{"id":17786,"date":"2012-02-08T21:37:43","date_gmt":"2012-02-09T01:37:43","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17786"},"modified":"2012-02-08T21:37:43","modified_gmt":"2012-02-09T01:37:43","slug":"february-8-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17786","title":{"rendered":"February 8, 2012"},"content":{"rendered":"

ITG claims that high frequency trading in Canada is becoming less frequent<\/a>:<\/p>\n

“This quarter’s analysis of message traffic data reveals changes in trading behaviour that may signal the begginings of a new regime,” ITG’s analysts wrote. “Improvements in our metric for the quality of order flow, combined with a decline in fleeting orders points to a structural change amongst HFT participants.”<\/p>\n

Why are HFTs backing away? Money.<\/p>\n

Study author Doug Clark, a managing director at ITG, said that other markets are showing similar trends. That suggests that the business of high-frequency trading is so competitive that some players weren’t making money.<\/p>\n

Also, brokerage houses are doing a better job of offering clients algorithms and routers that handle trading in ways that combat high frequency traders and cut their profits.<\/p><\/blockquote>\n

Zerohedge continues to whine about HFT<\/a>. Institutional Investor breathlessly tells us of how some “real money” investors’ agents have attempted to remain competitive by the unheard of strategy of getting better at their jobs<\/a>:<\/p>\n

The electronic-trading team at RBC decided to fight back against the problem of \u201cphantom\u201d or \u201cdisappearing liquidity,\u201d which they blamed on a subset of high frequency traders using \u201cpredatory\u201d tactics. That is how they came up with THOR, a system to help clients such as institutional money managers combat predatory HFT strategies and complete trades at the desired price.<\/p>\n

The system has been in use for a year, and Steiner says it has greatly improved liquidity for RBC and its clients \u2014 allowing them to execute orders at the desired price.<\/p><\/blockquote>\n

The real reason behind the fashionability of deprecating HFT can be found in the recent IIAC publication Securities Industry Performance 11Q3<\/a>:<\/p>\n

Even though trading revenue only accounts for about 10% of overall revenue, the severe collapse in net trading revenue of nearly 50% in the year, reflecting substantial losses for equity market-makers, put a significant dent in overall earnings.<\/p><\/blockquote>\n

The industry’s prop-traders are having their lunch eaten by HFT practitioners who didn’t even go to the right schools! The horror!<\/p>\n

Lucas van Praag, world’s greatest corporate spokesman<\/a>, is leaving Goldman Sachs<\/a>:<\/p>\n

Lucas van Praag, who became one of the public faces of the U.S. financial industry as Goldman Sachs Group Inc.\u2019s global head of corporate communications, is leaving the firm after 12 years.<\/p>\n

Van Praag, a 62-year-old British citizen, will retire at the end of March and continue to provide strategic advice as a consultant to the company, according to an internal memo signed by Chief Executive Officer Lloyd C. Blankfein and President Gary D. Cohn. The memo\u2019s contents were confirmed by Michael DuVally, a spokesman. Van Praag was promoted to partner, the highest rank in the New York-based company, in 2006.<\/p><\/blockquote>\n

The Canadian preferred share market resumed its winning ways today, with PerpetualPremiums winning 18bp, FixedResets gaining 9bp and DeemedRetractibles up 18bp. Volatility was good and highly skewed to the upside, with SLF notable among the winners. Volume was average.<\/p>\n

PerpetualDiscounts (those few that are left; only four issues from two issuers) now yield 4.80%, equivalent to 6.24% interest at the standard 1.3x equivalency factor. Long corporates<\/a> now yield a hair under 4.6%, so the pre-tax interest equivalent spread is now about 165bp, a sharp decline from the 190bp reported on February 1<\/a>.<\/p>\n\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>\n0.3490 %<\/td>\n2,437.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.52 %<\/td>\n3.88 %<\/td>\n40,123<\/td>\n17.53<\/td>\n1<\/td>\n1.2048 %<\/td>\n3,447.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.74 %<\/td>\n2.96 %<\/td>\n61,095<\/td>\n19.80<\/td>\n3<\/td>\n0.3490 %<\/td>\n2,632.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n-1.35 %<\/td>\n68,310<\/td>\n1.27<\/td>\n6<\/td>\n0.0818 %<\/td>\n2,531.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.29 %<\/td>\n-0.29 %<\/td>\n80,436<\/td>\n0.84<\/td>\n4<\/td>\n-0.1396 %<\/td>\n2,644.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0818 %<\/td>\n2,314.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.30 %<\/td>\n-9.32 %<\/td>\n108,483<\/td>\n0.09<\/td>\n26<\/td>\n0.1840 %<\/td>\n2,232.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.02 %<\/td>\n4.80 %<\/td>\n194,744<\/td>\n15.75<\/td>\n4<\/td>\n0.2782 %<\/td>\n2,462.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.00 %<\/td>\n2.56 %<\/td>\n214,256<\/td>\n2.30<\/td>\n65<\/td>\n0.0885 %<\/td>\n2,400.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.86 %<\/td>\n2.03 %<\/td>\n223,536<\/td>\n1.03<\/td>\n45<\/td>\n0.1828 %<\/td>\n2,333.1<\/td>\n<\/tr>\n<\/table>\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
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-08
\nMaturity Price : 23.94
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.74
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-08
\nMaturity Price : 21.81
\nEvaluated at bid price : 21.00
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-08
\nMaturity Price : 24.65
\nEvaluated at bid price : 24.95
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Premium<\/td>\n1.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.50
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.88
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 2.62 %<\/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.Z<\/td>\nFixedReset<\/td>\n243,630<\/td>\nNesbitt crossed 140,000; RBC crossed 50,000; and TD crossed 30,200; all at 25.15.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n104,416<\/td>\nRBC crossed 49,900 and TD crossed 48,200, both at 27.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.43
\nBid-YTW : 2.52 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nDeemed-Retractible<\/td>\n81,000<\/td>\nTD crossed 25,000 and bought two blocks of 10,000 each from RBC, all at 26.10; RBC crossed blocks of 13,900 and 16,300 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-09
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.09
\nBid-YTW : -2.13 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n59,407<\/td>\nTD crossed 49,900 at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.02
\nBid-YTW : 2.56 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n58,821<\/td>\nDesjardins bought 30,000 from anonymous at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.08
\nBid-YTW : 2.61 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n53,109<\/td>\nRBC crossed 47,300 at 27.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.17
\nBid-YTW : 2.29 %<\/td>\n<\/tr>\n
There were 32 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.50 – 24.97
\nSpot Rate : 0.4700
\nAverage : 0.3361<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-08
\nMaturity Price : 23.94
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.44 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.17 – 52.50
\nSpot Rate : 0.3300
\nAverage : 0.2309<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.17
\nBid-YTW : 3.03 %<\/td>\n<\/tr>\n

TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.30 – 52.54
\nSpot Rate : 0.2400
\nAverage : 0.1862<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.30
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n

ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.45 – 26.64
\nSpot Rate : 0.1900
\nAverage : 0.1365<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-09
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.45
\nBid-YTW : -44.83 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.68 – 25.90
\nSpot Rate : 0.2200
\nAverage : 0.1696<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.68
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n

TD.PR.S<\/td>\nFixedReset<\/td>\nQuote: 25.96 – 26.10
\nSpot Rate : 0.1400
\nAverage : 0.0902<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.96
\nBid-YTW : 2.43 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

ITG claims that high frequency trading in Canada is becoming less frequent: “This quarter’s analysis of message traffic data reveals changes in trading behaviour that may signal the begginings of a new regime,” ITG’s analysts …<\/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-17786","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17786","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=17786"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17786\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17786"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17786"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17786"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}