PrefBlog

The Treasury Market Practices Group has updated its Best Practices Guidelines. The TMPG is a relatively recent creation:

The TMPG was formed in February 2007 in order to encourage dialogue on market issues and to offer recommendations for best practices in the Treasury cash, repo, and related markets. This private-sector group is currently composed of representatives from dealers, buy-side firms, custodians, and other market participants. In light of its aforementioned expansion, the TMPG’s membership composition will likely evolve over time to ensure robust support of the group’s efforts across the Treasury, agency debt, and agency MBS markets.

Sure, a private-sector group. When push comes to shove, which dealer in Treasuries is going to piss off the New York Fed?

One of the “best practices” is highly peculiar and likely to be counter-productive:

Market participants should be responsible in quoting prices and should promote overall price transparency in the interdealer brokers’ market.

• Although legitimate price discovery activities are an integral part of the Treasury, agency debt, and agency MBS markets and should be encouraged, market participants should avoid pricing practices that do not have the objective of resulting in a transaction, or that otherwise result in market distortions.
• Price discovery relies on efficient price reporting and transparent markets. Market participants should not conduct trades through interdealer voice brokers with electronic trading screens without having a record of the transaction published on the screen at the time of the transaction. In addition, market participants should avoid conduct that deliberately seeks to evade regulatory reporting requirements or impedes market transparency efforts.

Ludicrous. Remember, kiddies, bond trading is a cooperative game. It’s not about winning, it’s about being good citizens.

Not sure what to make of this:

International Business Machines Corp. Chief Executive Officer Sam Palmisano, who will turn 60 next year, said the practice of the company’s CEOs retiring from the position at that age isn’t “cast in stone.”

Ain’t nuthin’ cast in stone. You can carve things in stone and you can cast them in iron, but I’ve never heard of casting stone.

Another good day on good volume for the Canadian preferred share market, with PerpetualDiscounts up 24bp and FixedResets gaining 9bp. The yield on latter index is inching slowly towards 3%…

MFC.PR.A continues to trade heavily, at about even yield with the recent bond issue.

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	0.1492 %	2,082.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.1492 %	3,154.2
Floater	2.93 %	3.43 %	64,397	18.70	3	0.1492 %	2,248.2
OpRet	4.87 %	0.56 %	90,335	0.21	9	-0.0299 %	2,378.9
SplitShare	5.95 %	-34.10 %	64,330	0.09	2	0.0000 %	2,364.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0299 %	2,175.3
Perpetual-Premium	5.72 %	5.43 %	127,499	5.36	14	-0.1122 %	1,979.5
Perpetual-Discount	5.58 %	5.67 %	191,243	14.38	63	0.2371 %	1,948.7
FixedReset	5.25 %	3.05 %	279,037	3.31	47	0.0874 %	2,266.3

Performance Highlights
Issue	Index	Change	Notes
NA.PR.K	Perpetual-Premium	-1.56 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 5.45 %
GWO.PR.I	Perpetual-Discount	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 20.14 Evaluated at bid price : 20.14 Bid-YTW : 5.61 %
GWO.PR.H	Perpetual-Discount	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.69 %
IAG.PR.A	Perpetual-Discount	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.65 %
ELF.PR.G	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.93 %
SLF.PR.D	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 19.71 Evaluated at bid price : 19.71 Bid-YTW : 5.67 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.A	OpRet	103,656	RBC crossed 17.700 at 25.00. Nesbitt crossed blocks of 19,100 and 45,000, both at 25.01. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.02 %
POW.PR.B	Perpetual-Discount	97,816	RBC crossed 91,200 at 23.37. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 23.09 Evaluated at bid price : 23.36 Bid-YTW : 5.82 %
TD.PR.G	FixedReset	90,443	RBC crossed 25,000 at 28.15. Desjardins crossed 26,200 at 28.15 and 28,800 at 28.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.14 Bid-YTW : 2.91 %
RY.PR.I	FixedReset	79,773	TD crossed 15,000 at 26.67 and 59,900 at 26.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 3.10 %
RY.PR.D	Perpetual-Discount	67,875	TD crossed 51,500 at 21.56. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-14 Maturity Price : 21.49 Evaluated at bid price : 21.49 Bid-YTW : 5.29 %
RY.PR.X	FixedReset	56,978	TD crossed blocks of 15,000 and 20,000, both at 28.06. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.05 Bid-YTW : 3.14 %
There were 48 other index-included issues trading in excess of 10,000 shares.

This entry was posted on Tuesday, September 14th, 2010 at 11:23 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.