{"id":14120,"date":"2011-02-16T23:30:28","date_gmt":"2011-02-17T03:30:28","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14120"},"modified":"2011-02-16T23:30:28","modified_gmt":"2011-02-17T03:30:28","slug":"february-16-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14120","title":{"rendered":"February 16, 2011"},"content":{"rendered":"<p>The Boston Fed <a href=\"http:\/\/www.bostonfed.org\/economic\/ResearchReview\/index.htm\">has released<\/a> its <a href=\"http:\/\/www.bostonfed.org\/economic\/ResearchReview\/issue14\/issue14.pdf\">2H10 Research Review<\/a>:<\/p>\n<ul>\n<li><b>Public Policy Discussion Papers<\/b>\n<ul>\n<li><i>Who Gains and Who Loses from Credit Card Payments? Theory and Calibrations<\/i>, Scott Schuh, Oz Shy, and Joanna Stavins\n<li><i>$1.25 Trillion Is Still Real Money: Some Facts about the Effects of the Federal Reserve\u2019s Mortgage Market Investments<\/i>, Andreas Fuster and Paul S. Willen\n<li><i>Reasonable People Did Disagree: Optimism and Pessimism about the U.S. Housing Market Before the Crash<\/i> Kristopher S. Gerardi, Christopher L. Foote, and Paul S. Willen (<a href=\"http:\/\/www.prefblog.com\/?p=11878\">discussed on PrefBlog<\/a>)\n<li><i>A Profile of the Mortgage Crisis in a Low-and-Moderate-Income Community<\/i>, Lynn M. Fisher, Lauren Lambie-Hanson, and Paul S. Willen<\/ul>\n<li><b>Working Papers<\/b>\n<ul>\n<li><i>In Search of Real Rigidities<\/i>, Gita Gopinath and Oleg Itskhoki\n<li><i>Strategic Choice of Preferences: The Persona Model<\/i>, David H. Wolpert, Julian C. Jamison, David Newth, and Michael Harre\n<li><i>Some Evidence on the Importance of Sticky Wages<\/i>, Alessandro Barattieri, Susanto Basu, and Peter Gottschalk\n<li><i>Imputing Household Spending in the Panel Study of Income Dynamics:<br \/>\nA Comparison of Approaches<\/i>, Daniel H. Cooper<\/p>\n<li><i>The Distress Premium Puzzle<\/i>, Ali K. Ozdagli\n<li><i>Characterizing the Amount and Speed of Discounting Procedures<\/i>, Dean T. Jamison and Julian C. Jamison\n<li><i>Internal Sources of Finance and the Great Recession<\/i>, Michelle L. Barnes and N. Aaron Pancost\n<li><i>Affective Decision Making: A Theory of Optimism Bias<\/i>, Anat Bracha and Donald J. Brown\n<li><i>The Financial Structure of Startup Firms: The Role of Asset, Information, and Entrepreneur Characteristics<\/i>, Paroma Sanyal and Catherine L. Mann<\/ul>\n<li><b>Public Policy Briefs<\/b>\n<ul>\n<li><i>Evidence of a Credit Crunch? Results from the 2010 Survey of First District Community Banks<\/i>, Jihye Jeon, Judit Montoriol-Garriga, Robert K. Triest, and J. Christina Wang<\/ul>\n<li><b>Multimedia<\/b>\n<ul>\n<li><i>The Great Recession (video)<\/i>, Christopher L. Foote<\/ul>\n<\/ul>\n<p>My discussion with Assiduous Reader <i>Drew<\/i> (in the comments to <a href=\"http:\/\/www.prefblog.com\/?p=14066\">February 11<\/a>) got me thinking about the propriety of allowing Exchanges to determine who gets listed. For instance, it is possible that this made sense long ago, when (I&#8217;m speculating) listing fees were a lower proportion of Exchnge revenue than they were now? Is it possible that the rationale behind the regulatory contracting-out of this gatekeeper function is now obsolete?<\/p>\n<p>I went looking for a chart showing proportions of Exchange revenue over time.<\/p>\n<p>I counldn&#8217;t find one, but it turns out &#8211; naturally enough &#8211; that this has not only been thought of before, but has been a big issue. Jonathan Macey and Maureen O\u2019Hara (who has been <a href=\"http:\/\/www.prefblog.com\/?p=12733\">mocked on PrefBlog<\/a>) wrote  paper titled <a href=\"http:\/\/www.yale.edu\/law\/leo\/052005\/papers\/ohara.pdf\">From Markets to Venues: Securities Regulation in an Evolving World<\/a>:<\/p>\n<blockquote><p>Few issues better reflect this divergence of interests than the listing and delisting of securities. Exchanges have traditionally used listing standards to support their \u201csignaling role\u201d of attesting to the quality of firms trading on the exchange. In return for this endorsement, listing firms paid both initial listing fees and continuing listing fees. These fees have been an important source of revenue for stock markets, particularly in the U.S where listing fees have often been upwards of 30% of the NYSE\u2019s overall revenues.<\/p>\n<p>When it was the case that where firms listed determined where shares traded, these fees could be justified as paying for the ongoing regulation of trading. As we have argued earlier, however, the listing-trading connection has broken down, and trading currently takes place on whichever venue provides the greatest liquidity. There is increased competition for listings. Listing fees now represent almost a fee for access to the US markets, a monopoly rent as it were to the few exchanges and venues empowered to list firms. From a purely economics perspective, since exchanges can list firms whose stocks they may not actually end up trading, the incentives are surely to list more firms than would be optimal if listing and trading were linked. Concerns over such perverse incentives were recently raised in Hong Kong, where a government appointed commission pushed for the transfer of the listing function to the regulator from the exchange arguing that \u201cAs a listed company motivated by profitability, the HKEx has a clear interest in listing as many companies as possible since listing fees represent a significant portion of revenues (18% in 2002) and there is a disincentive to allocate revenues to enforcement with is costly and produces no revenues.&#8221;<\/p><\/blockquote>\n<p>Which is my point exactly. A potential criticism of the TMX-LSE deal is that the TMX has regulatory functions and we might not want those to be under foreign control. But assuming that the functions need to be performed at all, should they be performed by the TMX in the first place? Would it be reasonable, for instance, to say &#8230; &#8220;OK, go ahead and merge &#8230;. on the condition that the Listing Authority gets spun out as a stand-alone company.&#8221; &#8230; ?<\/p>\n<blockquote><p>For the security market as a whole, however, listing and delisting standards play an important role by delineating the quality of firms allowed to access a country\u2019s capital markets. Restricting access or denying trading privileges is thus a public good in that it enhances the overall quality of the market. Entrusting this decision to self-regulating exchanges is suboptimal because as with any public good, the social costs exceed the private costs. As we have argued above, self-regulation cannot succeed when this is the case.<\/p><\/blockquote>\n<p>Vehemently disagree. This has the implicit view that capital markets are stupid and it is wise regulators who should decide who gets to take advantage of the suckers.<\/p>\n<p>It was another mixed day on the Canadian preferred share market,with PerpetualDiscounts losing 6bp while FixedRestes gained 3bp and DeemedRetractibles were up 6bp. Volatility remained low. but volume picked up and can be described as heavy.<\/p>\n<p>PerpetualDiscounts now yield 5.62%, equivalent to 7.87% interest at the standard equivalency factor of 1.4x. <a href=\"http:\/\/www.canadianbondindices.com\/ltbi.asp\">Long corporates<\/a> continue to yield 5.6%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 225bp, This marks a significant decline from the 240bp recorded <a href=\"http:\/\/www.prefblog.com\/?p=14048\">February 9<\/a>; it should be remembered that while the two figures mentioned are compable (with the caveate that there aren&#8217;t too many issuers in that index any more), they are less comparable &#8211; and a good comparison would require explicit assumptions of spreads between issuers, etc. &#8211; with all earlier data.<\/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>-0.0832 %<\/td>\n<td>2,398.5<\/td>\n<\/tr>\n<tr>\n<td>FixedFloater<\/td>\n<td>4.73 %<\/td>\n<td>3.44 %<\/td>\n<td>17,433<\/td>\n<td>19.13<\/td>\n<td>1<\/td>\n<td>0.8330 %<\/td>\n<td>3,600.1<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>2.50 %<\/td>\n<td>2.26 %<\/td>\n<td>48,724<\/td>\n<td>21.58<\/td>\n<td>4<\/td>\n<td>-0.0832 %<\/td>\n<td>2,589.7<\/td>\n<\/tr>\n<tr>\n<td>OpRet<\/td>\n<td>4.82 %<\/td>\n<td>3.52 %<\/td>\n<td>59,704<\/td>\n<td>2.22<\/td>\n<td>8<\/td>\n<td>-0.0096 %<\/td>\n<td>2,391.3<\/td>\n<\/tr>\n<tr>\n<td>SplitShare<\/td>\n<td>5.29 %<\/td>\n<td>0.89 %<\/td>\n<td>280,639<\/td>\n<td>0.81<\/td>\n<td>4<\/td>\n<td>0.2703 %<\/td>\n<td>2,469.6<\/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>-0.0096 %<\/td>\n<td>2,186.6<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.75 %<\/td>\n<td>5.64 %<\/td>\n<td>117,770<\/td>\n<td>1.22<\/td>\n<td>9<\/td>\n<td>-0.1344 %<\/td>\n<td>2,032.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.55 %<\/td>\n<td>5.62 %<\/td>\n<td>130,626<\/td>\n<td>14.41<\/td>\n<td>15<\/td>\n<td>-0.0622 %<\/td>\n<td>2,109.3<\/td>\n<\/tr>\n<tr>\n<td>FixedReset<\/td>\n<td>5.24 %<\/td>\n<td>3.74 %<\/td>\n<td>180,359<\/td>\n<td>3.03<\/td>\n<td>54<\/td>\n<td>0.0302 %<\/td>\n<td>2,262.3<\/td>\n<\/tr>\n<tr>\n<td>Deemed-Retractible<\/td>\n<td>5.19 %<\/td>\n<td>5.22 %<\/td>\n<td>400,665<\/td>\n<td>8.26<\/td>\n<td>53<\/td>\n<td>0.0566 %<\/td>\n<td>2,086.3<\/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>BAM.PR.N<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.26 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-02-16<br \/>\nMaturity Price  : 21.10<br \/>\nEvaluated at bid price : 21.10<br \/>\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n<tr>\n<td>FTS.PR.F<\/td>\n<td>Perpetual-Discount<\/td>\n<td>-1.11 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-02-16<br \/>\nMaturity Price  : 22.90<br \/>\nEvaluated at bid price : 23.09<br \/>\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.A<\/td>\n<td>Perpetual-Premium<\/td>\n<td>-1.03 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-03-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.00<br \/>\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.H<\/td>\n<td>Deemed-Retractible<\/td>\n<td>1.32 %<\/td>\n<td>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.81<br \/>\nBid-YTW : 5.55 %<\/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>BAM.PR.B<\/td>\n<td>Floater<\/td>\n<td>58,145<\/td>\n<td>TD bought 18,500 from Nesbitt at 19.00; anonymous bought 25,000 from Desjardins at the same price.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-02-16<br \/>\nMaturity Price  : 18.99<br \/>\nEvaluated at bid price : 18.99<br \/>\nBid-YTW : 2.78 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.R<\/td>\n<td>FixedReset<\/td>\n<td>52,425<\/td>\n<td>TD crossed 20,000 at 26.11. Desjardins crossed blocks of 15,000 and 10,000, both at 26.09.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-02-25<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.07<br \/>\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.P<\/td>\n<td>FixedReset<\/td>\n<td>50,540<\/td>\n<td>Scotia crossed 40,000 at 27.34.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-03-17<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.36<br \/>\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n<tr>\n<td>BMO.PR.J<\/td>\n<td>Deemed-Retractible<\/td>\n<td>48,079<\/td>\n<td>Desjardins crossed 27,800 at 23.81.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.80<br \/>\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n<tr>\n<td>NA.PR.O<\/td>\n<td>FixedReset<\/td>\n<td>46,659<\/td>\n<td>Scotia crossed 40,600 at 27.33.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-03-17<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 27.34<br \/>\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n<tr>\n<td>CM.PR.J<\/td>\n<td>Deemed-Retractible<\/td>\n<td>44,564<\/td>\n<td>TD crossed 29,500 at 23.80.<br \/>\nYTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 23.75<br \/>\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n<tr>\n<td colspan='4'>There were 49 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n<table border='1'>\n<tr>\n<td colspan='3'><strong>Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Quote Data and Yield Notes<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.A<\/td>\n<td>Floater<\/td>\n<td>Quote: 23.20 &#8211; 23.74<br \/>\nSpot Rate  :  0.5400<br \/>\nAverage  :  0.3593<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Limit Maturity<br \/>\nMaturity Date\t: 2041-02-16<br \/>\nMaturity Price  : 22.93<br \/>\nEvaluated at bid price : 23.20<br \/>\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n<tr>\n<td>CU.PR.A<\/td>\n<td>Perpetual-Premium<\/td>\n<td>Quote: 25.00 &#8211; 25.40<br \/>\nSpot Rate  :  0.4000<br \/>\nAverage  :  0.2403<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2012-03-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.00<br \/>\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n<tr>\n<td>BNS.PR.Z<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 24.30 &#8211; 24.80<br \/>\nSpot Rate  :  0.5000<br \/>\nAverage  :  0.4034<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 24.30<br \/>\nBid-YTW : 4.26 %<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.L<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 25.01 &#8211; 25.35<br \/>\nSpot Rate  :  0.3400<br \/>\nAverage  :  0.2540<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 25.01<br \/>\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.X<\/td>\n<td>FixedReset<\/td>\n<td>Quote: 26.90 &#8211; 27.14<br \/>\nSpot Rate  :  0.2400<br \/>\nAverage  :  0.1580<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Call<br \/>\nMaturity Date\t: 2014-09-23<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 26.90<br \/>\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n<tr>\n<td>ELF.PR.F<\/td>\n<td>Deemed-Retractible<\/td>\n<td>Quote: 22.50 &#8211; 22.75<br \/>\nSpot Rate  :  0.2500<br \/>\nAverage  :  0.1874<\/p>\n<p>YTW SCENARIO<br \/>\nMaturity Type   : Hard Maturity<br \/>\nMaturity Date\t: 2022-01-31<br \/>\nMaturity Price  : 25.00<br \/>\nEvaluated at bid price : 22.50<br \/>\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"<p>The Boston Fed has released its 2H10 Research Review: Public Policy Discussion Papers Who Gains and Who Loses from Credit Card Payments? Theory and Calibrations, Scott Schuh, Oz Shy, and Joanna Stavins $1.25 Trillion Is &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-14120","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14120","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=14120"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14120\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14120"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14120"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14120"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}