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ISE PR ISE Expands Execution Capabilities for Multi Legged Strategy Orders with Stock Options
New Stock Execution Venues Include Deutsche Bank, Getco, Instinet LLC and Knight
October 24, 2012--The International Securities Exchange (ISE) today announced that it has significantly expanded its execution capabilities for multi-legged strategy orders that include a stock component.
The stock leg of these orders will now be able to access liquidity at Deutsche Bank, Getco, Instinet LLC and Knight, in addition to ISE’s existing routing capabilities to ConvergEX. The addition of multiple venues for stock execution will enhance the fill rate and execution quality for multi-legged options orders with stock, such as buy-writes and delta neutral orders. ISE currently supports multi-legged orders of up to eight options legs and one stock leg.
Boris Ilyevsky, Managing Director of ISE’s options exchange, said, “The addition of new venues to source liquidity for the stock component of buy-writes and delta neutral orders will substantially improve the execution quality of these orders. ISE already offers industry-leading capabilities for trading multi-legged strategy orders, and this latest enhancement demonstrates our commitment to continually improve upon our offering.
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Source: International Securities Exchange (ISE)
DB-Synthetic Equity & Index Strategy-North America-Weekly ETF Market Review-ETP inflows of $8.5bn show risky assets remain favored by investors
October 23, 2012--Net Cash Flows Review
Markets fared better outside the US during the previous week. The MSCI EAFE (in USD) and the MSCI EM (USD) rose by 2.52% and 1.00%, respectively. Although the broad US market (S&P 500) didn't move much, some sectors experienced significant momentum.
US Materials was up by 2.14%, while US Technology was down by 2.1%. In the fixed income side, credit outperformed rates, with the 10Y US Treasury Yield rising by 10bps. Within commodities, all sectors experienced downside pressure with the exception of the Agriculture segment which was up by 1.45% (DB Diversified Agriculture Index).The USD was mixed, and Volatility (VIX) rose by 5.70% during last week.
The total US ETP flows from all products registered $8.51bn (+0.7% of AUM) of inflows during last week vs $3.38bn (-0.3%) of outflows the previous week, setting the YTD weekly flows average at +$3.3bn (+$140.13bn or +13.4% YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$6.80bn (+0.8%), +$1.95bn (+0.8%), -$0.28bn (-0.2%) last week vs. -$4.64bn (-0.5%), +$0.96bn (+0.4%), +$0.37bn (+0.3%) in the previous week, respectively.
US-focused equity ETFs recorded inflows of $3.5bn (+0.6%), with most of it flowing into the large cap segment. Among US sectors, Materials (+$0.4bn, +5.3%) and Healthcare (+$0.3bn, +2.5%) received the top inflows, while Energy (-$0.4bn, -1.6%) and Technology (-$0.3bn, -1.6%) experienced the largest outflows. Emerging Market ETFs recorded significant inflows as well, mostly driven by EM broad (+$1.0bn, +1.0%), China (+$0.7bn, +9.4%), and Brazil (+$0.5bn, +5.2%) ETFs. Finally, Corporate ETFs experienced inflows of $1.5bn (+1.5%).
Top 3 ETPs & ETNs by inflows: SPY (+$2.7bn), EEM (+$1.0bn), FXI (+$0.7bn)
Top 3 ETPs & ETNs by outflows: IWM (-$0.4bn), GLD (-$0.4bn), XLE (-$0.3bn)
New Launch Calendar: Broad range of new products
There were 3 new ETFs and 1 new ETN listed during the previous week. All of the products, but one, were listed in the NYSE Arca; while the remaining product was listed in NASDAQ. The new products offer access to US mortgage REITs, core emerging markets, low vol + high income, and US TIPs.
Turnover Review: Floor activity increased by 16%
Total weekly turnover increased by 16% to $271bn vs. $234bn from the previous week. However, last week's turnover level was 28% below last year's weekly average. Equity, Fixed Income and Commodity ETPs turnover increased by $32.1bn, $3.1bn and $1.9bn the previous week, respectively.
Assets under Management (AUM) Review:
ETP assets still near $1.3 trillion
US ETPs assets rose by 0.9% to $1.29 trillion during the previous week. As of last Friday, US ETPs have accumulated an asset growth of 23.3% YTD. Assets for equity, fixed income and commodity ETPs moved +$12.7bn, +$2.0bn, and -$2.6bn during last week, respectively.
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Source: Deutsche Bank -Synthetic Equity & Index Strategy-North America
QuantShares Closing 3 ETFs
October 23, 2012--FFCM, LLC, the parent company of ETF issuer QuantShares, announced it will shutter three of the firm's ETFs next month due to limited demand and low volume.
The funds being closed are the QuantShares U.S. Market Neutral High Beta Fund, the QuantShares U.S. Market Neutral Anti-Momentum and the QuantShares U.S. Market Neutral Quality Fund.
QLT has average daily volume of just over 2,700 shares while NOMO's daily turnover barely eclipses 1,400 shares. Just over 2,000 shares per day change hands in BTAH.
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Source: MarketWatch
SEC Adopts Standards for Risk Management and Operations of Clearing Agencies
October 22, 2012--The Securities and Exchange Commission today adopted a rule that establishes standards for how registered clearing agencies should manage their risks and run their operations.
Clearing agencies generally act as middlemen to the parties in a securities transaction. They play a critical role in the securities markets by ensuring that transactions settle on time and on the agreed-upon terms.
The rule was adopted in accordance with the Securities Exchange Act of 1934 and the Dodd-Frank Wall Street Reform and Consumer Protection Act. The Dodd Frank Act provides the SEC with additional authority to establish standards for clearing agencies, including for those clearing agencies that clear security-based swaps.
view the Final Rule: Clearing Agency Standards
Source: SEC.gov
CFTC Issues Final Interpretative Guidance to Clarify Foreign Regulators Indemnification and Confidentiality Obligations
October 22, 2012--The Commodity Futures Trading Commission (Commission) today issued final Interpretative Guidance to, under certain circumstances, exempt foreign regulators from the indemnification and confidentiality provisions in the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act).
This exemption applies generally to data that is reported pursuant to foreign law and if the swap data repository (SDR) is registered, recognized, or otherwise authorized by the country’s law and regulation. The Commission voted 3 to 2 via seriatim to issue this Interpretative Guidance, which will become effective upon publication in the Federal Register.
The Commission’s Interpretative Statement
Specifically, the Commission’s guidance states that a registered SDR would not be subject to the confidentiality and indemnification provisions of the Commodity Exchange Act (CEA) section 21(d) if the SDR is registered, recognized or otherwise authorized in the foreign jurisdiction, and the data has been reported to such SDR pursuant to the foreign jurisdiction’s regulatory regime.
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Source: CFTC.gov
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX Preferred Share Index
October 22, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
CIBC (TSX:CM) has announced that it will redeem for $CDN25.00 cash per share all of the outstanding shares of its Non-Cumulative Class A Preferred Shares, Series 18 (TSX:CM.PR.P) at the close on October 29, 2012.
The shares of this issue will be removed from the S&P/TSX Preferred Share Index and the S&P/TSX North American Preferred Stock Index after the close of trading on Monday, October 29, 2012.
Source: S&P Canadian Index Services
Morgan Stanley-
October 22, 2012--US ETF Weekly Update
Weekly Flows: $8.5 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 23% YTD
Three ETF Launches Last Week
WisdomTree Announces ETF Closures
BlackRock Introduces New ETF Suite
US-Listed ETFs: Estimated Flows by Market Segment
ETF flows rebounded last week, generating net inflows of $8.5 bln
ETFs have posted net inflows 11 out of the past 12 weeks (combined $57.5 bln in net inflows)
Net inflows were led by US Large-Cap Equity ETFs ($3.1 bln in net inflows)
ETF assets stand at $1.3 tln (up 23% YTD) and have posted net inflows 33 out of 42 weeks in 2012 ($139.1 bln YTD)
13-week flows were mostly positive among asset classes; combined $54.5 bln net inflows
Fixed Income ETFs have posted net inflows 60 out of the past 62 weeks, including $11.2 bln over the past 13 weeks
Over the last 13 weeks Emerging Markets Equities have generated net inflows of $9.5 bln after posting net outflows during 2Q12 ($3.2 bln net outflows)
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $2.7 bln, the most of any ETF
Not surprisingly, SPY, the largest ETF, has posted the most net inflows of any ETF over the past 1-, 4-, and 13-week periods
Notably, the iShares MSCI Emerging Markets Index Fund (EEM) had net inflows of $1.0 bln last week, its largest since the week of 10/24/11
The SPDR Gold Trust (GLD) reversed course, exhibiting net outflows of $353 mln last week (1st net outflows in 12 weeks)
US-Listed ETFs: Short Interest Data Unchanged: Based on data as of 9/28/12
SPDR Dow Jones Industrial Average ETF (DIA) had the largest increase in USD short interest at $518 mln
DIA’s shares short climbed to their highest level since 5/31/12, however, remain 40% below their 2012 high reached on 4/13/12
Aggregate ETF USD short interest decreased by $4.4 bln over the past two weeks ended 9/28/12
The average shares short/shares outstanding for ETFs is currently 4.9%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$25 mln)
The top two spots of shares short as a % of shares outstanding were occupied by retail ETFs; since we’ve been measuring the data
point, retail ETFs have consistently been some of the most heavily shorted ETFs
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 10/19/12 based on daily change in share counts and daily NAVs.
$9.4 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.3 bln (PIMCO Total Return ETF-BOND had the largest net inflows in the space at $1.1 bln over the period)
135 new ETF listings and 73 closures YTD (additional 3 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Four different ETF sponsors and two asset classes represented in top 10 most successful launches
Notably, the iShares Barclays US Treasury Bond Fund (GOVT) posted net outflows of $266 mln last week, the most of any recently launched ETF; GOVT’s weekly net outflows were its first ever
Top 10 most successful launches account for 72% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
ISE Announces its Sponsorship of AWE, The Association of Women Entrepreneurs and Executives
October 22, 2012--The International Securities Exchange (ISE) is pleased to announce that it is sponsoring, a pre-conference networking dinner for The Association of Women Entrepreneurs and Executives in advance of their AWE Awards and National Conference to be held on November 7, 2012.
AWE is a national women’s leadership organization that provides its senior level executive women and entrepreneur members with a proprietary, paradigm-shifting platform for personal and professional advancement.
Kimberly Hicks, ISE’s Chief Administrative Officer, said, “ISE is committed to providing growth opportunities for women in the fields of finance and technology, both through organizations like AWE and through our own internal initiatives. Through AWE, Elise Lelon is changing not only how women support themselves and one another, but the way they engage with the companies and communities in which they lead and live. Over the course of my career, I have been affiliated with a number of organizations, but AWE stands out as the most visionary, and is producing the most transformational impact. Elise challenges each participant to see a broader vision for herself and create a lasting legacy for her life, and holds us each accountable to achieve both.”
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Source: International Securities Exchange (ISE)
U.S. CFTC eases foreign regulators' access to swaps data
October 22, 2012--The U.S. futures regulator approved a plan on Monday to make it easier for foreign regulators to access U.S. swaps data.
The Commodity Futures Trading Commission voted 3-2 to waive , under certain circumstances, a requirement that its foreign counterparts sign indemnification agreements that would make them liable for any costs arising from lawsuits over shared data.
Foreign regulators and some lawmakers have said the indemnification agreements would interfere with data sharing that is crucial for monitoring risk across the global financial system.
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Source: Reuters
Morgan Stanley-2012 ETF & CEF Tax Strategies
October 22, 2012--Exchange-Traded Fund (ETF) and Closed-End Fund (CEF) prices have generally risen over the past three years. limiting
the amount of tax swap opportunities, However, we believe
investors with unrealized losses in their portfolios could benefit
from tax-management strategies.
Tax swaps can be structured to comply with the wash sale rule.
A tax swap involving the sale of one security/fund and the
simultaneous purchase of another with similar objectives may
create losses while maintaining market exposure and may not be
subject to wash sale rules. These losses can be used to offset
realized or future gains from other holdings.
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Surce: Morgan Stanley
