Americas ETP News
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Swaps profits threatened by Dodd-Frank
August 22, 2012--Wall Street is preparing for a dramatic overhaul of how derivatives are traded in a move that could hit profits at the big banks.
In anticipation, the banks that act as big swap dealers are tackling their cost base, investing in more technology and adjusting to the prospect of using less leverage, taking less risk and by extension harvesting smaller bonuses.
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Source: FT.com
Risk of US double-dip recession rises: S&P
August 21, 2012--The odds the United States will slip back into recession next year have risen, ratings agency Standard & Poor's said, citing risks from the European debt crisis and budget tightening at year-end.
The US ratings firm raised the chance of the US falling into recession to 25 percent, up from a 20 percent chance estimated in February, as the world's largest economy struggles to recover from a severe 2008-2009 slump.
It also pointed to the looming possibility of the government being forced by existing law to severely cut spending and increase taxes on January 1, the so-called fiscal cliff that would crunch the economy.
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Source: EUbusiness
CFTC Announces Website for Market Participants to Register for CFTC Interim Compliant Identifiers (CICI)
August 21, 2012--The Commodity Futures Trading Commission (CFTC) today announced the launch of a website for market participants to register for CFTC Interim Compliant Identifiers (CICI).
CICIs are interim legal entity identifiers (LEI), which will be used by registered entities and swap counterparties in complying with the CFTC’s swap data reporting regulations. On July 24, 2012, the Commission designated DTCC-SWIFT as the provider of CICIs.
Market participants who are required to obtain a CICI to comply with the Commission’s swap data reporting regulations can now do so through the new CICI website: http://www.ciciutility.org. The website, which is free and publicly available, is owned, managed and operated by DTCC-SWIFT.
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Source: CFTC.gov
DB-Equity Derivatives and Quantitative Strategy Research-North America-US ETF Market Weekly Review: ETP assets continue to trend higher
August 21, 2012--Net Cash Flows Review
Markets moved higher during last week. The US (S&P 500) edged higher by 0.87%. While, outside the US, the MSCI EAFE (in USD) rose by 0.90% and the MSCI EM (USD) dropped by 0.81%.
Moving on to other asset classes, the 10Y US Treasury Yield rose by 16bps last week; while the DB Liquid Commodity Index was up by 0.84%. Similarly, the Agriculture sector (DB Diversified Agriculture Index) pulled back by 0.41% and the WTI Crude Oil rose 3.38%, while Gold and Silver prices retreated by 0.26%, and 0.13%, respectively. Last but not least, Volatility (VIX) dropped by 8.75% during the same period.
The total US ETP flows from all products registered $0.6bn of inflows during last week vs. a similar amount of inflows the previous week, setting the YTD weekly flows average at +$2.7bn (+$88.5bn YTD in total cash flows).
Equity, Fixed Income, and Commodity ETPs experienced flows of -$0.5bn, +$0.3bn, and +$0.8bn last week vs. -$0.2bn, +$0.5bn, and +$0.3bn previous week, respectively.
Within Equity ETPs, small cap products experienced the largest inflows (+$0.3bn); while large cap products had the largest outflows (-$1.7bn). Within Fixed Income ETPs, corporate products had the largest inflows (+$0.5bn); while sovereign ETPs experienced the only outflows (-$0.4bn). Within Commodity ETPs, precious metals products experienced the largest inflows (+$0.8bn), while the other sectors experienced less relevant flows.
Top 3 ETPs & ETNs by inflows: GLD (+$0.9bn), IWM (+$0.3bn), XLK (+$0.3bn) Top 3 ETPs & ETNs by outflows: SPY (-$1.5bn), DIA (-$0.3bn), XLI (-$0.3bn)
New Launch Calendar: income and emerging markets
There were 4 new ETFs listed during last week. Two were listed in the NASDAQ Exchange while the other two were listed on the NYSE Arca. The new products offer access to emerging market themes and income generating strategies.
Turnover Review: floor activity decreased by 2%
Total weekly turnover decreased by 2% to $188bn vs. $192bn in the previous week. Last week’s turnover level was 50% below last year’s weekly average. Equity ETPs experienced a decrease of $5.4bn or -3.2% to $162bn. In the meantime, Fixed Income and Commodity ETPs turnover rose by 3.4% (+$0.5bn) and 12.6% (+$1.0bn), respectively.
Assets Under Management (AUM) Review: assets rose by 0.5%
Positive markets drove ETP assets up by 0.5%, ending the week at $1.22 trillion. As of last Friday, US ETPs have accumulated an asset growth of 16.2% YTD. Assets for equity, fixed income and commodity ETPs moved +$0.7bn, -$0.4bn, and +$0.9bn 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/631-B100/50379807/US_ETF_Market_Weekly_Review.pdf
Source: Deutsche Bank - Equity Derivatives and Quantitative Strategy Research - North America
CBOE to Launch S&P 500 Index Range Options
Allows investors to trade S&P 500 index options using a range of strike prices
August 21, 2012--Chicago Board Options Exchange, Incorporated (CBOE) announced today that it will launch trading in a new type of S&P 500(R) Index options contract, known as CBOE S&P 500 Range options (ticker: SRO), beginning on Tuesday, August 28.
CBOE Range options were designed to provide individual investors with a lower-risk, lower-cost way to trade S&P 500 Index options.
SROs pay an exercise settlement amount if the settlement value of the underlying index at expiration selected by the investor falls within a specified "range length." The range length for SROs will be set at 70 S&P 500 Index points.
SRO payouts work as follows: If the S&P 500 Index settlement value falls within the middle 50 points of the 70-point range, the payout for the option will be $1,000. If the S&P 500 Index settlement value falls within the 10 points on either side of the 50-point range, the payout amount will decrease linearly (e.g., positive payout will be between $999 to $1) to zero.
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Source: CBOE
The Broker Wars Take an Unfortunate Turn
August 21, 2012--For nearly three years, investors in exchange-traded funds have found brokerage companies increasingly willing to offer big deals on some highly in-demand products.
Millions of investors now have access to a variety of commission-free ETFs, helping them cut their trading costs dramatically.
Recently, however, the commission-free ETF movement got its first bad news in a long time. With a recent spate of ETF closures, the episode shows how important it is for investors to focus on ETFs that will survive and thrive over the years.
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Source: Daily Finance
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX SmallCap And Global Mining Indices
August 21, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Extorre Gold Mines Ltd. (TSX:XG) have accepted the cash and share takeover offer from Yamana Gold Inc. (TSX:YRI).
Extorre Gold shares will be exchanged for $CDN3.50 cash and 0.0467 shares of Yamana. Extorre Gold will be removed from the S&P/TSX SmallCap and Equity SmallCap, the S&P/TSX Global Mining and the S&P/TSX Global Gold Indices effective after the close of Friday, August 24, 2012.
Source: Standard & Poor's
iShares files with the SEC-iShares MSCI USA High Dividend Yield Index Fund
August 20, 2012--iShares has filed a post-effective amendment, registration statement with the SEC for the iShares MSCI USA High Dividend Yield Index Fund.
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Source: SEC.gov
Morgan Stanley-US ETF Weekly Update
August 20, 2012--Weekly Flows: $627 Million Net Inflows
ETF Assets Stand at $1.2 Trillion, up 16% YTD
Four ETF Launches Last Week
Russell Announces Closures of Passively Managed ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $627 mln last week, the third consecutive week of net inflows
Commodity ETFs, driven by the SPDR Gold Trust (GLD), had the largest net inflows of any category last week ($829 mln)
Quiet week for flows as only 18 ETFs posted net in/outflows of greater than $100 mln last week
ETF assets stand at $1.2 tln (up 16% YTD) and have posted net inflows 25 out of 33 weeks YTD ($87.6 bln in net inflows)
13-week flows were mostly positive among asset classes; combined $32.9 bln net inflows
Fixed Income ETFs have generated net inflows 52 out of the past 53 weeks ($10.2 bln net inflows over the last 13 weeks)
Over the last 13 weeks, US Mid-Cap ETFs have exhibited net outflows of $572 mln, the most of any category we measured
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR Gold Trust (GLD) generated net inflows of $860 mln last week, the most of any ETF
Flows into fixed income ETFs have been impressive over the past year; notably, the iShares iBoxx $ Investment Grade Corporate Bond Fund (LQD) has generated net inflows of $8.3 bln over the last 52 weeks (net inflows 46 out of 52 weeks)
For the second consecutive week the SPDR S&P 500 ETF (SPY) has exhibited net outflows in excess of $1 bln; SPY has posted net outflows six out of the past nine weeks (aggregate $6.1 bln in net outflows)
US-Listed ETFs: Short Interest
Data Unchanged: Based on data as of 7/31/12
SPDR Gold Trust (GLD) had the largest increase in USD short interest at $758 mln
Aggregate ETF USD short interest marginally increased $29 mln over the past two weeks ended 7/31/12
For the fourth consecutive period, SPDR S&P 500 ETF (SPY) short interest declined; SPY’s 201.7 mln shares short is its lowest level since 12/31/09
The average shares short/shares outstanding for ETFs is currently 4.8%
Out of the 10 ETFs with the highest % of shares short, only one has a market cap greater than $1 bln (IWM)
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only five 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 8/17/12 based on daily change in share counts and daily NAVs.
$8.6 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 $1.5 bln (specifically the PIMCO Total Return ETF-BOND)
124 new ETF listings and 35 closures YTD (additional 34 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Five different ETF sponsors and three asset classes represented in top 10 most successful launches
Despite a rise in rates last week, the iShares Barclays US Treasury Bond Fund (GOVT) posted net inflows of $58 mln, the most of any recently launched ETF
Top 10 most successful launches account for 71% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
BlackRock(R) Canada Launches U.S. High Dividend Equity Fund
iShares(R) launches a new fund geared to generate income and meet investors' needs
August 20, 2012--BlackRock Asset Management Canada Limited (BlackRock Canada) (TSX:XHD), an indirect, wholly-owned subsidiary of BlackRock, Inc., today launched the iShares U.S. High Dividend Equity Index Fund (CAD-Hedged) (XHD) in the Canadian marketplace.
XHD seeks to provide investors with access to high-quality, dividend paying U.S. companies as another way to help them better meet their income needs. The fund will begin trading on the Toronto Stock Exchange today.
"In today's investing environment, income generation and higher yield equities are top of mind for many investors," said Mary Anne Wiley, Managing Director, Head of iShares, BlackRock Canada. "Our most recent investor survey found that 93 per cent believe that generating income is an important factor in making investment decisions. To help investors access those income-oriented performers, we have introduced the iShares U.S. High Dividend Equity Index Fund (CAD-Hedged). It offers investors higher yield and lower risk by focusing on companies that are likely to pay higher than average dividends for the foreseeable future."
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Source: BlackRock
