.
Among US sectors, Healthcare (+$0.2bn, +0.9%) and Industrials (+$0.1bn, +1.0%) received the top inflows, while Financials (-$0.6bn, -1.0%) and Materials (-$0.3bn, -3.1%) experienced the largest outflows.
Top 3 ETPs & ETNs by inflows: VEA (+$0.6bn), SPY (+$0.4bn), VGK (+$0.4bn)
Top 3 ETPs & ETNs by outflows: IWM (-$0.9bn), XLF (-$0.6bn), DIA (-$0.4bn)
New Launch Calendar: MLP and broad commodities
There were two new ETPs listed during the previous week on the NYSE Arca. Global X Funds listed MLPX, which offers exposure to US MLPs and Energy infrastructure corporations; meanwhile, BlackRock launched a new ETV (CMDT) which offers broad exposure to commodities while minimizing the cost of rolling each futures contract.
Turnover Review: Floor activity decreased by 20.7%
Total weekly turnover decreased by 20.7% to $215.4bn vs. $271.6bn from the previous week; Furthermore, last week's turnover level was 20.1% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover decreased by $42.8bn (-18.3%), $12.0bn (-45.7%) and $1.4bn (-15.1%) during the same period, respectively.
Assets under Management (AUM) Review: assets dropped by $7.4bn
As of last Friday, US ETPs had accumulated an asset growth of +14.3% YTD. Assets for Equity, Fixed Income and Commodity ETPs moved -$6.9bn, -$0.7bn and +$0.3bn during last week, respectively.
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Source: Deutsche Bank-Synthetic Equity & Index Strategy-North America
Target-date retirement ETFs miss the mark-Commentary-John Prestbo: Attractive investments in theory, but not in practice
August 12, 2013--Target-date funds appeal to a lot of people-although a "set it and forget it" approach is inappropriate for any investment- but exchange-traded funds probably aren't the best way to own them.
The idea of target-date funds couldn’t be simpler: Pick a fund with a year in its name that corresponds to when you’ll likely retire. (The funds typically are launched in five-year intervals, now stretching out to 2055 or 2060.) When that date is far off, the fund is heavy in stocks and focuses on growing assets.
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Source: MarketWatch
BMO Investments Inc. Launches New SelectTrust(TM) and ETF Portfolios
Two new managed investment solutions designed to provide diversified market and asset exposure, each through a series of six risk-differentiated portfolios
August 12, 2013--BMO Investments Inc. (BMOII) today introduced two new managed solutions: SelectTrust(TM) Portfolios and ETF Portfolios in a trust structure.
Each new investment solution offers a series of six risk-differentiated portfolios, expanded to include new conservative options: fixed income, security, conservative, balanced, growth and equity growth. Each individual portfolio combines actively managed funds and/or passively managed ETFs for increased diversification.
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Source: BMO Investments Inc.
CFTC Issues Final Rules to implement Enhanced Risk Management Standards for Systemically Important Derivatives Clearing Organizations
August 12, 2013--The Commodity Futures Trading Commission (CFTC) approved final rules to implement enhanced risk management standards for systemically important derivatives clearing organizations (SIDCO).
The adoption of these rules is an important first step in making the CFTC’s rules for SIDCOs fully consistent with the Principles for Financial Market Infrastructures, thereby enabling them to continue to be Qualifying Central Counterparties for purposes of international bank capital standards.
view more SPDR University Latest Commentary-Weekly Market Report-August 9, 2013 THE WEEK IN REVIEW
After slipping over the last four months, non-manufacturing activity
rebounded sharply in July, regaining all the ground lost since
February. The NON-MANUFACTURING PURCHASING MANAGERS’ INDEX
(PMI) jumped 3.8 points to 56.0, comfortably above the 50.0 mark
that differentiates between expansion and contraction. Large gains
in business activity and new orders easily offset modest declines
in inventories and employment. So far, the July data have been
decidedly mixed, with employment disappointing and car sales
slipping slightly, but jobless gains improving and the two PMIs
jumping into the mid-50s. The best interpretation may be that while
July will be a lackluster month, momentum will pick-up as the third
quarter progresses.
SPOTLIGHT: Housing starts should regain traction in the US. The eurozone recession should finally end. Japanese GDP is expected to rise
robustly for the second consecutive quarter. view more
Source: CFTC.gov
August 9, 2013--ECONOMIES: The trade deficit narrows sharply in the US. Home prices continue to rise in Canada. The Old Lady provides more forward rate
guidance. Further signs of improvement in the eurozone. The BoJ leaves policy unchanged, while the RBA eases.
MARKETS: Equities were generally offered, but with little conviction. Bonds little changed outside of Japan and Aussie. USD was widely
offered, while GBP caught an impressive bid. Oil offered on higher refinery rates.
US
NEXT WEEK PREVIEWED
Source: SSgA
