Themis Trading published a white paper on High Frequency Trading (hat tip: Financial Webring Forum) that is most interesting:
This paper will explain how these traders – namely liquidity rebate traders, predatory algorithmic traders, automated market makers, and program traders – are exploiting the new market dynamics and negatively affecting real investors. We conclude with suggestions on what can be done to mitigate or reduce these effects.
…
The number of quote changes has exploded. The reason is high frequency traders searching for hidden liquidity. Some estimates are that these traders enter anywhere from several hundred to one million orders for every 100 trades they actually execute.
For the life of me, I was unable to find any real public policy concerns in this paper. Smart traders are making money at the expense of dumb traders, which sounds very right and proper to me. A dumb trader with algorithmic trading software … is a fast dumb trader.
A lot of the kerfuffle, I am convinced, is simply an replay of the floor-traders fight of about 20 years ago. Remember? All those floor traders who’d gotten fat and comfortable with their sinecures suddenly found out that computers had made their jobs obsolete. Nowadays, there are a lot of prop traders at dealerships (not to mention buy-side traders) who are finding out the same thing … and they’re trying to hold back the tide with whatever scare stories a credulous public will swallow.
Unfortunately, the piece was written before the controversy on flash orders (last mentioned August 5), so there is no enlightenment on this issue from that source. The Themis Trading Blog, though, has a lot of good information on HFT in general and has been added to the Blogroll.
CIT has declared that its tender offer was successful:
today announced the expiration and successful completion of its tender offer (the “Offer”) for its $1 billion of Floating Rate Senior Secured Notes due August 17, 2009 (the “Notes”). The Offer expired at 12:00 midnight, New York City time, at the end of August 14, 2009. The completion of this tender offer is another important milestone as the Company continues to make progress on the development and execution of a comprehensive restructuring plan.
As of the expiration date, 59.81% of the total Notes outstanding were validly tendered and not withdrawn, an amount in excess of the minimum condition. In accordance with the terms and conditions of the Offer, CIT will accept tendered Notes for payment on August 17, 2009, the settlement date, at a purchase price of $875 per $1,000 principal amount of Notes. CIT will pay amounts due on Notes that have matured but were neither tendered in, nor subject to the Offer in accordance with the terms of those Notes.
The preferred share market just kept on keeping on today, with PerpetualDiscounts up just over 41bp, leaving the FixedReset return of +2bp looking a little sad. Volume continued high.
| 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 | -0.0812 % | 1,424.8 |
| FixedFloater | 6.19 % | 4.46 % | 51,857 | 17.99 | 1 | 1.2104 % | 2,479.8 |
| Floater | 3.20 % | 3.22 % | 137,005 | 19.14 | 2 | -0.0812 % | 1,780.0 |
| OpRet | 4.86 % | -8.27 % | 141,132 | 0.09 | 15 | -0.0586 % | 2,274.7 |
| SplitShare | 5.70 % | 6.48 % | 93,371 | 4.08 | 3 | 0.0000 % | 2,037.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0586 % | 2,080.0 |
| Perpetual-Premium | 5.77 % | 5.57 % | 72,837 | 2.63 | 4 | -0.2887 % | 1,864.9 |
| Perpetual-Discount | 5.73 % | 5.72 % | 181,706 | 14.25 | 67 | 0.4145 % | 1,792.1 |
| FixedReset | 5.48 % | 3.97 % | 510,550 | 4.16 | 40 | 0.0202 % | 2,110.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PR.I | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 24.65 Evaluated at bid price : 24.95 Bid-YTW : 6.06 % |
| ELF.PR.F | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.93 % |
| SLF.PR.A | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 5.74 % |
| BMO.PR.J | Perpetual-Discount | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 5.47 % |
| BAM.PR.G | FixedFloater | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 25.00 Evaluated at bid price : 17.56 Bid-YTW : 4.46 % |
| TD.PR.O | Perpetual-Discount | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 22.13 Evaluated at bid price : 22.26 Bid-YTW : 5.49 % |
| NA.PR.K | Perpetual-Discount | 1.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-06-14 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.67 % |
| SLF.PR.E | Perpetual-Discount | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.71 % |
| IAG.PR.C | FixedReset | 1.67 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.38 Bid-YTW : 4.07 % |
| SLF.PR.B | Perpetual-Discount | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.71 % |
| HSB.PR.C | Perpetual-Discount | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 23.00 Evaluated at bid price : 23.20 Bid-YTW : 5.57 % |
| PWF.PR.E | Perpetual-Discount | 2.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 22.90 Evaluated at bid price : 24.00 Bid-YTW : 5.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.B | Perpetual-Discount | 53,690 | Nesbitt crossed 23,000 at 21.17. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 21.37 Evaluated at bid price : 21.37 Bid-YTW : 5.71 % |
| MFC.PR.C | Perpetual-Discount | 52,553 | Nesbitt crossed 28,600 at 20.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 5.63 % |
| ELF.PR.F | Perpetual-Discount | 51,053 | Desjardins crossed 46,300 at 19.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-08-17 Maturity Price : 19.40 Evaluated at bid price : 19.40 Bid-YTW : 6.93 % |
| BNS.PR.P | FixedReset | 46,750 | Nesbitt crossed 30,000 at 26.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.98 % |
| RY.PR.N | FixedReset | 34,940 | Nesbitt crossed 30,000 at 27.55. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 27.50 Bid-YTW : 3.86 % |
| GWO.PR.X | OpRet | 31,962 | TD bought 29,000 from Nesbitt at 26.88. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-10-30 Maturity Price : 26.00 Evaluated at bid price : 26.65 Bid-YTW : -4.65 % |
| There were 50 other index-included issues trading in excess of 10,000 shares. | |||