Econbrowser‘s Jim Hamilton has been busy building a database on the term structure of Treasuries. One of the byproducts is a graph of the average term of publicly held US debt:
Click for big
Senator Kaufman’s letter to the SEC, highlighted here on August 27, attracted comment in the Financial Times which was in turn republished on the Themis Trading blog under Fixing Equity Markets Ain’t Easy:
The challenge of fixing our equity markets is not as simple as “fixing” the market structure by widening spreads. Widening spreads across the board will only remove trading opportunities and increase trading costs. I would love to say widen spreads and tax the HFTs and everything will be fine, but in the end, I think increased spreads will only force institutional and retail investors to pay more for execution and make it harder to get in or out of an investment . . . and profits will just be re-allocated from the fast and fleet to slower players with larger pockets.
If we think by taxing high-frequency firms we will go back to a time when markets were slow and humans made trading decisions – forget it. When was the last time we replaced computers with humans?
For “slower players with larger pockets”, read ‘established dinosaurs with more money than brains who are currently having their lunch eaten’.
A good day with continued elevated volume on the Canadian preferred share market today, with PerpetualDiscounts up 27bp and FixedResets gaining 2bp.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2394 % | 2,038.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2394 % | 3,087.9 |
| Floater | 2.57 % | 2.17 % | 34,200 | 21.91 | 4 | -0.2394 % | 2,200.9 |
| OpRet | 4.90 % | 3.63 % | 96,490 | 0.25 | 9 | 0.1292 % | 2,351.2 |
| SplitShare | 6.11 % | -25.07 % | 66,046 | 0.09 | 2 | -0.6693 % | 2,305.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1292 % | 2,150.0 |
| Perpetual-Premium | 5.76 % | 5.33 % | 94,928 | 5.62 | 7 | 0.2024 % | 1,965.5 |
| Perpetual-Discount | 5.71 % | 5.74 % | 189,059 | 14.10 | 71 | 0.2744 % | 1,903.4 |
| FixedReset | 5.28 % | 3.17 % | 273,911 | 3.35 | 47 | 0.0172 % | 2,251.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.P | FixedReset | -1.99 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 27.65 Bid-YTW : 4.50 % |
| IAG.PR.C | FixedReset | -1.15 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.92 % |
| BNA.PR.C | SplitShare | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 20.80 Bid-YTW : 7.07 % |
| ENB.PR.A | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-09-29 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.19 % |
| MFC.PR.C | Perpetual-Discount | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.14 % |
| NA.PR.L | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 21.81 Evaluated at bid price : 22.15 Bid-YTW : 5.51 % |
| CM.PR.H | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.63 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.H | Perpetual-Discount | 55,070 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.63 % |
| BMO.PR.O | FixedReset | 54,135 | Scotia crossed 50,000 at 28.34. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 28.30 Bid-YTW : 2.88 % |
| SLF.PR.B | Perpetual-Discount | 51,157 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 5.97 % |
| CM.PR.L | FixedReset | 49,196 | Desjardins crossed 13,200 at 28.10; RBC crossed 23,800 at 28.21. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.10 Bid-YTW : 3.14 % |
| BMO.PR.L | Perpetual-Premium | 42,872 | TD crossed two blocks of 18,300 shares each, both at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-24 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 5.25 % |
| MFC.PR.C | Perpetual-Discount | 34,360 | Nesbitt crossed 10,000 at 18.43. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-08-30 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.14 % |
| There were 36 other index-included issues trading in excess of 10,000 shares. | |||