{"id":23480,"date":"2013-10-28T21:10:48","date_gmt":"2013-10-29T01:10:48","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=23480"},"modified":"2013-10-28T21:10:48","modified_gmt":"2013-10-29T01:10:48","slug":"october-28-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=23480","title":{"rendered":"October 28, 2013"},"content":{"rendered":"

Singapore is is seeking to encourage HFT<\/a>:<\/p>\n

Singapore Exchange Ltd. (SGX), Southeast Asia\u2019s biggest bourse operator, wants to lure more high-speed traders onto its stock market as it grapples with lower volume.<\/p>\n

Computerized trading firms, which execute transactions in fractions of a second, account for a negligible share of volume on Singapore Exchange\u2019s cash equities market, according to bourse spokeswoman Loh Wei Ling, while they contribute 30 percent of revenue from derivatives. Singapore Exchange will seek to change that once it introduces safeguards, Chief Executive Officer Magnus Bocker said at a briefing this month.<\/p>\n

\u201cWe will pursue high-frequency trading once we have circuit breakers and other policies in place,\u201d he said. \u201cThat will enhance the liquidity and quality of the Singapore market.\u201d<\/p><\/blockquote>\n

It’s nice to know that they’re not beholden to the Old Boys Club.<\/p>\n

I understand that the SplitShare new issue, Prime US Banking Sector Split Corp. discussed on October 2<\/a>, has been withdrawn. However, there is no confirmation of this as yet on the Quadravest website<\/a>, the fund’s website<\/a> or SEDAR<\/a>. It’s a shame – new issues of this nature that get so far can cost the sponsor a great deal of money.<\/p>\n

A gushing article about Raymond James brokerage<\/a> makes a good point about the effects of bank regulation in Canada:<\/p>\n

For instance, Raymond is looking to expand its corporate lending arm after acquiring the Canadian assets of Allied Irish Banks in 2011, and lending spreads are much more attractive here because there is less competition for loans. South of the border, everyone from banks to shadow banks to hedge funds are willing to lend money, and that hurts loan margins and covenant quality.<\/p><\/blockquote>\n

The Bank of Canada is very frightened of shadow banking<\/a>, as are other regulators who want to work for banks eventually<\/a>.<\/p>\n

Seth Carpenter, Jane Ihrig, Elizabeth Klee, Daniel Quinn, and Alexander Boote of the Federal Reserve have written a paper titled The Federal Reserve\u2019s Balance Sheet and Earnings: A primer and projections<\/a>:<\/p>\n

Over the past few years, the Federal Reserve\u2019s use of unconventional monetary policy tools has received a vast amount of public attention, from discussing how these asset purchases have put downward pressure on longer-term interest rates and thus supported economic activity to evaluating the implications for Federal Reserve remittances to the Treasury and the effect on monetary and fiscal policy. As the economic recovery has gained some momentum of late, the focus has turned to issues associated with the normalization of monetary policy. In this paper, we consider a variety of scenarios consistent with statements by Federal Reserve officials about how the FOMC will normalize policy, including whether to sell mortgage-backed securities and the timing of lifting the federal funds rate off from the zero lower bound. In addition, we analyze the potential costs associated with using reserve-draining tools, which could become an important expense during the years of normalization. In each of these scenarios, we discuss the implications of these normalization policies on the size and composition of Federal Reserve asset holdings, which provides some indicate the length of time unconventional monetary policy will be in place, and on remittances of earnings to the Treasury, which capture the interest rate risk of these normalization policies.<\/p><\/blockquote>\n

What I find of interest is that Treasury remittances are affected only by realized capital losses on the sales – unrealized capital losses are a mere bagatelle, as higlighted by Joshua Zumbrun of Bloomberg<\/a>. Mark-to-market is for suckers, losers and the private sector regulated by the Fed.<\/p>\n

James Hamilton of Econbrowser<\/i> comments<\/a>:<\/p>\n

The hot debate among Fed watchers– when will the Fed announce a “tapering” of its large-scale purchases– concerns a change in the stock of Treasuries and mortgage-backed securities that the Fed ends up holding that comes to only a fraction of that $600 B reference point. For example, I noted earlier that if the Fed had (as some market observers once anticipated) announced at its September FOMC meeting that it would begin to reduce its net purchases of Treasury securities by $2.5 B per month beginning in October, the result as of the end of 2014 would be that the Fed would be holding about $100 B less in Treasury securities by the end of 2014 than if it waits to begin tapering until January. Using the above table as a guide, that suggests a difference of perhaps 2.5-5 basis points (that is, less than 0.05 percentage points difference in the annual yield) on a 10-year Treasury. Even if you double or triple that by adding in the consequences of MBS purchases, it’s hard to see this as the #1 news event with which financial markets should be gripped.<\/p><\/blockquote>\n

Matthew Klein of Bloomberg has some interesting commentary on cat bonds<\/a>:<\/p>\n

While we shouldn\u2019t cry for the reinsurers just yet, some pension funds may end up buying these high-yielding assets before they fully understand how to model their risks, just as some loaded up on subprime mortgage securities during the mid-2000s. (On the bright side, investors won\u2019t have to worry about fraud when calculating the probability of another Hurricane Sandy.)<\/p>\n

Initially, this would depress the cost of disaster insurance, which might lead to overbuilding in risky areas and laxer enforcement of building safety codes. It could also push the insurers and reinsurers to underwrite new risks they are less familiar with in an effort to prop up margins, a danger that was highlighted by the UK\u2019s Prudential Regulation Authority last month. The Bank for International Settlements, based in Basel, Switzerland, has also been looking into the impact of the reinsurance business on financial stability.<\/p>\n

In the event of disaster, outside investors who didn\u2019t appreciate what they had been buying might get so spooked by losses that they would cut their allocation to the entire sector. Small shifts from the perspective of pensions could have big effects on insurers\u2019 ability to protect against future catastrophes. The result would be much greater volatility in the cost of insurance, to say nothing of the impact on pension beneficiaries. Plan sponsors and regulators should be careful.<\/p><\/blockquote>\n

It was a positive day for the Canadian preferred share market, with PerpetualDiscounts gaining 2bp, FixedResets winning 16bp and DeemedRetractibles up 10bp. A surprisingly lengthy Performance Highlights table is dominated by winners. Volume was above average.<\/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>\n0.5195 %<\/td>\n2,494.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.20 %<\/td>\n3.48 %<\/td>\n26,588<\/td>\n18.44<\/td>\n1<\/td>\n1.8010 %<\/td>\n3,994.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.71 %<\/td>\n2.95 %<\/td>\n63,934<\/td>\n19.85<\/td>\n5<\/td>\n0.5195 %<\/td>\n2,693.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n3.45 %<\/td>\n72,249<\/td>\n0.58<\/td>\n3<\/td>\n-0.1157 %<\/td>\n2,634.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.76 %<\/td>\n5.23 %<\/td>\n68,408<\/td>\n3.96<\/td>\n6<\/td>\n0.0352 %<\/td>\n2,947.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1157 %<\/td>\n2,408.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.82 %<\/td>\n5.65 %<\/td>\n108,388<\/td>\n4.33<\/td>\n7<\/td>\n-0.0341 %<\/td>\n2,285.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.53 %<\/td>\n5.58 %<\/td>\n177,333<\/td>\n14.46<\/td>\n30<\/td>\n0.0231 %<\/td>\n2,354.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.93 %<\/td>\n3.62 %<\/td>\n236,046<\/td>\n3.99<\/td>\n86<\/td>\n0.1572 %<\/td>\n2,447.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.12 %<\/td>\n4.34 %<\/td>\n193,949<\/td>\n2.81<\/td>\n43<\/td>\n0.0972 %<\/td>\n2,391.2<\/td>\n<\/tr>\n<\/table>\n\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
GWO.PR.N<\/td>\nFixedReset<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.91
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 21.02
\nEvaluated at bid price : 21.02
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
BAM.PF.B<\/td>\nFixedReset<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.73
\nEvaluated at bid price : 23.95
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nDeemed-Retractible<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-27
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.20
\nBid-YTW : -4.44 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 23.90
\nEvaluated at bid price : 24.35
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.77
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.84
\nEvaluated at bid price : 22.61
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 20.10
\nEvaluated at bid price : 20.10
\nBid-YTW : 2.63 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n2.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.30
\nEvaluated at bid price : 22.65
\nBid-YTW : 3.73 %<\/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.Y<\/td>\nFixedReset<\/td>\n66,455<\/td>\nScotia crossed 56,400 at 23.60.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.77
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n59,983<\/td>\nTD crossed 50,000 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n
ENB.PR.T<\/td>\nFixedReset<\/td>\n57,092<\/td>\nRBC crossed 50,000 at 23.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.47
\nEvaluated at bid price : 23.41
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n51,500<\/td>\nScotia crossed 47,300 at 21.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 21.02
\nEvaluated at bid price : 21.02
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n51,416<\/td>\nRBC crossed 50,000 at 25.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.76
\nBid-YTW : 2.41 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n36,802<\/td>\nRBC crossed 28,500 at 25.12.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.09
\nBid-YTW : 0.84 %<\/td>\n<\/tr>\n
There were 40 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
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.02 – 21.65
\nSpot Rate : 0.6300
\nAverage : 0.4446<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 21.02
\nEvaluated at bid price : 21.02
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 25.14 – 25.64
\nSpot Rate : 0.5000
\nAverage : 0.3349<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.14
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n

FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.61 – 22.98
\nSpot Rate : 0.3700
\nAverage : 0.2510<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.29
\nEvaluated at bid price : 22.61
\nBid-YTW : 5.32 %<\/td>\n<\/tr>\n

GWO.PR.N<\/td>\nFixedReset<\/td>\nQuote: 21.91 – 22.30
\nSpot Rate : 0.3900
\nAverage : 0.2867<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.91
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n

MFC.PR.K<\/td>\nFixedReset<\/td>\nQuote: 23.51 – 23.87
\nSpot Rate : 0.3600
\nAverage : 0.2624<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.51
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n

ENB.PR.B<\/td>\nFixedReset<\/td>\nQuote: 23.78 – 24.14
\nSpot Rate : 0.3600
\nAverage : 0.2722<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-10-28
\nMaturity Price : 22.79
\nEvaluated at bid price : 23.78
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Singapore is is seeking to encourage HFT: Singapore Exchange Ltd. (SGX), Southeast Asia\u2019s biggest bourse operator, wants to lure more high-speed traders onto its stock market as it grapples with lower volume. Computerized trading firms, …<\/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-23480","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23480","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=23480"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/23480\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23480"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23480"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23480"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}