Last June, I made the sad announcement that CANNEX Annuity Rate Data No Longer Available.
It’s back! Annuity Rate Data is now published on-line by the Globe & Mail; a link to these data is posted in the right-hand navigation panel, under “Quotes (Delayed)”.
CANNEX Annuity Rate Data, formerly published by Canadian Business is no longer being made freely available by any media source of which I am aware.
I have made inquiries and been told that:
Given that you are seeking to publicly distribute our rates, the fee is $550.00 / month.
Sorry, folks, I’m not paying that!
Accordingly, the link to “Annuity Rates” that used to be in the right-hand panel in the group “Quotes (Delayed)” has been deleted.
It’s too bad that Canadian insurance companies don’t compete on price, or all this information would be freely available on their websites. Many thanks to Assiduous Reader BM, who pointed out to me that the link given in my article The Annuity Decision no longer works.
The market-maker for BAM.PR.J did a really shitty job yesterday. According to information supplied by TMX DataLinx the quote at 14:51:59 was 25.66-26.69 and the spread stayed in the range of ninety-seven cents to a dollar six until the close – over an hour. It really is time that the Market Maker system was reformed, if the smiley-boys aren’t going to take it seriously.
In a nutshell, every TMX-listed security has a market maker. The Market Makers service odd-lots, take responsibility for the top-secret Minimum Guaranteed Fill function and agree to maintain a spread on their securities below a certain level. In return, they get a very nice privileges: they can elect to participate in trading on the passive side, taking a cut of up to 30% of the passive side’s fill on every trade [see comments]. This is deemed to be a fair trade-off, and I’m not about to say it isn’t.
But it can only a fair trade-off if the privileges are earned, and it can only be viewed as a fair trade-off if details of the Market-Maker’s execution of his side of the contract are viewable.
There are no details given of any kind of auction system whereby, for instance, a dealer willing to enforce a $0.25 spread can simply take the privileges away from an extant market maker only willing to enforce $0.50. There are no details given of the committments made. There are no details given on actual Market-Maker performance. The TMX claims to monitor Market Maker performance and remove privileges in the event of poor performance, but since no details are given the credibility of this claim is open to question.
I am sick and bloody tired of B-School snots at the TMX telling me not to worry my pretty little head about such complicated matters because the TMX is in charge and on the case. I am outraged that I was told that seven seconds at the close was a inconsequential period for a wide spread on SLF.PR.E at year-end, when it is well known that this is sufficient time to analyze and react to literally thousands of quotation changes. If the TMX is going to grant preferential trading privileges, over-riding the price-time priority they purport to consider holy, they should damn well prove that those preferential trading privileges have been won and earned in a competitive market place.
There’s not much I can do about this, but that’s never an excuse for doing nothing. Accordingly, from this day forward I will be publicizing the daily half-dozen highest excess spreads according to the “Last” quotes (with any luck, they will soon be the “Closing” quotes) available to me. Excess Spread is defined as the spot rate less the average spread as computed by HIMIPref™. Issues considered for inclusion in the list are, and will continue to be, restricted to those incorporated in the HIMIPref™ Preferred Share Indices.
The table for January 27 looks like this:
| Wide Spread Highlights | |||
| Issue | Index | Quote Data | Notes |
| BAM.PR.J | OpRet | Quote: 25.65 – 26.69 Spot Rate : 1.0400 Average : 0.6729 |
YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 5.06 % |
| HSB.PR.D | Perpetual-Discount | Quote: 23.62 – 24.05 Spot Rate : 0.4300 Average : 0.2761 |
YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-27 Maturity Price : 23.38 Evaluated at bid price : 23.62 Bid-YTW : 5.34 % |
| PWF.PR.M | FixedReset | Quote: 26.54 – 27.00 Spot Rate : 0.4600 Average : 0.3404 |
YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.54 Bid-YTW : 3.85 % |
| BAM.PR.G | FixedFloater | Quote: 22.70 – 23.20 Spot Rate : 0.5000 Average : 0.3971 |
YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-27 Maturity Price : 25.00 Evaluated at bid price : 22.70 Bid-YTW : 3.49 % |
| HSB.PR.E | FixedReset | Quote: 27.47 – 27.75 Spot Rate : 0.2800 Average : 0.1836 |
YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.47 Bid-YTW : 3.80 % |
| CM.PR.P | Perpetual-Discount | Quote: 25.18 – 25.56 Spot Rate : 0.3800 Average : 0.2909 |
YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-28 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 5.08 % |
The PrefLetter website was inaccessible for a day, but all has now been restored. There was nothing wrong with the site itself, but there was a DNS problem that meant that only the IP address was recognized – not the domain name.
The power supply on my offsite server failed at 2am last night, resulting in my various websites being down for about eight hours.
Things are now back to normal, but all eMail directed to me during the period was bounced. If you sent me anything between, say, 2am and 10am on Monday September 27, please resend it!
Users of PrefBlog on March 21 will have noticed that they became redirected to various advertising sites in the course of PrefBlog’s loading.
The site was compromised early in the day (thanks to Assiduous Reader GA for letting me know) and now, late in the day, the hack has been fixed and the vulnerability plugged – at least as far as I know.
I regret any inconvenience.
I reported Willem Buiter’s move to Citigroup, but neglected to remove Maverecon from the Blogroll … but now that sad task is done.
Dr. Buiter’s valedictory post is entertaining:
The joys of academic freedom and irresponsibility include the ability to participate in public debate using expressive, forceful language, strong metaphors, analogues and similes, to go over the top from time to time, to overstate the case and over-egg the pudding and not to worry about giving offense to the high and mighty. Because of their sheltered existence, academics can be reckless with impunity in their excursions into the forum of public opinion.
Inevitably, during my years with the MPC and the EBRD, both the form and substance of my public statements were more constrained than during my academic episodes before and after. The same will be true during the years to come with Citi.
Canadian Securities Law Online is Stikeman Elliott’s online information centre, featuring timely and practical information on important developments in M&A and corporate finance
Across the Curve has ceased publication as John Janssen, the author, has gone over to the dark side.
Accrued Interest is ceasing publication.
It’s a shame. Although I never saw a copy of his performance – and although some of his analytical posts gave me pause – there was never any doubt that he’s a serious player on the bond market’s buy side – and not too many guys in the field blog.
Ave atque vale!
