Americas ETP News
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DB-US ETF Market Monthly Review-Neutral with a bias towards risky assets
November 5, 2012--US ETP assets attempt the $1.3 trillion mark once again
ETP assets in the US rose by $27.7bn to $1.299 trillion (YTD +24.2%) last month.
Global ETP industry assets rose and closed at $1.780 trillion (YTD +24.1%)
Investor flows remain favorable towards risky assets despite concerns
US ETP flows experienced inflows of $20.7bn during November (+$154.2bn YTD, 14.7% of last year’s AUM).
Within long-only ETPs, total flows were +$21.8bn in November vs. +$3.2bn in October.
Equity, Fixed Income, and Commodity long-only ETPs experienced cash flows of +$15.4bn, +$5.3bn, and +$0.9bn, respectively.
Investors remain favorable towards equities, but are expanding their focus beyond the US into other DM and EM regions. In the Fixed Income space, allocations have favored quality, while HY has been put on hold. Finally, inflows to Gold are more likely suggesting concerns about currency devaluation rather than systemic panic. We believe that investors will most likely “sit and wait” until further clarity regarding the fiscal cliff is obtained before they engage in the next clear risk on or risk off trade.
This month we highlight the following long-only ETP flows trends: Equity US (+$9.1bn), Fixed Income IG (+$5.2bn), Equity EM (+$3.0bn), Equity DM ex US (+$2.4bn), Gold (+$1.1bn) and Equity China (+$1.0bn).
New Launch Calendar: commodity, miners and senior loans
There were four new ETFs and five new ETNs listed during the previous
month. All of them were listed in the NYSE Arca and offer exposure to
commodities, miners and senior loan portfolios.
Turnover Review: Floor activity increased by 8% in November
ETP turnover totaled $1.168 trillion last month, up by 7.8% (+$84.6bn) from the previous month figure of $1.083 trillion, but still 29.1% below last year’s monthly average of $1.65 trillion.
ETP trading made up 27.2% of all US cash equity trading in November, 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 rose during last month by $89.5bn or 9.5%; meanwhile Fixed Income and Commodity ETPs turnover fell by $2.6bn (-3.7%) and $3.0bn (-5.1%), respectively.
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Source: Deutsche Bank -Synthetic Equity & Index Strategy -North America
Morgan Stanley-ETF Quarterly Report-$1.3 Trillion in 1,232 ETFs
December 5, 2012--Quartlerly report: $1.3 Trillion in 1,232 ETFs
ETF assets up 22% YTD and currently stand at 1.3 trillion.
Strong equity markets and robust flows have driven ETF assets higher this year.
Through the first 3 quarters of this year, ETFs have generated net inflow of $133.4 billion and are on pace for their best year since 2008. New issuance has been briskYTD with 142 ETFs coming to market, 35 of them fixed income.
Notably, 76 ETFs have closed down so far this year and an additional three have announced liquidation dates.
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Source: Morgan Stanley
Joint Press Statement of Leaders on Operating Principles and Areas of Exploration in the Regulation of the Cross-border OTC Derivatives Market
December 4, 2012--Leaders of authorities with responsibility for the regulation of the over-the-counter (OTC) derivatives markets in Australia, Brazil, the European Union, Hong Kong, Japan, Ontario, Quebec, Singapore, Switzerland and the United States,1 met on November 28, 2012 to discuss reform of the OTC derivatives market as agreed by the leaders at the G-20 Pittsburgh Summit in September 2009.
We recognize that the OTC derivatives market is a global market and firmly support the adoption and enforcement of robust and consistent standards in and across jurisdictions. This will help further the G-20 regulatory reform agenda for OTC derivatives markets to mitigate risk, improve transparency and protect against market abuse, and to prevent regulatory gaps, reduce the potential for arbitrage opportunities, and foster a level playing field for market participants, intermediaries and infrastructures. We further recognize the need to reduce regulatory uncertainty and provide market participants, intermediaries and infrastructures with sufficient clarity on laws and regulations by avoiding, to the extent possible, the application of conflicting rules to the same entities and transactions. We also acknowledge the need to take into account, among other factors, minimizing the application of inconsistent and duplicative rules.
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Source: CFTC.gov
CME Group Volume Averaged 11.0 Million Contracts per Day in November 2012
December 4, 2012-- CME Group, the world's leading and most diverse derivatives marketplace, today announced that November 2012 volume averaged 11.0 million contracts per day, down 16 percent from November 2011
but up 12 percent from October 2012. Total volume for November 2012 was more than 231 million contracts, of which a record 88 percent was traded electronically.
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Source: CME Group
DTCC Receives CFTC Approval to add Commodities to its U.S. Swap Data Repository
December 4, 2012--The Depository Trust & Clearing Corporation (DTCC) announced today that the Commodity Futures Trading Commission (CFTC) has approved a request by DTCC Data Repository (U.S.) LLC (DDR) to amend its multi-asset class swap data repository (SDR) in the U.S. to include commodity derivatives.
The CFTC granted provisional registration to DDR to operate a U.S. SDR for over-the-counter (OTC) credit, equity, interest rate and foreign exchange derivatives in September.
Vanguard sees bigger days ahead in Canada despite slow start
December 4, 2012--Vanguard Group Inc. remains a bit player in Canada's growing exchange-traded fund industry on the eve of its one-year anniversary doing business in the country.
But the U.S. ETF giant believes its low-cost approach is starting to gain traction with investors north of the border and fully expects to become a mainstay of the Canadian market over the next few years.
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Source: Financial Post
High Frequency Trading Arms Race Has Plenty of Drawbacks.
December 3, 2012--A new paper co-written by the chief economist of the Commodity Futures Trading Commission calls into question the turbocharged arms race behind the controversial practice of high-frequency trading.
In the past few years, the race for speed on Wall Street has accelerated as high-frequency firms compete to get in front of one another—and of more traditional investors—at speeds measured in the millionth of a second. While the race has in some ways made the market more efficient, it is also having less beneficial effects on the market, the paper says.
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Source: Wall Street Journal
ISE Reports Business Activity for November 2012
December 3, 2012--ISE was the second largest equity options exchange in November with market share of 18.2%,
excluding dividend trades.
Dividend trades made up 4.8% of industry volume in November 2012.
The International Securities Exchange (ISE) today reported average daily volume of 2.5 million contracts
in November 2012. This represents a decrease of 11.1% compared to November 2011.
Total options volume for the month was 53.2 million contracts. ISE was the second largest U.S. equity options exchange in November with market share of 18.2%*.
Business highlights for the month of November include:
On November 16, 2012, ISE announced that Marcus Thompson was elected by the Board of Directors for a two-year term. Mr. Thompson, who is a Managing Director within the CFO division of Deutsche Börse AG, will serve as a non-industry director. In his role at Deutsche Börse Group, Mr. Thompson currently is responsible for Financial Accounting & Controlling.
On November 26, 2012, ISE announced that it became the first exchange to confirm a launch date of March 18, 2013 to commence trading in Mini Options. ISE will initially list Mini Options on the following securities: AAPL, AMZN, GLD, GOOG, and SPY.
For the month of November, Implied Order functionality accounted for 6.8% of all non-crossing, multi-legged contract volume executed on ISE.
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Source: ISE (International Securities Exchange)
CME completes Kansas City Board of Trade deal
December 3, 2012--CME Group has completed its acquisition of the Kansas City Board of Trade, the options and futures exchange operator said Monday.
The company said in October that it would be buying the Kansas City Board of Trade for $126 million in cash.
CME said the deal will provide customers of both companies with new trading opportunities and additional products to manage their global wheat price risk. The Kansas City Board of Trade is the leading futures market for hard red winter wheat. CME Group Inc. runs several exchanges, including a key wheat futures and options market.
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Source: Bloomberg BusinessWeek
CFE To Launch 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 3, 2012--CBOE Futures Exchange, LLC (CFE) announced today that it plans to launch trading in S&P 500 Variance futures on Monday, December 10.
The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps, allows users to trade the difference between the implied and realized variance of the S&P 500 Index. CFE's variance futures contract will offer the same quoting conventions and economic performance of OTC variance swaps and will provide the advantages of exchange-traded contracts -- transparency, price discovery and counterparty clearing guarantees.
The new S&P 500 Variance futures contract is designed to offer benefits to both existing OTC users and to customers who have not traditionally participated in the OTC variance swap market.
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Source: CBOE
