Americas ETP News
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Federal Reserve issues FOMC statement
September 13, 2012--Information received since the Federal Open Market Committee met in August 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 continued to advance, but growth in business fixed investment appears to have slowed. The housing sector has shown some further signs of improvement, albeit from a depressed level. Inflation has been subdued, although the prices of some key commodities have increased recently. Longer-term inflation expectations have remained stable.
Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee is concerned that, without further policy accommodation, economic growth might not be strong enough to generate sustained improvement in labor market conditions. Furthermore, strains in global financial markets continue to pose significant downside risks to the economic outlook. The Committee also anticipates that inflation over the medium term likely would run at or below its 2 percent objective.
Hedge Fund Association Asks SEC for Clear Rules on Verifying Investor Accreditation
Industry Trade Organization Asks for Provision in JOBS Act Rules to Limit Fund Managers' Liability Should They Take Reasonable, Pre-Defined Steps to Confirm Whether Investors Are Accredited
September 13, 2012--The Hedge Fund Association, (the HFA), an international not-for-profit organization representing investors, hedge funds and service providers, today asked the Securities and Exchange Commission (SEC) in a comment letter to specifically tell private fund managers what they will need to do to safely verify whether investors are accredited,
should they want to advertise after the rules in the Jump Start Our Business Start-ups Act (JOBS Act) are finalized. The HFA also praised the entire proposed rule to lift the hedge fund advertising ban as a significant step to modernize securities laws that maintains the investor protections available under the current system. At the same time, they encouraged the regulator to coordinate with the Commodity Futures Trading Commission (CFTC) to harmonize any new rules with the Commodity Exchange Act (CEA).
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Source: The Hedge Fund Association
Federal Reserve Board and Federal Open Market Committee release economic projections from the September 12-13 FOMC meeting
September 13, 2012--The Federal Reserve Board and the Federal Open Market Committee on Thursday released the attached table and charts summarizing the economic projections and the target federal funds rate projections made by Federal Reserve Board members and Federal Reserve Bank presidents for the September 12-13 meeting of the Committee.
The table will be incorporated into a summary of economic projections released with the minutes of the September 12-13 meeting. Summaries of economic projections are released on a quarterly schedule.
view the Economic Projections of Federal Reserve Board Members and Federal Reserve Bank Presidents, September 2012
Source: Federal Reserve Board (FBR)
TMX Group Inc. Shareholders Approve Subsequent Arrangement
September 12, 2012-- TMX Group Inc. today announced that its shareholders passed a special resolution to approve a plan of arrangement under the Business Corporations Act (Ontario) involving, among other things, the acquisition by TMX Group Limited (formerly Maple Group Acquisition Corporation) of all of the outstanding common shares of TMX Group Inc.
(other than common shares held by TMX Group Limited) in exchange for common shares of TMX Group Limited on a one-for-one basis (the "Arrangement"). The special resolution was approved by 99.99% of the votes cast by holders of common shares of TMX Group Inc. at TMX Group Inc.'s special meeting of shareholders held on September 12, 2012 in Toronto.
The application to the Ontario Superior Court to obtain the final order approving the Arrangement is scheduled for September 13, 2012. The transaction with TMX Group Limited is expected to close on September 14, 2012 following the receipt of all necessary court approvals and the satisfaction of other customary conditions.
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Source: TMX Group Inc.
DB-Equity Research-US ETF+ Monthly Directory- August 2012 ETPs:
September 12, 2012--This document includes all US listed exchange-traded funds (ETFs) and exchange-traded vehicles (ETVs), plus a special section covering exchange-traded notes (ETNs).
The directory is organized by asset class and asset-class-related sub sections. Within each sub section it has also been sorted. For Equity and Fixed Income ETPs it is sorted by country (or sub region for regional products) in alphabetical order and by AUM in descending order, and for the other ETP asset classes it is sorted by sub sector in alphabetical order and by AUM in descending order. A number of key information points per product has been included in order to enable the reader to get an overview in their respective area of interest. Among the key numeric information we include avg. daily turnover, assets under management, and cash flows (all in $US). If you have any questions for any of the products listed, or any suggestions on how to improve the directory going forward, please do not hesitate to get in touch.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/575-4607/93204725/US_ETF+_Monthly_Directory.pdf
Source: Deutsche Bank-Equity Research-North America
Big Banks Hide Risk Transforming Collateral for Traders
September 11, 2012--JPMorgan Chase & Co. (JPM) and Bank of America Corp. are helping clients find an extra $2.6 trillion to back derivatives trades amid signs that a shortage of quality collateral will erode efforts to safeguard the financial system.
Starting next year, new rules designed to prevent another meltdown will force traders to post U.S. Treasury bonds or other top-rated holdings to guarantee more of their bets. The change takes effect as the $10.8 trillion market for Treasuries is already stretched thin by banks rebuilding balance sheets and investors seeking safety, leaving fewer bonds available to backstop the $648 trillion derivatives market.
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Source: Bloomberg Business Week
VIX Index Options Set New Single-Day Volume Record: More Than 1.2 Million Contracts Traded
September 11, 2012--Chicago Board Options Exchange (CBOE) today announced that CBOE Volatility Index options (VIX) established a new single-day volume record as a reported
1,221,403 VIX Index options contracts changed hands. Today's record exceeds the previous record of 1,169,892 contracts traded on August 5, 2011.
Source: CBOE
DB-Global Equity Index and ETF Research- North America-US ETF Market Weekly Review:Market rally and $5bn inflows boost ETP assets by $30bn
September 11, 2012-Net Cash Flows Review
Equity markets move higher across the board last week. The US (S&P 500) soared by 2.23%. While, outside the US, the MSCI EAFE (in USD) and the MSCI EM (USD) rose by 2.9% and 2.36%, respectively.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 10bps last week; Meanwhile the DB Liquid Commodity Index was up by 0.7%, as the Agriculture sector (DB Diversified Agriculture Index) pulled back by 0.33%. The WTI Crude Oil dropped 0.05%, while Gold and Silver prices moved higher by 2.58% and 6.15%, respectively. Last but not least, Volatility (VIX) dropped by 17.69% during the same period.
The total US ETP flows from all products registered $5.0bn of inflows during last week vs. $2.0bn of inflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$98.4bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$5.0bn, -$0.8bn, and +$0.6bn last week vs. inflows of +$0.5bn, +$1.3bn and +$0.2bn in the previous week, respectively.
Within Equity ETPs, Small Cap products had the most inflows (+$1.0bn); while US Broad Country products had the most, albeit discrete, outflows (-$73m). Within Fixed Income ETPs, Corporate products had the largest inflows (+$0.8bn); while Sovereign products had significant outflows (-$1.8bn). And within Commodity ETPs, Precious Metals products experienced inflows of +$0.5bn; meanwhile Energy products had outflows of -$0.2bn.
Top 3 ETPs & ETNs by inflows: SPY (+$1.2bn), IWM (+$1.1bn), IJH (+$1.0bn) Top 3 ETPs & ETNs by outflows: IVV (-$1.0bn), IEI (-$0.8bn), UST (-$0.6bn)
New Launch Calendar: RBS launches new ETN
There was 1 new ETN listed during the previous week. The new product offers exposure to the S&P 500 Total Return Index, the S&P 500 Low Volatility Total Return Index or the S&P 500 Equal Weight Total Return Index, based on a quantitative strategy.
Turnover Review: Floor Activity Increased by 14.5%
Total weekly turnover increased by 14.5% to $217bn vs. $189bn from the previous week. However, last week’s turnover level was 43% below last year’s weekly average. Equity ETP turnover increased by $21.6bn, or 13.4%, to $183bn. Concurrently, Fixed Income and Commodity ETPs turnover rose by 29.1% ($3.4bn) and 9.3% ($1.3bn), respectively.
Assets under Management (AUM) Review: Assets Rose by 2.5%
Last week, total US ETP AUM reached a new all-time high of $1.247 trillion, keeping the trend seen during the last couple of weeks. As of last Friday, US ETPs have accumulated an asset growth of 19.2% YTD. Assets for equity, fixed income and commodity ETPs moved +$25.7bn, -$0.9bn, +$5.2bn during last week, respectively.
The following link will be available for 90 days. For more information, please click on the link for the full PDF. If you have any trouble viewing the link, copy and paste the link in a browser.
http://pull.db-gmresearch.com/p/575-2534/91541031/US_ETF_Market_Weekly_Review_11_Sep.pdf
Source: Deutsche Bank - Global Equity Index and ETF Research-North America
CFTC.gov Financial Data for Futures Commission Merchants Update
September 11, 2012--Selected FCM financial data as of July 31, 2012 (from reports filed by September 04, 2012) is now available.
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
September 10, 2012-Weekly Flows: $5.0 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 19% YTD
No ETF Launches Last Week
Global X Makes Changes to Canada ETF
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $5.0 bln last week, the sixth consecutive week of net inflows
US Small- & Micro-Cap ETFs generated net inflows of $1.1 bln last week, the most of any category (net inflows were driven by
the iShares Russell 2000 Index Fund (IWM))
ETF assets stand at $1.3 tln (up 19% YTD) and have posted net inflows 28 out of 36 weeks YTD ($97.5 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $36.8 bln net inflows
All but one category exhibited net inflows over the past 13 weeks (Currency ETFs had net outflows of a mere $194 mln)
Despite posting net outflows last week, Fixed Income ETFs have generated net inflows of $8.4 bln the past 13 weeks and have posted net inflows 54 out of the past 56 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
ETFs Tracking the S&P 500 Index Accounted for Largest In/Outflows Last Week
The SPDR S&P 500 ETF (SPY) posted net inflows of $1.2 bln while the iShares S&P 500 Index Fund (IVV) exhibited net outflows of
$1.0 bln last week
Five out of the 10 ETFs to post the largest net outflows were either US-Treasury based or have significant US Treasury exposure;
the five ETFs (IEI, UST, TIP, SHY, AGG) posted a combined $2.2 bln in net outflows
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 8/15/12
SPDR S&P 500 ETF (SPY) had the largest increase in USD short interest at $1.6 bln
SPY’s short interest increased for the first time since 5/31/12; however, its 213 mln shares short is well below its 52-week average
of 335 mln shares short
Aggregate ETF USD short interest increased $104 mln over the past two weeks ended 8/15/12
The average shares short/shares outstanding for ETFs is currently 5.2%
Out of the 10 ETFs with the highest % of shares short, five of them have market caps less than $20 mln, and in our view, are skewing the impact of the exhibit
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 9/7/12 based on daily change in share counts and daily NAVs.
$9.3 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Active ETFs generated most net inflows at $1.3 bln (specifically the PIMCO Total Return ETF-BOND)
125 new ETF listings and 44 closures YTD (additional 25 liquidations have been announced)
Over the past year, many of the successful launches have an income/volatility orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches
Notably, the iShares MSCI Global Select Metals & Mining Producers Fund (PICK) posted net inflows of $88.7 mln last week,
the most of any recently launched ETF; despite the big week, PICK did not crack the top 10 largest funds
Top 10 most successful launches account for 69% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
