{"id":20932,"date":"2013-01-22T23:56:48","date_gmt":"2013-01-23T03:56:48","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=20932"},"modified":"2013-01-22T23:56:48","modified_gmt":"2013-01-23T03:56:48","slug":"january-22-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=20932","title":{"rendered":"January 22, 2013"},"content":{"rendered":"

Amy Butte, former chief financial officer of the New York Stock Exchange, writes an interesting piece on stock market technical complexity<\/a>:<\/p>\n

And why should the markets not be surprised by the latest evidence of trading running amok, such as the announcement earlier this month by BATS Global Markets Inc. that it made repeated, though minor, money-losing errors executing customer-trade orders? This isn\u2019t all that shocking after Knight Capital Group Inc. (KCG)\u2019s erroneous trades almost bankrupted the company, and Nasdaq OMX Group Inc.\u2019s mishandling of Facebook Inc.\u2019s initial public offering undermined the trust that investors have in the IPO process.<\/p>\n

The equation is really quite simple. Increased complexity, client concentration and demands for efficiency have led to something less than near-perfect reliability. Unless the industry is prepared to alter those inputs, we shouldn\u2019t be surprised to see glitches, violations and breakdowns soar in the years ahead.
…<\/b>
I remember the first software company I worked with. It had limited version control and just kept adding modules and features without a stable code base. The system, as it got bigger, eventually crashed.<\/p>\n

Complexity also applies to oversight. Each new equity-order type requires new training of regulators and new systems to monitor trading. The proliferation of order types, each designed to fulfill unique investment strategies, introduces additional rules and procedures.<\/p><\/blockquote>\n

I wonder if she was talking about dBase<\/a>? From what I understand, the programme was the poster-child for ‘spaghetti code’ by the time it fell from dominance.<\/p>\n

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets up 17bp and DeemedRetractibles down 4bp. Volatility was average. Volume was very extremely huge.<\/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>\n-0.2230 %<\/td>\n2,519.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.27 %<\/td>\n3.58 %<\/td>\n27,640<\/td>\n18.20<\/td>\n1<\/td>\n0.7699 %<\/td>\n3,809.1<\/td>\n<\/tr>\n
Floater<\/td>\n2.76 %<\/td>\n2.97 %<\/td>\n67,238<\/td>\n19.79<\/td>\n4<\/td>\n-0.2230 %<\/td>\n2,720.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n-1.42 %<\/td>\n54,169<\/td>\n0.36<\/td>\n4<\/td>\n-0.1907 %<\/td>\n2,593.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.58 %<\/td>\n4.53 %<\/td>\n43,704<\/td>\n4.31<\/td>\n2<\/td>\n-0.0796 %<\/td>\n2,907.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1907 %<\/td>\n2,371.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.25 %<\/td>\n0.07 %<\/td>\n77,476<\/td>\n0.11<\/td>\n30<\/td>\n-0.0153 %<\/td>\n2,347.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.84 %<\/td>\n4.87 %<\/td>\n135,760<\/td>\n15.68<\/td>\n4<\/td>\n0.0101 %<\/td>\n2,650.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.91 %<\/td>\n2.78 %<\/td>\n232,626<\/td>\n3.58<\/td>\n78<\/td>\n0.1701 %<\/td>\n2,483.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.88 %<\/td>\n3.09 %<\/td>\n122,656<\/td>\n0.34<\/td>\n45<\/td>\n-0.0375 %<\/td>\n2,427.4<\/td>\n<\/tr>\n<\/table>\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
TRI.PR.B<\/td>\nFloater<\/td>\n-2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-22
\nMaturity Price : 22.71
\nEvaluated at bid price : 22.95
\nBid-YTW : 2.27 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.71
\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.85
\nBid-YTW : 2.36 %<\/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
TD.PR.G<\/td>\nFixedReset<\/td>\n129,760<\/td>\nNesbitt crossed 33,000 at 26.25. RBC crossed 85,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.27
\nBid-YTW : 2.05 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n101,302<\/td>\nNesbitt crossed 50,000 at 24.70 and 29,600 at 24.72.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.65
\nBid-YTW : 3.01 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n59,514<\/td>\nNesbitt crossed 25,000 at 26.45; National crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-22
\nMaturity Price : 23.72
\nEvaluated at bid price : 26.43
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n57,245<\/td>\nScotia bought 14,000 from GMP at 25.19; Nesbitt sold 11,000 to TD and 10,900 to Scotia at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-01-22
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.17
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n54,768<\/td>\nScotia crossed 40,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.23
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nDeemed-Retractible<\/td>\n52,953<\/td>\nDesjardins crossed 25,000 at 25.50 and 22,800 at 25.53.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-02-21
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.53
\nBid-YTW : -0.48 %<\/td>\n<\/tr>\n
There were 76 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
BAM.PR.J<\/td>\nOpRet<\/td>\nQuote: 26.71 – 27.08
\nSpot Rate : 0.3700
\nAverage : 0.2512<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.71
\nBid-YTW : 3.11 %<\/td>\n<\/tr>\n

GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.21 – 25.48
\nSpot Rate : 0.2700
\nAverage : 0.1686<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset<\/td>\nQuote: 26.41 – 26.71
\nSpot Rate : 0.3000
\nAverage : 0.1987<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.49 – 26.85
\nSpot Rate : 0.3600
\nAverage : 0.2654<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.49
\nBid-YTW : 4.42 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 27.01 – 27.27
\nSpot Rate : 0.2600
\nAverage : 0.1890<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.01
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n

MFC.PR.H<\/td>\nFixedReset<\/td>\nQuote: 26.52 – 26.80
\nSpot Rate : 0.2800
\nAverage : 0.2142<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.52
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Amy Butte, former chief financial officer of the New York Stock Exchange, writes an interesting piece on stock market technical complexity: And why should the markets not be surprised by the latest evidence of trading …<\/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-20932","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20932","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=20932"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20932\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=20932"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=20932"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=20932"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}