{"id":12862,"date":"2010-11-05T18:47:17","date_gmt":"2010-11-05T22:47:17","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12862"},"modified":"2010-11-05T18:47:17","modified_gmt":"2010-11-05T22:47:17","slug":"november-5-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12862","title":{"rendered":"November 5, 2010"},"content":{"rendered":"

Gregg Berman of the SEC<\/a> has contradicted Nanex<\/a>:<\/p>\n

There is no indication thus far that \u201cone or more parties flooded the market with quotes\u201d to cause delays in exchange feeds that list stock prices,Gregg Berman, a senior adviser to the SEC\u2019s trading and markets division, said today at a Washington meeting to discuss the May 6 plunge.<\/p>\n

Berman\u2019s comments were at odds with speculation by Nanex LLC, a market-data provider, which said high-frequency traders destabilized New York Stock Exchange trading by submitting and then canceling thousands of rapid-fire orders.<\/p><\/blockquote>\n

OK, Mr. Berman, you say there’s no evidence that there was quote-stuffing to destabilize the markets. Fair enough. But (a) do you agree that a very high volume of orders led to delays in the tape? and (b) If so, what is your explanation?<\/p>\n

And, of course, the booHooHoo brigade is fighting for the rights of twerps from good schools to make a fat living:<\/p>\n

Brooksley Born, a former CFTC chairman serving on the panel advising the agencies, said investor confidence has been eroded by concerns that high-frequency traders have better access to markets and information.<\/p>\n

Born said she sees \u201cmajor problems\u201d with the level of order cancellations by high-frequency traders. She said she\u2019s worried that some firms submit \u201cfraudulent\u201d quotes to get a sense of where asset prices are heading.
…<\/b>
Regulators should consider placing restrictions on algorithmic transactions and limiting how many contracts a single firm can trade, said CFTC Commissioner Bart Chilton. Permitting high-frequency traders to buy and sell 10 percent of a market 10 times in 10 seconds doesn\u2019t seem to provide any benefit to financial markets, he said.<\/p>\n

\u201cIt seems there is a good argument that this type of trading is, in essence, parasitical trading,\u201d Chilton said. \u201cGiven what we saw on May 6th, appropriate limits on financial futures and robotic algos seems warranted.\u201d<\/p><\/blockquote>\n

Um … why should you care whether any benefit is provided to financial markets? Isn’t your job to ensure there is no harm done to the financial markets? It’s a totally different mind-set. It’s too bad Chilton didn’t let the rest of us know what the “good argument” is. And by the way, Ms. Born, in what way are the quotes submitted “fraudulent”?<\/p>\n

One semi-legitimate worry is the idea that momentum trading causes negative convexity:<\/p>\n

Robert Cook, director of the SEC\u2019s trading and markets unit, said regulators are examining how brokers and other firms create algorithms, how they test the computer programs and what information is disclosed to customers about how they work. An SEC task force began looking at algorithm use before the crash, and it is an area of \u201cfurther inquiry,\u201d Cook said.<\/p>\n

Regulators are also examining whether a firm\u2019s algorithm could \u201ccascade,\u201d causing executions to affect market prices in ways that trigger further action by the computerized-trading system, said Andrei Kirilenko, a senior economist at the CFTC.<\/p><\/blockquote>\n

… but frankly I don’t see how that becomes an SEC problem. The Nanex critique of the SEC report has been discussed on PrefBlog<\/a>.<\/p>\n

It was another hot day on heavy volume for the Canadian preferred share market, with PerpetualDiscounts gaining 24bp and FixedResets up 3bp.<\/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>\n0.2961 %<\/td>\n2,208.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.89 %<\/td>\n3.48 %<\/td>\n25,289<\/td>\n19.22<\/td>\n1<\/td>\n1.2762 %<\/td>\n3,436.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.70 %<\/td>\n2.37 %<\/td>\n57,000<\/td>\n21.32<\/td>\n4<\/td>\n0.2961 %<\/td>\n2,384.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.79 %<\/td>\n2.85 %<\/td>\n81,355<\/td>\n1.88<\/td>\n9<\/td>\n-0.0297 %<\/td>\n2,392.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.84 %<\/td>\n-13.63 %<\/td>\n66,403<\/td>\n0.09<\/td>\n2<\/td>\n0.1614 %<\/td>\n2,410.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0297 %<\/td>\n2,187.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n5.03 %<\/td>\n166,311<\/td>\n3.09<\/td>\n24<\/td>\n0.1132 %<\/td>\n2,025.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.32 %<\/td>\n5.34 %<\/td>\n258,068<\/td>\n14.87<\/td>\n53<\/td>\n0.2447 %<\/td>\n2,048.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.19 %<\/td>\n2.86 %<\/td>\n340,951<\/td>\n3.22<\/td>\n50<\/td>\n0.0272 %<\/td>\n2,293.3<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-12-05
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.52
\nBid-YTW : -32.90 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 21.97
\nEvaluated at bid price : 22.35
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.22
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetual-Discount<\/td>\n2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 22.62
\nEvaluated at bid price : 22.81
\nBid-YTW : 5.32 %<\/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.P<\/td>\nFixedReset<\/td>\n224,830<\/td>\nNesbitt crossed blocks of 112,700 and 100,000, both at 26.59.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.59
\nBid-YTW : 2.37 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n104,625<\/td>\nTD crossed 97,700 at 26.62.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.65
\nBid-YTW : 2.79 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n65,456<\/td>\nNesbitt crossed two blocks of 25,000 each, both at 21.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 21.01
\nEvaluated at bid price : 21.01
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n65,435<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 23.09
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n50,784<\/td>\nTD crossed 25,000 at 21.41.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 21.35
\nEvaluated at bid price : 21.35
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n46,345<\/td>\nTD crossed 25,000 at 24.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-05
\nMaturity Price : 24.58
\nEvaluated at bid price : 24.82
\nBid-YTW : 5.29 %<\/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":"

Gregg Berman of the SEC has contradicted Nanex: There is no indication thus far that \u201cone or more parties flooded the market with quotes\u201d to cause delays in exchange feeds that list stock prices,Gregg Berman, …<\/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-12862","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12862","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=12862"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12862\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12862"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12862"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12862"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}