July 25, 2013

There’s an article in the Globe bewailing the decline of telephone polling:

The odds are that, at some point in your life, a polling firm has tried to contact you over the telephone to take part in a survey. The odds are even better that the attempt failed. You were not home, you did not take the call, or you just hung up. This is what happens with roughly nine out of every 10 phone calls a polling firm makes.

Banks of telephone numbers can be acquired from specialized sampling firms, and numbers can also be dialed randomly. Live telephone operators then follow a script and input responses into a computer (this method is often referred to as CATI, for computer-assisted telephone interviewing). If the person who is called does not pick up the phone, the number is redialed at a later time or date. Otherwise, the sample would not be as random – it would just be a sample of people who were home at a particular time.

“In some segments – especially young voters – land lines are as archaic as the rotary dial to an earlier generation,” writes Angus Reid, executive chairman of Vision Critical and Angus Reid Public Opinion, in a recent article for Maclean’s. “This means pollsters have a harder time finding younger voters, who either don’t have a landline at all, or are loathe to answer calls from pollsters on their mobile, when they are being charged by the minute.”

I have a wonderful app on my ‘phone: Blacklist. If I get a call and the caller is a robot – or if there is a pause after I say hello, indicating robo-dialling – I hang up and blacklist the number. All calls from a blacklisted number are routed directly to voice mail and don’t ring the ‘phone. I don’t have many apps on my ‘phone, but that single app makes a smart ‘phone worthwhile!

Steve Cohen’s SAC Capital has been indicted:

“When so many people from a single hedge fund have engaged in insider trading, it is not a coincidence,” Manhattan U.S. Attorney Preet Bharara said. “Today’s indictment is not just a narrative of names and numbers, it is more broadly an account of a firm with zero tolerance for low returns but seemingly tremendous tolerance for questionable conduct,” he said. “So SAC, over time, became a veritable magnet for market cheaters.”

I don’t know the details, but one count against them is that they didn’t blacklist people based on whispers from the boys’ club:

In the summer of 2008, Steven A. Cohen was warned by an employee at Citadel LLC that a portfolio manager he was about to hire, Richard S. Lee, had a reputation for insider trading.

Cohen ignored the red flag as well as objections from his own legal department and hired him the following year, according to an indictment yesterday that accused Cohen’s SAC Capital Advisors LP of securities fraud and wire fraud. The government said SAC created an environment in which employees were encouraged to use illicit information and the compliance office identified only one example of suspected insider trading in its history.

Lee’s hiring was among the evidence cited by the government to allege that SAC, based in Stamford, Connecticut, enabled and promoted insider trading from as early as 1999 through at least 2010. Lee, who co-managed a $1.25 billion portfolio at SAC, including borrowed money, joined Cohen’s firm in April 2009 and left in June 2011 before returning for a second stint last year.

So the moral of the story is: if you want to ruin a security professional’s career, just bad-mouth him. Firms are then required to blacklist him, on pain of criminal charges.

It was another down day for the Canadian preferred share market, with PerpetualDiscounts losing 36bp, FixedResets down 18bp and DeemedRetractibles flat. The Performance Highlights table is fairly lengthy, with low-spread FixedReset losers quite prominent. Volume was high.

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 0.3095 % 2,599.3
FixedFloater 4.11 % 3.40 % 34,660 18.58 1 0.4783 % 4,039.5
Floater 2.70 % 2.88 % 89,072 20.02 4 0.3095 % 2,806.6
OpRet 4.58 % 1.02 % 88,029 0.67 3 0.4088 % 2,634.2
SplitShare 4.67 % 4.53 % 56,050 3.91 6 -0.2368 % 2,965.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4088 % 2,408.7
Perpetual-Premium 5.62 % 3.72 % 104,587 0.09 12 -0.0099 % 2,284.8
Perpetual-Discount 5.36 % 5.37 % 140,156 14.78 26 -0.3619 % 2,403.6
FixedReset 4.98 % 3.63 % 237,096 3.97 84 -0.1873 % 2,469.4
Deemed-Retractible 5.08 % 4.52 % 202,997 6.84 43 0.0038 % 2,378.8
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -4.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 4.24 %
HSE.PR.A FixedReset -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 22.77
Evaluated at bid price : 23.50
Bid-YTW : 3.74 %
FTS.PR.J Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 22.75
Evaluated at bid price : 23.14
Bid-YTW : 5.19 %
BAM.PR.N Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 21.57
Evaluated at bid price : 21.57
Bid-YTW : 5.57 %
BNA.PR.C SplitShare -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.92 %
BAM.PR.M Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 5.51 %
TRP.PR.C FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 22.88
Evaluated at bid price : 23.66
Bid-YTW : 3.47 %
BAM.PR.X FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 22.86
Evaluated at bid price : 24.00
Bid-YTW : 3.77 %
FTS.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 22.51
Evaluated at bid price : 22.85
Bid-YTW : 3.52 %
BAM.PR.J OpRet 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.05
Bid-YTW : -0.19 %
ELF.PR.H Perpetual-Premium 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 5.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.S Perpetual-Discount 95,892 TD crossed 30,000 at 23.75 and 10,000 at 23.50, and bought 10,000 from Scotia at 23.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.11 %
CU.PR.G Perpetual-Discount 92,099 Scotia crossed 57,200 at 22.25.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 21.83
Evaluated at bid price : 22.16
Bid-YTW : 5.15 %
BMO.PR.P FixedReset 79,610 Nesbitt crossed blocks of 26,000 and 50,000, both at 26.20.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 2.93 %
GWO.PR.I Deemed-Retractible 75,815 TD crossed 70,000 at 22.70.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.57
Bid-YTW : 5.73 %
CM.PR.M FixedReset 66,165 TD crossed 60,000 at 26.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 2.19 %
MFC.PR.K FixedReset 57,951 National crossed blocks of 23,000 and 24,900 at 24.85.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 3.95 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 23.20 – 24.45
Spot Rate : 1.2500
Average : 0.8250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 4.24 %

GWO.PR.N FixedReset Quote: 23.90 – 24.25
Spot Rate : 0.3500
Average : 0.2224

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 3.64 %

MFC.PR.J FixedReset Quote: 25.10 – 25.40
Spot Rate : 0.3000
Average : 0.2008

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.02 %

BAM.PR.T FixedReset Quote: 25.06 – 25.35
Spot Rate : 0.2900
Average : 0.2045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2043-07-25
Maturity Price : 23.30
Evaluated at bid price : 25.06
Bid-YTW : 3.97 %

SLF.PR.G FixedReset Quote: 24.15 – 24.47
Spot Rate : 0.3200
Average : 0.2351

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.70 %

SLF.PR.I FixedReset Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2725

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.67 %

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