{"id":26445,"date":"2014-10-02T18:26:13","date_gmt":"2014-10-02T23:26:13","guid":{"rendered":"http:\/\/prefblog.com\/?p=26445"},"modified":"2014-10-02T18:26:13","modified_gmt":"2014-10-02T23:26:13","slug":"october-2-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26445","title":{"rendered":"October 2, 2014"},"content":{"rendered":"

Treasury trading is going electronic<\/a>:<\/p>\n

While investors traditionally negotiated prices for U.S. Treasuries by telephone, they\u2019re increasingly turning to computer-based marketplaces for a range of price quotes from different dealers. A record 48 percent of trades in U.S. government debt have occurred on electronic platforms this year, up from 31 percent in 2012, according to a Greenwich Associates study released yesterday.<\/p><\/blockquote>\n

There’s a new pseudo-scandal<\/a>:<\/p>\n

A high-frequency trader was indicted for \u201cspoofing,\u201d the placing and immediate canceling of orders to manipulate commodities markets, in what the U.S. Justice Department says is the first criminal case of its kind.<\/p>\n

Michael Coscia, 52, of Rumson, New Jersey, the principal of Panther Energy Trading LLC, was indicted by a federal grand jury in Chicago and charged with six counts of commodities fraud and six of spoofing. He\u2019s accused of illegally reaping nearly $1.6 million as a result of orders placed through CME Group Inc. (CME) and European futures markets in 2011.<\/p><\/blockquote>\n

Matt Levine of Bloomberg is a superb journalist. He not only explains the allegations better than the news story did, he also adds some wise words of his own<\/a>:<\/p>\n

Basically, spoofing doesn’t hurt fundamental investors directly.11 Fundamental investors trade based on fundamental views of value, not order-book information, so they shouldn’t be thrown off by fake bids and offers. Also they probably trade too slowly to even notice this sort of spoofing. Spoofing only directly hurts market-makers, whose job is to buy and sell in reaction to changes in supply and demand. In most modern markets, that means primarily high-frequency traders. If the FBI is going after spoofing, that’s good for other high-frequency traders. The reason to crack down on spoofing is that high-frequency traders are socially valuable and need to be protected.<\/p><\/blockquote>\n

I wouldn’t object to exchange-initiated rules about order cancellation – say, a black-out period of one second, so an order can’t be cancelled until it has been live for a second. But anti-spoofing laws – with criminal penalties, yet! – aren’t just silly, they’re extremely difficult to enforce.<\/p>\n

Canadian Utilities, proud issuer of , has been confirmed at Pfd-2(high) by DBRS<\/a>:<\/p>\n

DBRS has today confirmed the ratings of the Unsecured Debentures and Issuer Rating of Canadian Utilities Limited (CU or the Company) at \u201cA,\u201d along with confirming the Commercial Paper and Cum. Preferred Shares at R-1 (low) and Pfd-2 (high), respectively, all with Stable trends. The confirmation reflects (a) the low-risk regulated electric and gas business of its wholly owned subsidiary, CU Inc. (CUI; rated A (high) by DBRS), which accounts for approximately 65% of consolidated earnings, (b) the self-sustaining and minimal funding requirements for its non-regulated operations, and (c) the low level of debt at the holding company level ($200 million). The one-notch differential in the ratings of CU and CUI primarily reflects structural subordination at CU.<\/p><\/blockquote>\n

It was a poor day for the Canadian preferred share market, with PerpetualDiscounts losing 10bp, FixedResets down 8bp and DeemedRetractibles off 1bp. Volatility, while modest, was comprised entirely of losing FixedResets. Volume was low.<\/p>\n\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>\n3.10 %<\/td>\n3.08 %<\/td>\n25,038<\/td>\n19.51<\/td>\n1<\/td>\n0.3320 %<\/td>\n2,691.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2334 %<\/td>\n4,121.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.89 %<\/td>\n3.04 %<\/td>\n60,571<\/td>\n19.67<\/td>\n4<\/td>\n-0.2334 %<\/td>\n2,767.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.05 %<\/td>\n2.45 %<\/td>\n100,049<\/td>\n0.08<\/td>\n1<\/td>\n0.0395 %<\/td>\n2,729.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.29 %<\/td>\n3.86 %<\/td>\n95,393<\/td>\n3.87<\/td>\n5<\/td>\n0.0557 %<\/td>\n3,152.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0395 %<\/td>\n2,495.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.47 %<\/td>\n2.78 %<\/td>\n73,032<\/td>\n0.08<\/td>\n18<\/td>\n0.0109 %<\/td>\n2,445.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.33 %<\/td>\n5.17 %<\/td>\n101,710<\/td>\n15.08<\/td>\n18<\/td>\n-0.0981 %<\/td>\n2,583.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.21 %<\/td>\n3.75 %<\/td>\n179,084<\/td>\n8.64<\/td>\n73<\/td>\n-0.0752 %<\/td>\n2,554.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.00 %<\/td>\n2.50 %<\/td>\n102,204<\/td>\n0.39<\/td>\n42<\/td>\n-0.0067 %<\/td>\n2,563.0<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.56 %<\/td>\n0.18 %<\/td>\n79,785<\/td>\n0.25<\/td>\n6<\/td>\n-0.0326 %<\/td>\n2,540.9<\/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
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 21.08
\nEvaluated at bid price : 21.08
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 19.20
\nEvaluated at bid price : 19.20
\nBid-YTW : 3.82 %<\/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
RY.PR.Z<\/td>\nFixedReset<\/td>\n64,553<\/td>\nRBC crossed 50,000 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 23.32
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Premium<\/td>\n56,082<\/td>\nRBC crossed 50,000 at 25.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
ENB.PR.P<\/td>\nFixedReset<\/td>\n38,000<\/td>\nTD crossed 35,000 at 24.02.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 22.79
\nEvaluated at bid price : 23.94
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nDeemed-Retractible<\/td>\n37,429<\/td>\nTD crossed 35,000 at 25.96.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.95
\nBid-YTW : -3.10 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nDeemed-Retractible<\/td>\n31,887<\/td>\nCalled for redemption October 31<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.29
\nBid-YTW : 2.79 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n27,500<\/td>\nScotia crossed 23,300 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.58
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
There were 22 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
SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 21.50 – 21.90
\nSpot Rate : 0.4000
\nAverage : 0.2590<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.50
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 21.08 – 21.40
\nSpot Rate : 0.3200
\nAverage : 0.1933<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 21.08
\nEvaluated at bid price : 21.08
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n

SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.29 – 22.45
\nSpot Rate : 0.1600
\nAverage : 0.1018<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.29
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n

ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.03 – 24.22
\nSpot Rate : 0.1900
\nAverage : 0.1356<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.03
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.02 – 21.15
\nSpot Rate : 0.1300
\nAverage : 0.0817<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 21.02
\nEvaluated at bid price : 21.02
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n

ENB.PR.F<\/td>\nFixedReset<\/td>\nQuote: 24.22 – 24.40
\nSpot Rate : 0.1800
\nAverage : 0.1322<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-10-02
\nMaturity Price : 22.99
\nEvaluated at bid price : 24.22
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Treasury trading is going electronic: While investors traditionally negotiated prices for U.S. Treasuries by telephone, they\u2019re increasingly turning to computer-based marketplaces for a range of price quotes from different dealers. A record 48 percent of …<\/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-26445","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26445","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=26445"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26445\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26445"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26445"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26445"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}