Treasury trading is going electronic:
While investors traditionally negotiated prices for U.S. Treasuries by telephone, they’re increasingly turning to computer-based marketplaces for a range of price quotes from different dealers. A record 48 percent of trades in U.S. government debt have occurred on electronic platforms this year, up from 31 percent in 2012, according to a Greenwich Associates study released yesterday.
There’s a new pseudo-scandal:
A high-frequency trader was indicted for “spoofing,” the placing and immediate canceling of orders to manipulate commodities markets, in what the U.S. Justice Department says is the first criminal case of its kind.
Michael Coscia, 52, of Rumson, New Jersey, the principal of Panther Energy Trading LLC, was indicted by a federal grand jury in Chicago and charged with six counts of commodities fraud and six of spoofing. He’s accused of illegally reaping nearly $1.6 million as a result of orders placed through CME Group Inc. (CME) and European futures markets in 2011.
Matt Levine of Bloomberg is a superb journalist. He not only explains the allegations better than the news story did, he also adds some wise words of his own:
Basically, spoofing doesn’t hurt fundamental investors directly.11 Fundamental investors trade based on fundamental views of value, not order-book information, so they shouldn’t be thrown off by fake bids and offers. Also they probably trade too slowly to even notice this sort of spoofing. Spoofing only directly hurts market-makers, whose job is to buy and sell in reaction to changes in supply and demand. In most modern markets, that means primarily high-frequency traders. If the FBI is going after spoofing, that’s good for other high-frequency traders. The reason to crack down on spoofing is that high-frequency traders are socially valuable and need to be protected.
I wouldn’t object to exchange-initiated rules about order cancellation – say, a black-out period of one second, so an order can’t be cancelled until it has been live for a second. But anti-spoofing laws – with criminal penalties, yet! – aren’t just silly, they’re extremely difficult to enforce.
Canadian Utilities, proud issuer of , has been confirmed at Pfd-2(high) by DBRS:
DBRS has today confirmed the ratings of the Unsecured Debentures and Issuer Rating of Canadian Utilities Limited (CU or the Company) at “A,” along with confirming the Commercial Paper and Cum. Preferred Shares at R-1 (low) and Pfd-2 (high), respectively, all with Stable trends. The confirmation reflects (a) the low-risk regulated electric and gas business of its wholly owned subsidiary, CU Inc. (CUI; rated A (high) by DBRS), which accounts for approximately 65% of consolidated earnings, (b) the self-sustaining and minimal funding requirements for its non-regulated operations, and (c) the low level of debt at the holding company level ($200 million). The one-notch differential in the ratings of CU and CUI primarily reflects structural subordination at CU.
It was a poor day for the Canadian preferred share market, with PerpetualDiscounts losing 10bp, FixedResets down 8bp and DeemedRetractibles off 1bp. Volatility, while modest, was comprised entirely of losing FixedResets. Volume was low.
| 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 | 3.10 % | 3.08 % | 25,038 | 19.51 | 1 | 0.3320 % | 2,691.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2334 % | 4,121.7 |
| Floater | 2.89 % | 3.04 % | 60,571 | 19.67 | 4 | -0.2334 % | 2,767.6 |
| OpRet | 4.05 % | 2.45 % | 100,049 | 0.08 | 1 | 0.0395 % | 2,729.3 |
| SplitShare | 4.29 % | 3.86 % | 95,393 | 3.87 | 5 | 0.0557 % | 3,152.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0395 % | 2,495.6 |
| Perpetual-Premium | 5.47 % | 2.78 % | 73,032 | 0.08 | 18 | 0.0109 % | 2,445.7 |
| Perpetual-Discount | 5.33 % | 5.17 % | 101,710 | 15.08 | 18 | -0.0981 % | 2,583.3 |
| FixedReset | 4.21 % | 3.75 % | 179,084 | 8.64 | 73 | -0.0752 % | 2,554.2 |
| Deemed-Retractible | 5.00 % | 2.50 % | 102,204 | 0.39 | 42 | -0.0067 % | 2,563.0 |
| FloatingReset | 2.56 % | 0.18 % | 79,785 | 0.25 | 6 | -0.0326 % | 2,540.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.G | FixedReset | -1.74 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 4.87 % |
| TRP.PR.C | FixedReset | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-02 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 3.82 % |
| TRP.PR.B | FixedReset | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-02 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 3.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset | 64,553 | RBC crossed 50,000 at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-02 Maturity Price : 23.32 Evaluated at bid price : 25.40 Bid-YTW : 3.69 % |
| RY.PR.W | Perpetual-Premium | 56,082 | RBC crossed 50,000 at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-01 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.97 % |
| ENB.PR.P | FixedReset | 38,000 | TD crossed 35,000 at 24.02. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-10-02 Maturity Price : 22.79 Evaluated at bid price : 23.94 Bid-YTW : 4.23 % |
| BMO.PR.K | Deemed-Retractible | 37,429 | TD crossed 35,000 at 25.96. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-25 Maturity Price : 25.50 Evaluated at bid price : 25.95 Bid-YTW : -3.10 % |
| TD.PR.O | Deemed-Retractible | 31,887 | Called for redemption October 31. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : 2.79 % |
| GWO.PR.S | Deemed-Retractible | 27,500 | Scotia crossed 23,300 at 25.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.58 Bid-YTW : 5.00 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| SLF.PR.G | FixedReset | Quote: 21.50 – 21.90 Spot Rate : 0.4000 Average : 0.2590 YTW SCENARIO |
| TRP.PR.C | FixedReset | Quote: 21.08 – 21.40 Spot Rate : 0.3200 Average : 0.1933 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 22.29 – 22.45 Spot Rate : 0.1600 Average : 0.1018 YTW SCENARIO |
| ELF.PR.F | Perpetual-Discount | Quote: 24.03 – 24.22 Spot Rate : 0.1900 Average : 0.1356 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 21.02 – 21.15 Spot Rate : 0.1300 Average : 0.0817 YTW SCENARIO |
| ENB.PR.F | FixedReset | Quote: 24.22 – 24.40 Spot Rate : 0.1800 Average : 0.1322 YTW SCENARIO |