Americas ETP News
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IMF Working paper-Financial Spillovers to Chile
October 24, 2012--Summary: This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors.
The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and interbank spreads in Chile by about 50 basis points in 2008–12. While in 2008–09, most spillovers originated in the U.S., in mid-2010 onwards, European distress played a prominent role.
view the IMF Working paper--Financial Spillovers to Chile
Source: IMF
FOMC statement
October 24, 2012--Information received since the Federal Open Market Committee met in September suggests that economic activity has continued to expand at a moderate pace in recent months.
Growth in employment has been slow, and the unemployment rate remains elevated. Household spending has advanced a bit more quickly, but growth in business fixed investment has slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation recently picked up somewhat, reflecting higher energy prices. Longer-term inflation expectations have remained stable.
Nasdaq Plays Down High-Speed-Trade Impact
October 24, 2012--The top executive of Nasdaq OMX Group Inc. said a marketwide slide in high-frequency trading volume won't have a material impact on the exchange operator.
Chief Executive Robert Greifeld said high-frequency trading accounts for only about $50 million in annual revenue at Nasdaq, which is expanding its technology and corporate services to become less reliant on handling stock and derivatives transactions. In 2011, Nasdaq had $1.69 billion in revenue.
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Source: Wall Street Journal
SEC's Schapiro Considers Ways To Rein In Fast Traders
October 24, 2012--Securities and Exchange Commission Chairman Mary Schapiro has floated a series of possible regulations the agency could impose to rein in high-speed traders.
"We're looking at a wide variety of additional measures to bolster market resiliency," Ms. Schapiro told Fox Business Network on Tuesday in response to a question about concerns stemming from computerized trading.
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Source: Wall Street Journal
ProShares files with the SEC
October 24, 2012--ProShares has filed an order for exemptive relief with the SEC.
view filing
Source: SEC.gov
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.
request report
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
