{"id":26839,"date":"2014-11-18T20:19:54","date_gmt":"2014-11-19T01:19:54","guid":{"rendered":"http:\/\/prefblog.com\/?p=26839"},"modified":"2014-11-18T20:19:54","modified_gmt":"2014-11-19T01:19:54","slug":"november-18-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26839","title":{"rendered":"November 18, 2014"},"content":{"rendered":"

There are some interesting trends in bond markets<\/a>:<\/p>\n

The influence of high-frequency traders in the Treasury market is growing. About 60 percent of Treasury securities trades are expected to be transacted on electronic platforms by the end of next year, an increase from 40 percent in 2013, according to Tabb Group LLC, a New York-based research firm. Of those trades, 10 percent were executed by robots in 2010, a share that will probably grow to 20 percent next year, according to Tabb.
…<\/b>
New rules adopted after the 2008 credit crunch are also part of the new normal. Global guidelines called Basel III, instituted by the Bank for International Settlements in Basel, Switzerland, require banks to hold more cash in reserve for assets such as bonds they keep on their balance sheets.<\/p>\n

Partly in compliance with the regulations, the 22 primary dealers authorized to trade directly with the Fed reduced their U.S. government debt holdings to $46.3 billion at the end of October from a record high $146 billion in October 2013, Fed data show. While they still hold inventory, they\u2019re allocating less to opportunistically buying big clumps of bonds and then slowly selling them, a process known as market-making.
…<\/b>
Hedge funds have filled the vacuum created by the retreat of the big banks. On the morning of Oct. 15, the turmoil in Treasuries echoed in the trading of junk bonds. As $8 billion was being wiped out in that global market, Toronto hedge-fund manager Philip Mesman fielded e-mails from U.S. bankers clamoring for him to buy their customers\u2019 holdings.<\/p>\n

Investors were unloading the debt of the riskiest companies, forcing exchange-traded funds and mutual funds to sell. Before Basel III and the Volcker Rule, which limits the ability of U.S. banks to trade on their own accounts, dealers would\u2019ve bought the bonds themselves and held them until finding someone to take them. Instead they were forwarding the \u201csell\u201d messages to firms they knew had quick access to cash.
…<\/b>
The size of German bund futures that can go through the market at one time without moving the price has fallen 46 percent to 784 contracts as of Oct. 17, from this year\u2019s peak of 1,450 contracts in April, according to JPMorgan. The average over the past four years was 920 contracts.<\/p><\/blockquote>\n

Yay! More regulation! The 2014 Ontario Economic Outlook and Fiscal Review<\/a> states:<\/p>\n

The government is also undertaking a review of the regulation of financial planning. An expert committee will be appointed to look at more tailored regulation of financial advisers and financial planners.<\/p><\/blockquote>\n

Only through increased regulation will Granny be able to get financial advice from a reliable and knowledgeable source: her friendly neighborhood bank teller, who will be pleased to sell her an index linked GIC.<\/p>\n

There will be no fast-track for Keystone<\/a>:<\/p>\n

The U.S. Senate refused to approve TransCanada Corp. (TRP)\u2019s $8 billion Keystone XL pipeline after years of a political fight over jobs, climate change and energy security.<\/p>\n

The vote was 59-41 with 60 required for passage in the Democratic-led Senate. Republicans have said they will try again next year after their party takes control of the chamber. House Speaker John Boehner and Senate Republican leader Mitch McConnell say passage of a Keystone measure is a top priority.<\/p>\n

President Barack Obama has opposed legislation approving the Keystone project, saying it would bypass a review being conducted by the State Department. He didn\u2019t say whether he would sign or veto the bill if it reached his desk.<\/p><\/blockquote>\n

It was a good day for the Canadian preferred share market, with PerpetualDiscounts winning 27bp, FixedResets up 14bp and DeemedRetractibles gaining 8bp. Volatility was minimal. 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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1131 %<\/td>\n2,540.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1131 %<\/td>\n4,022.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.97 %<\/td>\n3.07 %<\/td>\n61,909<\/td>\n19.50<\/td>\n4<\/td>\n0.1131 %<\/td>\n2,701.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.02 %<\/td>\n0.12 %<\/td>\n95,901<\/td>\n0.08<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,748.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.25 %<\/td>\n4.02 %<\/td>\n52,423<\/td>\n3.74<\/td>\n5<\/td>\n0.0157 %<\/td>\n3,186.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n2,513.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.44 %<\/td>\n-8.50 %<\/td>\n64,131<\/td>\n0.09<\/td>\n19<\/td>\n0.0123 %<\/td>\n2,485.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.12 %<\/td>\n5.03 %<\/td>\n100,661<\/td>\n15.39<\/td>\n16<\/td>\n0.2701 %<\/td>\n2,672.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.17 %<\/td>\n3.53 %<\/td>\n173,008<\/td>\n4.54<\/td>\n74<\/td>\n0.1438 %<\/td>\n2,588.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n-0.91 %<\/td>\n96,292<\/td>\n0.12<\/td>\n40<\/td>\n0.0820 %<\/td>\n2,606.3<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.56 %<\/td>\n-0.95 %<\/td>\n59,559<\/td>\n0.08<\/td>\n6<\/td>\n-0.0326 %<\/td>\n2,553.5<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.75
\nBid-YTW : 4.35 %<\/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
TRP.PR.A<\/td>\nFixedReset<\/td>\n88,480<\/td>\nScotia crossed blocks of 15,000 at 21.75 and 41,000 at 21.71.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.75
\nBid-YTW : 4.01 %<\/td>\n<\/tr>\n
NA.PR.S<\/td>\nFixedReset<\/td>\n70,450<\/td>\nNesbitt crossed 60,000 at 25.71.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-05-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n68,516<\/td>\nScotia crossed blocks of 50,000 and 12,900, both at 23.45.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.41
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n61,907<\/td>\nNesbitt crossed 59,800 at 24.75.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
NA.PR.W<\/td>\nFixedReset<\/td>\n58,140<\/td>\nScotia bought 20,000 from National at 25.20.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.23
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nDeemed-Retractible<\/td>\n41,802<\/td>\nTD crossed 35,000 at 26.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-28
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.88
\nBid-YTW : -1.19 %<\/td>\n<\/tr>\n
There were 24 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.G<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.65 – 23.07
\nSpot Rate : 0.4200
\nAverage : 0.2969<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 22.29
\nEvaluated at bid price : 22.65
\nBid-YTW : 5.28 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.55 – 24.85
\nSpot Rate : 0.3000
\nAverage : 0.2120<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 24.09
\nEvaluated at bid price : 24.55
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n

BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.00 – 22.21
\nSpot Rate : 0.2100
\nAverage : 0.1384<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 21.65
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset<\/td>\nQuote: 22.65 – 22.93
\nSpot Rate : 0.2800
\nAverage : 0.2129<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 22.03
\nEvaluated at bid price : 22.65
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.00 – 22.19
\nSpot Rate : 0.1900
\nAverage : 0.1307<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-11-18
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n

SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.55 – 24.73
\nSpot Rate : 0.1800
\nAverage : 0.1249<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.55
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There are some interesting trends in bond markets: The influence of high-frequency traders in the Treasury market is growing. About 60 percent of Treasury securities trades are expected to be transacted on electronic platforms by …<\/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-26839","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26839","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=26839"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26839\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26839"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26839"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26839"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}