Americas ETP News
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FRB-Beige Book
January 15, 2014--Summary
Reports from the twelve Federal Reserve Districts suggest economic activity continued to expand across most regions and sectors from late November through the end of the year. Nine Districts indicated the local economy was expanding at a moderate pace; among these, the Atlanta and Chicago Districts saw conditions improve compared with the previous reporting period.
Boston and Philadelphia cited modest growth, while Kansas City reported the economy held steady in December. The economic outlook is positive in most Districts, with some reports citing expectations of "more of the same" and some expecting a pickup in growth.view the Beige Book January 2014
Source: FRB
Fed eyes fresh measures to restrict banks' commodities trading
January 14, 2014-The Federal Reserve cited recent disasters, including the BP oil spill in the Gulf of Mexico in 2010, as it sought comment on whether it should further limit banks in their physical commodities businesses.
The regulator said on Tuesday it was examining whether to impose capital charges and increase insurance requirements on banks to restrict further their trading of physical commodities.
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Source: FT.com
Toroso(TM) -Point Of View-Alternative To What?
January 14, 2014--The world of alternative investing has experienced massive expansion in the past few years through new mutual funds and Exchange-Traded Products (ETPs). Until now, this is a part of the investment universe that has been relatively opaque and inaccessible to the average investor, as evidenced by the above excerpt from Investopedia website.
However, recent Morningstar data suggests that the alternative mutual fund landscape now accounts for about $1 trillion dollars, mostly in tactical allocation funds, risk parity funds, and funds using futures and long/short strategies, which is quite different from the landscape of alternative Exchange-Traded Products (ETPs), which is a mere $8.1 billion and heavily dominated by volatility-focused products. In this commentary, Toroso will try to define the alternative ETP landscape and conclude with one method of using...
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Source: Toroso
Deutsche Bank lowers fees on China A-shares ETF
A week after a second ETF entered the Chinese A-share exchange-traded fund market, Deutsche Bank is cutting fees.
January 14, 2014--On Monday, Deutsche's db-X-trackers Harvest CSI 300 China A-Shares Fund (ASHR) reduced its expense ratio from 1.08% to 0.82%.
This follows last week's launch of a nearly identical ETF from Van Eck Associates, the Market Vectors ChinaAMC A-Share ETF (PEK), which has an expense ratio of 0.72%
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Source: Investment News
Worried Fed seeks to curb Wall Street banks commodity trade
January 14, 2014--The U.S. Federal Reserve on Tuesday took a first formal step toward restricting the role of Wall Street banks in trading physical commodities, citing fears that a multibillion-dollar disaster could bring down a bank and imperil the stability of the financial system.
The Fed board voted to publish its concerns and potential remedies following months of growing public and political pressure to check banks' decade-long expansion into the commodities supply chain. The Fed also questioned the initial rationale for allowing them to trade and invest in risky raw materials and lease oil tanks or own power plants.
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Source: Chicago Tribune
Market Vectors Launches SHYD -Short High-Yield Municipal Index ETF
New fund tracks an index focused on high-yield municipal bonds with 1 to 10 years to maturity; joins HYD, Market Vectors' all-maturity solution, in focusing on the high-yield municipal bond market
January 14, 2014--Market Vectors ETFs today announced the launch of its newest exchange-traded fund (ETF), Market Vectors(R) Short High-Yield Municipal Index ETF (NYSE Arca: SHYD).
This fund is the latest addition to Market Vectors' robust family of municipal income-focused exchange-traded funds and the first ETF to track an index that provides targeted exposure solely to the shorter end of the municipal yield curve.
SHYD seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of the Barclays Municipal High Yield Short Duration Index (ticker: BMHYTR), a market size weighted index composed of publicly traded municipal bonds that cover the U.S. dollar-denominated high yield short-term tax exempt bond market.
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Source: Van Eck
Agencies Approve Interim Final Rule Authorizing Retention of Interests in and Sponsorship of Collateralized Debt Obligations Backed Primarily by Bank-Issued Trust Preferred Securities
January 14, 2014--Five federal agencies on Tuesday approved an interim final rule to permit banking entities to retain interests in certain collateralized debt obligations backed primarily by trust preferred securities (TruPS CDOs) from the investment prohibitions of section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act, known as the Volcker rule.
Under the interim final rule, the agencies permit the retention of an interest in or sponsorship of covered funds by banking entities if the following qualifications are met:
the TruPS CDO was established, and the interest was issued, before May 19, 2010;
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Source: FBR
Agencies Approve Interim Final Rule Authorizing Retention of Interests in and Sponsorship of Collateralized Debt Obligations Backed Primarily by Bank-Issued Trust Preferred Securities
January 14, 2014--Five federal agencies on Tuesday approved an interim final rule to permit banking entities to retain interests in certain collateralized debt obligations backed primarily by trust preferred securities (TruPS CDOs) from the investment prohibitions of section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act,
known as the Volcker rule.
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Source: CFTC.gov
CFTC Extends Public Comment Period on Proposed Amendment to Aggregation Policy Under Part 150
January 14, 2014--The Commodity Futures Trading Commission (Commission) announced today that it will extend the comment period on its proposed amendment to rules on aggregation for the position limits in part 150 of its regulations to February 10, 2014.
The comment period had been set to close on January 14, 2014.
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Source: CFTC.gov
Morgan Stanley-US ETF Weekly Update
January 14, 2014--Weekly Flows: $949 Million Net Outflows
ETF Assets Stand at $1.7 Trillion, up 25% since end of 2012
Nine ETF Launches Last Week
ProShares Announces Share Splits on 22 ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net outflows of $949 mln last week
Last week’s net outflows ended four consecutive weeks of net inflows; International-Emerging ETFs posted net outflows of $2.7 bln, the most of any category we measured
International-Developed Market ETFs had net inflows this past week at $2.4 bln as demand for exposure to Europe remains strong
Ten of the 15 categories we measured posted net inflows last week
ETF assets stand at $1.7 tln, up 25% since the end of 2012
13-week flows remain mostly positive among asset classes; combined $58.8 bln in net inflows
Large-Cap ETFs have exhibited the strongest net inflows over the last 13 weeks at $28.9 bln with five ETFs posting net inflows of at least $1 bln; specifically, the SPDR S&P 500 ETF (SPY) has generated $13.4 bln in net inflows over the this period
Over the last 13 weeks, International-Emerging ETFs have posted net outflows at $7.9 bln, the most of any category we measure, as investors remain cautious about the ability of the space to deliver on needed structural reforms
US-Listed ETFs: Estimated Largest Flows by Individual ETF
Utilities Select Sector SPDR (XLU) posted net inflows of $563 mln this past week, the most of any ETF
XLU's inflows were its largest since August 2011 and coincided with strong performance as the ETF returned 2.6% last week
The United States Natural Gas Fund (UNG) generated net inflows of $450 mln, which increased its market cap by almost 169% to $1.6 bln
Broad, market-cap weighted equity benchmark indices accounted for the four ETFs that had the largest outflows this past week and were led by the SPDR S&P 500 ETF, which posted net outflows of $2.1 bln; the Vanguard FTSE Emerging Markets ETF (VWO) and the iShares MSCI Emerging Markets ETF (EEM) combined for net outflows of $2.7 bln this past week
US-Listed ETFs: ETF Dollar Volume
ETF monthly $ volume as a % of listed trading volume increased to 26% in December, which is in-line with the one- year average
Over the last five years, ETF monthly $ volume as a % of listed trading volume peaked in August 2011 at 36%
ETF $ volume was $292 bln last week, up $68 bln from the prior week
Leveraged/Inverse ETFs accounted for 8.2% of ETF $ volume last week, but make up only 1.9% of ETF market share; this is not surprising as daily compounding makes Leveraged/Inverse ETFs more appropriate for active traders
US-Listed ETFs: Short Interest Data Changed: Based on data as of 12/31/13
The Utilities Select Sector SPDR (XLU) had the largest increase in USD short interest at $527 mln
XLU's shares short are at their highest level ever after increasing to 80.2 mln from 66.3 mln on 12/13/13
628 ETFs exhibited short interest increases while 610 experienced short interest declines over the last period
Aggregate ETF USD short interest decreased by $14.3 bln over the period ended 12/31/13
The average shares short/shares outstanding for ETFs is currently 4.2%, down from 4.3% last period
Two of the 10 most heavily shorted ETFs as a % of shares outstanding are commodity/currency related, which is down from five last period
The SPDR Oil & Gas Exploration & Production ETF (XOP) is the most heavily shorted ETF with a shares short as a % of shares outstanding of 273%
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only nine ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
$7.1 bln in total market cap of ETFs less than 1-year old
Active and Fixed Income ETFs each account for 24% of the market capitalization of ETFs launched over the past year, the most of any categories
Of the 22 Active ETFs that were launched over the past year, Fixed Income focused funds account for 11 of the ETFs and 84% of the market cap
YTD, 9 ETFs have been issued and there have been no announced liquidations
The top 10 most successful launches make up 48% of the market cap of ETFs launched over the past year
Seven ETF sponsors and two asset classes (equities and fixed income) represented in top 10 most successful launches; we note that the representation of funds with an income orientation is currently five (down from seven at the end of the second quarter)
Last week was a modest one for inflows into recently launched ETFs as the Vanguard Total International Bond ETF (BNDX) led all recently launched ETFs with net inflows of just $15 million; BNDX provides broad exposure to international investment grade fixed income securities and hedges the currency risk
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Source: Morgan Stanley
