{"id":12799,"date":"2010-11-03T21:03:09","date_gmt":"2010-11-04T01:03:09","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12799"},"modified":"2010-11-03T21:03:09","modified_gmt":"2010-11-04T01:03:09","slug":"november-3-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12799","title":{"rendered":"November 3, 2010"},"content":{"rendered":"

Naked access has been banned<\/a>:<\/p>\n

SEC commissioners voted 5-0 today to approve a rule that requires brokers to implement pre-trade risk controls when clients use the firms\u2019 identification codes to trade directly on exchanges. Agency officials proposed the regulation in January, saying they were concerned that a computer malfunction or human error might trigger an order that would erode a broker\u2019s capital.<\/p>\n

The SEC rule targets so-called naked-sponsored access, in which a customer uses a broker\u2019s identification code while bypassing pre-trade risk controls. The tactic is used by traders whose strategy of buying and selling thousands of shares in milliseconds would be slowed if they executed through a broker.<\/p><\/blockquote>\n

I would have thought that the potential for erosion of the brokers’ capital was the brokers’ problem. But nowadays, I guess, everything is a public utility.<\/p>\n

The FOMC statement<\/a> was pretty much as expected:<\/p>\n

Employers remain reluctant to add to payrolls. Housing starts continue to be depressed. Longer-term inflation expectations have remained stable, but measures of underlying inflation have trended lower in recent quarters.
…<\/b>
To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to expand its holdings of securities. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase a further $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month. The Committee will regularly review the pace of its securities purchases and the overall size of the asset-purchase program in light of incoming information and will adjust the program as needed to best foster maximum employment and price stability.
…<\/b>
Voting against the policy was Thomas M. Hoenig. Mr. Hoenig believed the risks of additional securities purchases outweighed the benefits. Mr. Hoenig also was concerned that this continued high level of monetary accommodation increased the risks of future financial imbalances and, over time, would cause an increase in long-term inflation expectations that could destabilize the economy.<\/p><\/blockquote>\n

The FRBNY gave details of the implementation<\/a>; it should be noted that they are also reinvesting principal repayments received from their mortgage portfolio. However, the market was unimpressed<\/a> by the term-structure of the proposed purchases:<\/p>\n

Treasury 30-year bond fell the most in two months after the Federal Reserve said it will buy fewer of the securities than anticipated by investors in its $600 billion program of purchases to boost the economy.<\/p>\n

The difference between rates on 30-year bonds and Treasury Inflation Protected Securities touched the highest since May 2008 on concern the Fed will be successful in reigniting inflation.
…<\/b>
\u201cThe yield curve should start to steepen because the Fed will focus on 5- to 6- years,\u201d said William Larkin, a fixed income portfolio manager in Salem, Massachusetts at Cabot Money Management, which manages $500 million. \u201cThe risk once they finish is that inflation will be elevated. There\u2019s a good chance we\u2019ll be rip-roaring in terms of growth and inflation.\u201d<\/p>\n

Thirty-year bond yields rose 13 basis points to yield 4.06 percent at 4:02 p.m. in New York, the biggest rise since Sept. 9. The 3.875 percent bonds due in August 2040 rose [sic – I think they meant “declined” – JH]<\/i> 2 8\/32, or $22.50 per $1,000, to 96 26\/32.
…<\/b>
The difference between rates on 30-year bonds and Treasury Inflation Protected Securities, touched 2.74 percent, the highest since May 2008 when the financial crisis was intensifying.<\/p><\/blockquote>\n

The Potash takeover has been blocked<\/a>; apparently if Canadians are allowed sell their (minority) position in the company at a good price, we’re too damn stupid to reinvest the money and will just waste it on beer and prostitutes. I eagerly await the next sermon on productivity.<\/p>\n

Today’s most surprising news is that Premier Dad has done something intelligent<\/a>:<\/p>\n

Premier Dalton McGuinty announced Wednesday that 75 PhD students will receive full four-year scholarships, each worth $40,000 annually, starting in the 2011-12 school years. The program is billed as the first of its kind in Canada.<\/p><\/blockquote>\n

It remains to be seen just what fields of study will be emphasized.<\/p>\n

The Canadian preferred share market had another good day, with both PerpetualDiscounts and FixedResets up 20bp, on continued high volume (Desjardins had a good day!). This is getting really dull. Remember the good old days of the Panic of 2007, when you read this blog just to find out how much money you’d lost? And it took half an hour just to scan the Performance Highlights table? That was fund. FixedResets set a new all-time yield low … I’ll post about it in a while.<\/p>\n

PerpetualDiscounts now yield 5.37%, equivalent to 7.52% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield 5.2% (OK, a little over. Sue me) so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 230bp, a slight (and perhaps meaningless) tightening from the 235bp reported on October 29<\/a>.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3739 %<\/td>\n2,207.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.94 %<\/td>\n3.52 %<\/td>\n26,120<\/td>\n19.18<\/td>\n1<\/td>\n1.1494 %<\/td>\n3,402.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.70 %<\/td>\n2.37 %<\/td>\n56,997<\/td>\n21.33<\/td>\n4<\/td>\n0.3739 %<\/td>\n2,383.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.80 %<\/td>\n3.31 %<\/td>\n79,275<\/td>\n1.88<\/td>\n9<\/td>\n-0.0467 %<\/td>\n2,387.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.86 %<\/td>\n-14.48 %<\/td>\n65,974<\/td>\n0.09<\/td>\n2<\/td>\n0.4056 %<\/td>\n2,403.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0467 %<\/td>\n2,183.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.63 %<\/td>\n5.12 %<\/td>\n160,469<\/td>\n3.09<\/td>\n24<\/td>\n0.0530 %<\/td>\n2,021.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.35 %<\/td>\n5.37 %<\/td>\n257,574<\/td>\n14.80<\/td>\n53<\/td>\n0.2031 %<\/td>\n2,039.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.20 %<\/td>\n2.88 %<\/td>\n344,769<\/td>\n3.23<\/td>\n50<\/td>\n0.2047 %<\/td>\n2,289.4<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.08
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 24.21
\nEvaluated at bid price : 24.44
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.75
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.91
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 20.51
\nEvaluated at bid price : 20.51
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 20.50
\nEvaluated at bid price : 20.50
\nBid-YTW : 5.85 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n176,198<\/td>\nDesjardins crossed blocks of 76,200 and 86,700, both at 24.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 23.73
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.02 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetual-Premium<\/td>\n120,060<\/td>\nDesjardins crossed blocks of 69,000 shares, 32,900 and 11,800, all at 25.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetual-Premium<\/td>\n94,780<\/td>\nDesjardins crossed blocks of 25,000 and 68,400, both at 25.26.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-11-28
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n85,594<\/td>\nRBC crossed blocks of 50,000 and 22,800, both at 20.69.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 20.83
\nEvaluated at bid price : 20.83
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n81,735<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-03
\nMaturity Price : 23.07
\nEvaluated at bid price : 24.92
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Premium<\/td>\n64,960<\/td>\nDesjardins crossed 56,700 at 26.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.02
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
There were 54 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Naked access has been banned: SEC commissioners voted 5-0 today to approve a rule that requires brokers to implement pre-trade risk controls when clients use the firms\u2019 identification codes to trade directly on exchanges. Agency …<\/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-12799","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12799","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=12799"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12799\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12799"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12799"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12799"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}