{"id":12212,"date":"2010-09-14T23:23:40","date_gmt":"2010-09-15T03:23:40","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12212"},"modified":"2010-09-14T23:23:40","modified_gmt":"2010-09-15T03:23:40","slug":"september-14-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12212","title":{"rendered":"September 14, 2010"},"content":{"rendered":"<p>The Treasury Market Practices Group has updated its <a href=\"http:\/\/newyorkfed.org\/tmpg\/bestpractice_09142010.pdf\">Best Practices Guidelines<\/a>. The TMPG is <a href=\"http:\/\/www.newyorkfed.org\/tmpg\/tmpg_033010.pdf\">a relatively recent creation<\/a>:<\/p>\n<blockquote><p>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\u2019s membership composition will likely evolve over time to ensure robust support of the group\u2019s efforts across the Treasury, agency debt, and agency MBS markets.<\/p><\/blockquote>\n<p>Sure, a private-sector group. When push comes to shove, which dealer in Treasuries is going to piss off the New York Fed?<\/p>\n<p>One of the &#8220;best practices&#8221; is highly peculiar and likely to be counter-productive:<\/p>\n<blockquote><p>Market participants should be responsible in quoting prices and should promote overall price transparency in the interdealer brokers\u2019 market.<\/p>\n<ul>\n<li>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.\n<li>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.<\/ul>\n<\/blockquote>\n<p>Ludicrous. Remember, kiddies, bond trading is a cooperative game. It&#8217;s not about winning, it&#8217;s about being good citizens.<\/p>\n<p><a href=\"http:\/\/www.bloomberg.com\/news\/2010-09-14\/ibm-s-sam-palmisano-says-policy-of-retirement-at-60-isn-t-cast-in-stone-.html\">Not sure what to make of this<\/a>:<\/p>\n<blockquote><p>International Business Machines Corp. Chief Executive Officer Sam Palmisano, who will turn 60 next year, said the practice of the company\u2019s CEOs retiring from the position at that age isn\u2019t \u201ccast in stone.\u201d <\/p><\/blockquote>\n<p>Ain&#8217;t nuthin&#8217; cast in stone. You can carve things in stone and you can cast them in iron, but I&#8217;ve never heard of casting stone.<\/p>\n<p>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%&#8230;<\/p>\n<p>MFC.PR.A continues to trade heavily, at about even yield with the recent bond issue.<\/p>\n<table border='1'>\n<tr>\n<td colspan='8'><strong>HIMIPref&trade; Preferred Indices<br \/>These values reflect the December 2008 revision of the HIMIPref&trade; Indices<\/strong><br \/>Values are provisional and are finalized monthly<\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean<br \/>Current<br \/>Yield<br \/>(at bid)<\/td>\n<td>Median<br \/>YTW<\/td>\n<td>Median<br \/>Average<br \/>Trading<br \/>Value<\/td>\n<td>Median<br \/>Mod Dur<br \/>(YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1492 %<\/td>\n<td>2,082.2<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>0.1492 %<\/td>\n<td>3,154.2<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.93 %<\/td>\n<td>3.43 %<\/td>\n<td>64,397<\/td>\n<td>18.70<\/td>\n<td>3<\/td>\n<td>0.1492 %<\/td>\n<td>2,248.2<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.87 %<\/td>\n<td>0.56 %<\/td>\n<td>90,335<\/td>\n<td>0.21<\/td>\n<td>9<\/td>\n<td>-0.0299 %<\/td>\n<td>2,378.9<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.95 %<\/td>\n<td>-34.10 %<\/td>\n<td>64,330<\/td>\n<td>0.09<\/td>\n<td>2<\/td>\n<td>0.0000 %<\/td>\n<td>2,364.6<\/td>\n<\/tr>\n<tr>\n<td>Interest-Bearing<\/td>\n<td>0.00 %<\/td>\n<td>0.00 %<\/td>\n<td>0<\/td>\n<td>0.00<\/td>\n<td>0<\/td>\n<td>-0.0299 %<\/td>\n<td>2,175.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.72 %<\/td>\n<td>5.43 %<\/td>\n<td>127,499<\/td>\n<td>5.36<\/td>\n<td>14<\/td>\n<td>-0.1122 %<\/td>\n<td>1,979.5<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.58 %<\/td>\n<td>5.67 %<\/td>\n<td>191,243<\/td>\n<td>14.38<\/td>\n<td>63<\/td>\n<td>0.2371 %<\/td>\n<td>1,948.7<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.25 %<\/td>\n<td>3.05 %<\/td>\n<td>279,037<\/td>\n<td>3.31<\/td>\n<td>47<\/td>\n<td>0.0874 %<\/td>\n<td>2,266.3<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Performance Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.K<\/td>\n<td>Perpetual-Premium<\/td>\n<td>-1.56 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-06-14<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.30<br \/>\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.I<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.00 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 20.14<br \/>\nEvaluated at bid price : 20.14<br \/>\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.H<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.18 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 21.40<br \/>\nEvaluated at bid price : 21.40<br \/>\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n<tr>\n<td>IAG.PR.A<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.19 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 20.45<br \/>\nEvaluated at bid price : 20.45<br \/>\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n<tr>\n<td>ELF.PR.G<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.24 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 20.40<br \/>\nEvaluated at bid price : 20.40<br \/>\nBid-YTW : 5.93 %<\/td>\n<\/tr>\n<tr>\n<td>SLF.PR.D<\/td>\n<td>Perpetual-Discount<\/td>\n<td>1.28 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 19.71<br \/>\nEvaluated at bid price : 19.71<br \/>\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='4'><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Shares<br \/>Traded<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.A<\/td>\n<td>OpRet<\/td>\n<td>103,656<\/td>\n<td>RBC crossed 17.700 at 25.00. Nesbitt crossed blocks of 19,100 and 45,000, both at 25.01.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Soft Maturity<br \/>\nMaturity Date\t: 2015-12-18<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.10<br \/>\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n<tr>\n<td>POW.PR.B<\/td>\n<td>Perpetual-Discount<\/td>\n<td>97,816<\/td>\n<td>RBC crossed 91,200 at 23.37.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 23.09<br \/>\nEvaluated at bid price : 23.36<br \/>\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n<tr>\n<td>TD.PR.G<\/td>\n<td>FixedReset<\/td>\n<td>90,443<\/td>\n<td>RBC crossed 25,000 at 28.15. Desjardins crossed 26,200 at 28.15 and 28,800 at 28.18.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-05-30<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.14<br \/>\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.I<\/td>\n<td>FixedReset<\/td>\n<td>79,773<\/td>\n<td>TD crossed 15,000 at 26.67 and 59,900 at 26.70.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-03-26<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.61<br \/>\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.D<\/td>\n<td>Perpetual-Discount<\/td>\n<td>67,875<\/td>\n<td>TD crossed 51,500 at 21.56.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2040-09-14<br \/>\nMaturity Price  : 21.49<br \/>\nEvaluated at bid price : 21.49<br \/>\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>56,978<\/td>\n<td>TD crossed blocks of 15,000 and 20,000, both at 28.06.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 28.05<br \/>\nBid-YTW : 3.14 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 48 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>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 &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-12212","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12212","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=12212"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12212\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12212"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12212"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12212"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}