SEC Chair Mary Jo White gave a speech titled Focusing on Fundamentals: The Path to Address Equity Market Structure. All the usual blather, but there was one point of interest:
So, today, I am pleased to announce a new initiative we are launching that is designed to promote a fuller empirical understanding of the equity markets. SEC staff has prepared and assembled resources and data on the SEC’s web site focusing exclusively on equity market structure. The new web site should be available as early as next week and will serve as a central location for us to publicly share evolving data, research, and analysis.
Part of this initiative will be to disseminate data and related observations drawn from MIDAS that address the nature and quality of displayed liquidity across the full range of U.S.-listed equities –from the life-time of quotes, to the speed of the market, to the nature of order cancellations.
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The new web site will also feature staff research papers based on a variety of data sources and staff reviews that identify and assemble information from the expanding economic literature on market structure topics. One paper, using order audit trail data on off-exchange trading, provides key metrics describing the underlying nature of off-exchange trading by the 44 alternative trading systems that trade equity securities. The staff’s primary observation is that ATS trading looks very similar in many respects to exchange trading.[20] Another paper summarizes current studies that address market fragmentation – both visible and dark. Additional research papers and reviews are already planned.
Maneuvering over the US debt limit continues:
Lew and President Barack Obama have said they won’t negotiate on the limit, which is tied to obligations the U.S. has already incurred. Boehner, an Ohio Republican, has issued a list of demands before he’ll support raising the ceiling. His conditions include approval of TransCanada Corp. (TRP)’s Keystone XL pipeline, major revisions to the tax code and a one-year delay of the insurance mandate in the Obama health-care law.
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The U.S. government is already limited in action after Republicans and Democrats in Congress failed to agree on funding for the new fiscal year that began yesterday. That led to a partial shutdown of the government at midnight, forcing about 800,000 federal workers off the job. The shutdown could cost the economy as much as $10 billion a week, the White House said on its website.
DS is having a good year with US junk:
Royal Bank of Canada is on pace to join the ranks of the 10 largest underwriters of high-yield debt in the U.S. for the first time as the largest Canadian lender seeks profits abroad with issuance slowing at home.
Royal Bank’s RBC Capital Markets ranks 10th among arrangers of speculative-grade bonds at the end of the third quarter after luring bankers from firms including Deutsche Bank AG (DBK) and Credit Suisse Group AG. (CSGN) The Toronto-based firm has never been a top-10 underwriter for non-investment-grade debt in the U.S. on any given year, according to data compiled by Bloomberg.
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While RBC expects total sales of junk bonds in the U.S. market to surpass last year’s record $353 billion, on Sept. 4 it cut its annual forecast for Canadian issuance to as little as C$4 billion ($3.9 billion) from about C$6 billion. The firm boosted the headcount in its U.S. credit team by 15 percent in the past two years, hiring almost 20 people, including 10 sales staff and eight traders. Last month Neil Yaris, who has held jobs at Credit Suisse and Bank of America Corp., joined as co-head of high-yield debt trading.
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Royal Bank’s long-standing goal to be a Top 10 investment bank in the U.S. contrasts with retrenchment in other areas of banking. The company sold its unprofitable U.S. lender RBC Bank to PNC Financial Services Group Inc. in March 2012, ending an unsuccessful decade-long foray into U.S. retail banking.In Canada, RBC slipped to the third spot among underwriters of high-yield debt, from No. 1 in 2012. Still, the firm has led arrangers of investment-grade company bonds in Canada for at least 14 years.
I’m in the wrong business:
Carnegie Hall employs five full-time stagehands and uses part-timers as needed, a spokeswoman, Synneve Carlino, said in an e-mail.
The full-timers earned an average of $420,000 in 2011, according to the tax return. They move equipment in and out of the building and prepare three stages for performances, while operating audiovisual and other equipment. They work on holidays and weekends.
Oh, they work on holidays and weekends. Well, I’m glad that’s cleared up.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 15bp, FixedResets gaining 7bp and DeemedRetractibles off 2bp. The Performance Highlights table is average sized – by standards of the last few months – with BAM issues notable on the downside. Volume was average.
PerpetualDiscounts yield 5.56%, equivalent to 7.23% interest at the standard equivalency factor of 1.3x. Long Corporates now yield about 4.8%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 245bp, a significant increase from the 235bp reported September 25, as long corporate yields have declined about 10bp on the week, while PerpetualDiscounts haven’t done much of anything.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.0508 % | 2,533.5 |
| FixedFloater | 4.34 % | 3.65 % | 32,045 | 17.99 | 1 | -1.0835 % | 3,829.7 |
| Floater | 2.67 % | 2.89 % | 65,657 | 20.03 | 5 | -0.0508 % | 2,735.5 |
| OpRet | 4.63 % | 2.78 % | 61,624 | 0.49 | 3 | -0.1028 % | 2,635.1 |
| SplitShare | 4.76 % | 4.97 % | 60,900 | 4.03 | 6 | 0.1024 % | 2,948.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1028 % | 2,409.5 |
| Perpetual-Premium | 5.76 % | 3.04 % | 112,395 | 0.12 | 8 | -0.0520 % | 2,278.3 |
| Perpetual-Discount | 5.51 % | 5.56 % | 145,987 | 14.44 | 30 | -0.1529 % | 2,356.4 |
| FixedReset | 4.93 % | 3.68 % | 235,270 | 3.65 | 85 | 0.0736 % | 2,458.4 |
| Deemed-Retractible | 5.12 % | 4.42 % | 198,981 | 6.75 | 43 | -0.0171 % | 2,380.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 22.36 Evaluated at bid price : 21.91 Bid-YTW : 3.65 % |
| BAM.PF.D | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 5.87 % |
| BAM.PR.B | Floater | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 2.89 % |
| FTS.PR.G | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 22.45 Evaluated at bid price : 23.31 Bid-YTW : 4.24 % |
| CIU.PR.C | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 3.84 % |
| MFC.PR.F | FixedReset | 1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.58 Bid-YTW : 4.68 % |
| TRI.PR.B | Floater | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 2.47 % |
| HSB.PR.D | Deemed-Retractible | 1.62 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.89 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.T | FixedReset | 87,816 | TD crossed 25,000 at 24.10; Nesbitt crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 22.75 Evaluated at bid price : 24.01 Bid-YTW : 4.40 % |
| TRP.PR.D | FixedReset | 73,493 | RBC crossed 56,500 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 23.04 Evaluated at bid price : 24.75 Bid-YTW : 4.11 % |
| BAM.PF.A | FixedReset | 58,449 | Scotia crossed 45,000 at 24.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 23.11 Evaluated at bid price : 24.85 Bid-YTW : 4.65 % |
| HSE.PR.A | FixedReset | 58,356 | Desjardins crossed 45,000 at 23.28. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 22.66 Evaluated at bid price : 23.25 Bid-YTW : 3.97 % |
| TD.PR.Y | FixedReset | 52,125 | Will reset 2013-10-31 at 3.5595%. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.61 % |
| TRP.PR.C | FixedReset | 43,235 | Desjardins crossed 30,000 at 23.33. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-10-02 Maturity Price : 22.66 Evaluated at bid price : 23.21 Bid-YTW : 3.75 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.T | FixedReset | Quote: 25.31 – 26.59 Spot Rate : 1.2800 Average : 0.7157 YTW SCENARIO |
| BAM.PR.G | FixedFloater | Quote: 21.91 – 23.12 Spot Rate : 1.2100 Average : 0.8050 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 23.21 – 23.64 Spot Rate : 0.4300 Average : 0.3076 YTW SCENARIO |
| ENB.PR.Y | FixedReset | Quote: 23.90 – 24.19 Spot Rate : 0.2900 Average : 0.1833 YTW SCENARIO |
| PWF.PR.K | Perpetual-Discount | Quote: 22.66 – 22.99 Spot Rate : 0.3300 Average : 0.2275 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 20.91 – 21.28 Spot Rate : 0.3700 Average : 0.2922 YTW SCENARIO |
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