August 30, 2010

Econbrowser‘s Jim Hamilton has been busy building a database on the term structure of Treasuries. One of the byproducts is a graph of the average term of publicly held US debt:


Click for big

Senator Kaufman’s letter to the SEC, highlighted here on August 27, attracted comment in the Financial Times which was in turn republished on the Themis Trading blog under Fixing Equity Markets Ain’t Easy:

The challenge of fixing our equity markets is not as simple as “fixing” the market structure by widening spreads. Widening spreads across the board will only remove trading opportunities and increase trading costs. I would love to say widen spreads and tax the HFTs and everything will be fine, but in the end, I think increased spreads will only force institutional and retail investors to pay more for execution and make it harder to get in or out of an investment . . . and profits will just be re-allocated from the fast and fleet to slower players with larger pockets.

If we think by taxing high-frequency firms we will go back to a time when markets were slow and humans made trading decisions – forget it. When was the last time we replaced computers with humans?

For “slower players with larger pockets”, read ‘established dinosaurs with more money than brains who are currently having their lunch eaten’.

A good day with continued elevated volume on the Canadian preferred share market today, with PerpetualDiscounts up 27bp and FixedResets gaining 2bp.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2394 % 2,038.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2394 % 3,087.9
Floater 2.57 % 2.17 % 34,200 21.91 4 -0.2394 % 2,200.9
OpRet 4.90 % 3.63 % 96,490 0.25 9 0.1292 % 2,351.2
SplitShare 6.11 % -25.07 % 66,046 0.09 2 -0.6693 % 2,305.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1292 % 2,150.0
Perpetual-Premium 5.76 % 5.33 % 94,928 5.62 7 0.2024 % 1,965.5
Perpetual-Discount 5.71 % 5.74 % 189,059 14.10 71 0.2744 % 1,903.4
FixedReset 5.28 % 3.17 % 273,911 3.35 47 0.0172 % 2,251.3
Performance Highlights
Issue Index Change Notes
BAM.PR.P FixedReset -1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-10-30
Maturity Price : 25.00
Evaluated at bid price : 27.65
Bid-YTW : 4.50 %
IAG.PR.C FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.92 %
BNA.PR.C SplitShare -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 7.07 %
ENB.PR.A Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2010-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.19 %
MFC.PR.C Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.14 %
NA.PR.L Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 5.51 %
CM.PR.H Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.H Perpetual-Discount 55,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.63 %
BMO.PR.O FixedReset 54,135 Scotia crossed 50,000 at 28.34.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-24
Maturity Price : 25.00
Evaluated at bid price : 28.30
Bid-YTW : 2.88 %
SLF.PR.B Perpetual-Discount 51,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 5.97 %
CM.PR.L FixedReset 49,196 Desjardins crossed 13,200 at 28.10; RBC crossed 23,800 at 28.21.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 28.10
Bid-YTW : 3.14 %
BMO.PR.L Perpetual-Premium 42,872 TD crossed two blocks of 18,300 shares each, both at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 5.25 %
MFC.PR.C Perpetual-Discount 34,360 Nesbitt crossed 10,000 at 18.43.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2040-08-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.14 %
There were 36 other index-included issues trading in excess of 10,000 shares.

Leave a Reply

You must be logged in to post a comment.