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CFTC.gov Financial Data for Futures Commission Merchants Update
March 11, 2012--The selected FCM financial data as of 2/29/2012 (from reports filed by 4/1/2012) is now available
view updates
Source: CFTC.gov
Fitch: Popular Short-Term ETFs Offer Higher Yield, But Add Risk
April 11, 2012--Fitch Ratings notes the growing popularity of short-term fixed-income Exchange Traded Funds, or ETFs. These are short-term bond funds that market themselves as a close alternative to money market funds.
We note one example that underscores the growing popularity of this product in PIMCO Enhanced Short Maturity Strategy ETF (MINT). The objective of MINT is the maximum current income consistent with preservation of capital and daily liquidity, identical to that of MMFs. The fund has reached $1.5 billion in the 2.5 years since its inception in November 2009. MINT currently offers a 0.96% 30-day yield versus an average 0.03% yield delivered by taxable MMFs, according to iMoneyNet. That's a sizable difference, and one that underscores the allure for investors in traditional MMFs.
Investors also benefit from additional transparency with actively managed ETFs, as they are obligated under Securities and Exchange Commission rules to disclose their portfolio holdings daily versus monthly for MMFs.
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Source: Fitch Ratings
SEC readies vote on circuit-breaker replacement
April 11, 2012--On 4 April, the US Securities and Exchange Commission (SEC) announced, after several extensions, that it would finally decide whether to approve a new volatility-mitigation plan for the US equities market by 31 May.
The new mechanism would replace the current single-stock circuit breakers for securities in the S&P 500 and Russell 1000 indices and certain exchange-traded funds (ETFs) sets to expire on August 11, or sooner if the new plan is implemented prior to the deadline.
The plan, developed by a consortium of the leading US equities and equity options exchanges – including NYSE Euronext, Nasdaq OMX, BATS Global Markets, Direct Edge and Chicago Stock Exchange – in league with the Financial Industry Regulatory Authority (FINRA), seeks to replace the single-stock circuit breaker pilot that has been in position since June 2011 to better address extraordinary market volatility, such as experienced on 6 May, 2010.
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Source: The trade
CFTC to Hold Open Meeting to Consider Two Final Rules
April 11, 2012--The Commodity Futures Trading Commission (CFTC) will hold a public meeting on Wednesday, April 18, 2012, at 9:30 a.m., to consider two Final Rules:
Final Rule on Further Definition of "Swap Dealer," "Security-Based Swap Dealer," "Major Swap Participant," "Major Security-Based Swap Participant," and "Eligible Contract Participant."
Final Rule on Commodity Options.
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Source: CFTC.gov
S&P Indices, TMX Group launch Low Volatility and High Beta Versions of the S&P/TSX Composite Index
Indices Licensed to PowerShares Canada
April 11, 2012-S&P Indices and TMX Group Inc. announced today that they are launching two new indices designed to provide market participants with unique measuring tools for specific stock characteristics within the S&P/TSX Composite, the principal broad market measure for the Canadian equity markets.
The S&P/TSX Composite Low Volatility Index measures the performance of the 50 least volatile stocks in the S&P/TSX Composite. The Index is designed to serve as a benchmark for low volatility strategies in the Canadian stock market. Constituents are weighted relative to the inverse of their corresponding volatility, or standard deviation, with the least volatile stocks receiving the highest weights.
The S&P/TSX Composite High Beta Index will measure the performance of the 50 constituents of the Composite that are the most sensitive to changes in market returns. It is designed to serve as benchmark for investors with a bullish strategic or tactical view of the Canadian stock market. Constituents are weighted in proportion to their market sensitivity, or beta, with the highest beta stocks receiving the highest weights.
S&P Indices has licensed both the S&P/TSX Composite Low Volatility Index and the S&P/TSX Composite High Beta Index to PowerShares Canada.
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Source: Toronto Stock Exchange
SPDR US ETF Snapshot: March 2012
April 11, 2012--1,228 Exchange Traded Funds (ETFs)-with assets totaling $1.2TN-were managed by 36 ETF managers as of March 31, 2012.
Month over month, ETF assets increased by more than $14BN, up 1.2%.
A $12.1BN gain in assets in the Size - Large Cap category fueled a 1.2% increase in overall assets in the ETF Industry for March.
STATE STREET HIGHLIGHTS, MARCH 2012
2012 Investment Themes
At first glance, the S&P 500® Index returned 0.0% in 2011. In other words, it ended the year in the same place that it started. However, when including dividends in the return, the S&P 500 Index was up 2.1%. This boost in total return is something that dividend investments can potentially offer investors in an environment characterized by uncertainty.
For more on this please see our SPDR® ETF 2012 Investment Themes featured on /www.spdru.com.
State Street recently launched a new short duration high yield fixed income ETF.
SPDR Barclays Capital Short Term High Yield Bond ETF [SJNK]: Click here for complete product information.
•For more information, including product fact sheets and related whitepapers, visit www.spdrs.com.
ETF Industry Detail
Asset Classes -Overall
The S&P 500® Index increased 3.3% while the MSCI EAFE® Index decreased 0.5%. Commodities were positive, with the S&P® GSCI® Index down 2.4% and Gold dropping 6.1%. US Bonds were slightly negative with the Barclays US Treasury Index losing 1.0% and the Barclays US Aggregate Index dropping 0.5%.
FLOWS
•ETF flows topped $11BN in March. The Size-Large Cap category had a category-leading $5.9BN in inflows, a reversal from the $4.8BN in outflows it had in February. The Fixed Income category continued to see positive inflows attracting $3.9BN in March and $15.6BN year-to-date.
visit www.spdrs.com for more information.
Source: SSGA
Van Eck Launches First US Listed "Fallen Angel" ETF
Market Vectors Fallen Angel High Yield Bond ETF (ANGL) offers exposure to
an often overlooked but potentially attractive segment of the high yield bond universe
April 11, 2012--Market Vectors ETF Trust has added another first-of-its-kind exchange-traded fund (ETF) to its rapidly growing fixed income ETF family, it was announced today.
Trading began this morning on Market Vectors Fallen Angel High Yield Bond ETF (NYSE Arca: ANGL), a fund designed to focus on the U.S. dollar denominated “Fallen Angels” segment of the corporate high yield bond market, which currently accounts for approximately 15 percent of the U.S. dollar denominated high yield bond universe.
ANGL seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of The BofA Merrill Lynch U.S. Fallen Angel High Yield Index (H0FA), which is comprised of below investment-grade corporate bonds denominated in U.S. dollars that were rated investment grade at time of issuance. Bonds may have been issued by either U.S. or non-U.S. issuers, but qualifying securities must be issued in U.S. dollars in the U.S. domestic market for inclusion in the index.
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Source: Van Eck
SEC Announces Members of New Investor Advisory Committee
April 9, 2012--The Securities and Exchange Commission today announced the formation of a new Investor Advisory Committee required by the Dodd-Frank Wall Street Reform and Consumer Protection Act.
The 21-member committee replaces the advisory committee that was disbanded after the Dodd-Frank Act became law. Section 911 of the Dodd-Frank Act established the new committee to advise the Commission on regulatory priorities, the regulation of securities products, trading strategies, fee structures, the effectiveness of disclosure, and on initiatives to protect investor interests and to promote investor confidence and the integrity of the securities marketplace. The Dodd-Frank Act authorizes the committee to submit findings and recommendations for review and consideration by the Commission.
Members of the newly formed committee were nominated by all five sitting Commissioners and represent a wide variety of interests, including senior citizens and other individual investors, mutual funds, pension funds, and state securities regulators.
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Source: SEC.gov
Morgan Stanley-ETF Weekly Update
April 9, 2012--US ETF Weekly Update
Weekly Flows: $1.1 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 13% YTD
Five ETF Launches Last Week
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US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows for the 2nd consecutive week; $1.1 bln net inflows in the short week
Last week’s net inflows were led by US Small- & Micro-Cap ETFs which generated net inflows of $715 mln
ETF assets stand at $1.2 tln, up 13% YTD; ETFs have posted net inflows 12 out of 14 weeks YTD
13-week flows were mostly positive among asset classes; combined $47.8 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (34 straight weeks of net inflows)
Over the past 13 weeks, EM Equity ETFs exhibited net inflows of $11.0 bln; this is a reversal from 2011 when the category had
net outflows of $2.2 bln for the full year
US-Listed ETFs: Estimated Largest Flows by Individual ETF
iShares Russell 2000 Index Fund (IWM) posted net inflows of $625 mln last week, the most of any ETF
Despite IWM’s net inflows last week, the ETF has struggled YTD, posting net outflows of $299 mln
Not only did the Vanguard MSCI Emerging Markets ETF (VWO) generate strong net inflows last week, over the past 13 weeks it has posted net inflows of $6.3 bln, the most of any ETF; VWO has exhibited net inflows for 20 straight weeks
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 3/15/12
iShares Russell 2000 Index Fund (IWM) posted the largest increase in USD short interest
IWM’s shares short are at their highest levels since 11/30/11
SPY had the largest decline in USD short interest since last updated; given SPY’s size and liquidity it is not unusual to see big
swings in its USD short interest
Retail ETFs make up the top two most heavily shorted ETFs (shares short/shares outstanding)
The average shares short/shares outstanding for ETFs is currently 4%
Based on multiple borrowings and the ability to continuously create new shares, short interest as a % of market cap can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research.
Data estimated as of 4/5/12 based on daily change in share counts and daily NAVs.
$7.3 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched US Custom ETFs generated most net inflows at $813 mln
81 new ETF listings and 16 closures YTD
Over the past year, many of the successful launches have an income/dividend orientation
Six different ETF sponsors and two asset classes represented in top 10 most successful launches
The recently incepted PIMCO Total Return ETF (BOND), which underwent a ticker change last week, continued to gain traction, taking in $51 mln in net new money last week, the most of any new ETF
Top 10 most successful launches account for 55% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
DB Equity Research Equity Research-North America:Markets & ETFs: ETP assets lost 0.9%, but ETP flows remained positive
April 9, 2012--Last week, markets continued on correction mode recording the second negative week in the last three weeks. The US (S&P 500) lost 0.74%. Other developed and emerging markets outside the US did similarly; the MSCI EAFE (in USD) dropped by 2.99%, while the MSCI EM (in USD) declined by 0.43% during the week. Moving on to other asset classes, the 10Y Treasury yield retreated by 16bps last week, while the DB Liquid Commodity Index was down by 0.10%. Other sectors were mixed.
The Agriculture sector (DB Diversified Agriculture Index), Gold, and Silver prices fell by 0.66%, 1.91%, and 1.25%, respectively; while WTI Crude Oil prices edged higher by 0.28%. Last but not least, Volatility (VIX) advanced by 7.74% during the same period.
The total US ETP flows from all products registered $1.2bn of inflows during last week vs $4.4bn of inflows the previous week, setting the YTD weekly flows average at +$3.8bn (+$53.2bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of +$0.8bn, +$0.4bn, and +$0.0bn last week vs. +$2.9bn, +$1.5bn, and +$0.1bn the previous week, respectively.
Within Equity ETPs, Small Cap products experienced the largest inflows (+$0.7bn); while Large Cap vehicles experienced the largest outflows (-$0.8bn), followed by US Sector ETPs (-$0.5bn). Within Fixed Income ETPs, Corporates recorded the largest inflows (+$0.6bn), followed by Sovereign products (+$0.6bn). Within Commodity ETPs there weren´t significant flows.
Top 3 ETPs & ETNs by inflows: IWM (+$0.6bn), VWO (+$0.6bn), XLI (+$0.5bn) Top 3 ETPs & ETNs by outflows: DIA (-$0.7bn), TLT (-$0.6bn), XLE (-$0.5bn)
New Launch Calendar: 5 new listings with a tilt towards HY
There were five new ETF listings during the previous week. Four listed on BATS and one listed on NYSE Arca. Four new products provide exposure to High Yield Corporate debt from EM and Global Markets, and the other ETP provides exposure to a portfolio of diversified income investments. (See Fig. 18 for details.)
Turnover Review: dollar volume shrinks on shorter week, but daily average increases on rising volatility Total weekly turnover declined by 12.5% to $250bn vs. $286bn in the previous week. However, daily average volume increased by 9.35% from $57.2bn to $62.5bn on rising volatility. Back to total weekly figures, the largest decrease was on Equity ETP turnover, which fell by $33.5bn or 13.3% to $218bn. Commodity and Fixed Income ETP turnover followed with decreases of 11.52% (-$1.9bn) and 0.8% (-$0.1bn), respectively.
Assets Under Management (AUM) Review:
0.9% down on markets
Negative equity markets and below-average inflows resulted on a pull-back in ETP assets of $10.4bn. ETP AUM fell by 0.9% to $1.18 trillion from the previous week’s level. YTD growth remains strong at 13.1%, however. Assets for equity, fixed income and commodity ETPs moved -$8.1bn, -$0.3bn, and -$2.1bn during last week, respectively.
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Source: Deutsche Bank-Equity Research-North America
