The Fabulous Fab verdict is having its intended effect: funding prospects for the SEC have brightened:
The win adds weight to pledges by SEC Chairman Mary Jo White to reinvigorate the regulator, seeking more onerous settlements in some cases and, if necessary, taking them to trial. It also could bolster support for a 27 percent budget increase for the agency that Congress is considering.
…
“The SEC needed at least one scalp from the financial crisis, or they were going to face a lot of heat from Congress,” said Adam Pritchard, a University of Michigan law professor who previously worked as a lawyer for the regulator.
The only thing that might actually have a chance of working is going after incompetent idiots, such as Laura Schwartz and Alan Roseman of ACA Management LLC, which funded the deal due to analysis critically based on an investment technique called “Follow the Leader”. Fortunately for them and many, many of their peers, though, gross incompetence is not a legitimate target for a regulator, so we’ll have to leave that one up to the clients, ha-ha. I suppose it’s nice to see that Laura Schwartz has her own problems.
Canadian pension plans are about to get hit by the pointy end of longevity risk:
The bottom line in the Towers Watson report is this: Just as things are looking up for pension plans, the fact that we’re living longer may soon officially change assumptions, undoing the recent gains from stronger stock markets and rising interest rates.
Towers Watson based its report on new, draft mortality tables unveiled last week by the Canadian Institute of Actuaries. These are used to measure how much pension plans require to meet their obligations to retirees going forward.
“Although the effect will vary from plan to plan, adoption of the proposed mortality tables and acceptance of the study’s prediction of future mortality improvements could also immediately increase pension accounting liabilities by 5 per cent to 10 per cent for many plans, potentially impacting corporate income statements and balance sheets,” Towers Watson said.
The proposed new tables increase the life expectancy of a 60-year-old man by 2.9 years, and for a woman by 2.7 years.
Mind you, pensions have had a good year:
U.S. state and local-government pension investments gained the most in two years in fiscal 2013, overshadowed by intensifying scrutiny of underfunded municipal-retirement plans following Detroit’s record bankruptcy.
Public pensions booked a median gain of 12.4 percent for the 12 months through June, powered by a surge in U.S. stock prices to a record, Wilshire Associates said today in a report. The funds chalked up an annualized three-year median return of 11.4 percent while their assets surpassed a pre-recession peak to reach $2.9 trillion, according to U.S. Census Bureau figures.
Spend-Every-Penny is beginning to address the Canadian mortgage problem – in his own socialistic way:
The Crown corporation has notified banks, credit unions and other mortgage lenders that they will each be restricted to a maximum of $350-million of new guarantees this month under its National Housing Act Mortgage-Backed Securities (NHA MBS) program. The decision comes in the wake of “unexpected demand” for the guarantees, a spokeswoman for CMHC said in an e-mailed statement.
Hurray! When demand outstrips supply … ration the commodity! Isn’t that the Canadian way?
Bloomberg has an interesting story showing how Wal-Mart haters can be efficiently exploited:
In the city of Selma, a Central Valley town south of Fresno, Wal-Mart accused Save Mart of being behind an anti-Wal-Mart group, Save Our Selma Coalition, in a 2005 filing requesting a subpoena. Bentonville, Arkansas-based Wal-Mart built its store anyway. In Tracy, California, WinCo accused Save Mart in 2007 of directing a lawsuit filed by neighborhood group Tracy First against the city for approving a new WinCo store, according to a state court document. WinCo also built its store.
[Consultant Burt] Flickinger said Save Mart’s territory still only has one Wal-Mart supercenter for every 150,000 people, compared with one for every 45,000 in Alabama.
“It’s not for lack of trying either,” Flickinger said.
The only thing that can possibly make wind power economical is storage. In Ontario we’ve blown the budget on not-ready-for-prime-time technology, but market leaders are doing research:
On a windy island 500 miles north of Tokyo, Japan is about to experiment with a battery designed to transform the way electricity is supplied and at the same time boost Prime Minister Shinzo Abe’s economic rescue plan.
The Ministry of Economy, Trade and Industry is investing 20 billion yen ($203 million) on a Sumitomo Electric Industries Ltd. (5802) device to be used by Hokkaido island’s utility to store excess solar and wind power, stabilizing flows to consumers.
…
The battery, which uses the metal vanadium to store electrical energy in electrolyte tanks, has been researched from Australia to China and promises to handle the sort of large power surpluses that can develop on a transmission grid.
Speedy subways or slow LRTs for Toronto? Well, here’s the London experience:
Crossrail, Europe’s largest construction project, costing an estimated 15 billion pounds ($23 billion), will cut commuting times by as much as half, enticing tenants to rent offices in once-overlooked corners of the City. Plans for buildings from Farringdon through Smithfield to the Thameslink overland rail station to the south represent the City’s biggest development pipeline since 2011, when a cluster of towers went up near the Lloyds of London insurance building, said Peter Rees, the City’s planning officer.
CRUNCH! The Canadian preferred share market took a shellacking today, with PerpetualDiscounts losing 102bp, FixedResets down 88bp and DeemedRetractibles off 72bp. The Performance Highlights table is suitably enormous and comprised entirely of losers. Volume was high, but nothing extraordinary.
I suspect that the problem is a massive batch of sell orders placed through Citigroup Global markets (Broker #123). Now, I am hesitant to criticize traders for their trading, because I have no way of knowing who their client is or what their instructions were …. but I will go so far as to say their selection of trading algorithm is a red flag. In many cases they used what I call a “drip algorithm” (the cool guys probably call it something else) whereby you sell 100 shares at market every X seconds. It is the easiest thing in the world to spot and a marvellous thing to exploit. Just sit on the bid and get N different fills over the next NX seconds. It has the advantage from the seller’s perspective of getting done, guaranteed: since when will a market order not get filled? It has the advantage from the buyers’ perspective of being the way most likely to take the market price down to ridiculous levels. To sum up: somebody is probably a moron, but there’s no way of knowing who: the seller or the trader. And the seller might have been doing something better to compensate on the other side of his trade.
“Drip Algorithms” might work OK in a deep, liquid market, but in the thin little world of Canadian preferreds … sorry, Charlie.
| 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 | 0.2833 % | 2,629.4 |
| FixedFloater | 4.14 % | 3.43 % | 31,624 | 18.49 | 1 | -0.8639 % | 4,011.5 |
| Floater | 2.56 % | 2.85 % | 76,041 | 20.10 | 5 | 0.2833 % | 2,839.1 |
| OpRet | 4.59 % | 1.85 % | 78,681 | 0.08 | 3 | 0.3453 % | 2,629.8 |
| SplitShare | 4.69 % | 4.94 % | 56,736 | 4.14 | 6 | -0.0105 % | 2,954.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3453 % | 2,404.7 |
| Perpetual-Premium | 5.68 % | 5.41 % | 90,416 | 0.56 | 12 | -0.0595 % | 2,280.4 |
| Perpetual-Discount | 5.47 % | 5.61 % | 151,184 | 14.47 | 25 | -1.0222 % | 2,353.6 |
| FixedReset | 4.99 % | 3.83 % | 234,620 | 3.94 | 85 | -0.8765 % | 2,443.3 |
| Deemed-Retractible | 5.16 % | 5.03 % | 182,309 | 7.00 | 43 | -0.7246 % | 2,344.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.B | FixedReset | -13.37 % | It it real or not? You be the judge! The official low for the day was 24.00, but that’s based on board lots. The two final trades of the day were odd lots at (brace yourselves) 16.76 and 16.77. So basically, we can ding the market maker for having a spread of what looks like over seven dollars shortly before the close; whether we can ding him for having a nonsensical spread AT the close is something that would cost me money to find out. But yeah, either the market-maker or the Exchange are idiots on this one.
YTW SCENARIO |
| PWF.PR.S | Perpetual-Discount | -4.43 % | This is real! The “last” quote was 22.46-55, 3×5, with quite a few small trades going through at under 22.50 in the last fifteen minutes. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.12 Evaluated at bid price : 22.46 Bid-YTW : 5.36 % |
| TRP.PR.A | FixedReset | -3.91 % | Really! Lots of small trades going through below 23.40 just before the close, with a “last” quote of 23.10-66, 6×1, a wide spread but not enough to make me homicidal. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.66 Evaluated at bid price : 23.10 Bid-YTW : 4.11 % |
| BAM.PF.A | FixedReset | -3.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.82 Evaluated at bid price : 24.11 Bid-YTW : 4.79 % |
| BAM.PR.X | FixedReset | -3.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.36 Evaluated at bid price : 23.02 Bid-YTW : 4.12 % |
| BNS.PR.Z | FixedReset | -3.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.08 Bid-YTW : 4.44 % |
| TRP.PR.B | FixedReset | -3.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 21.53 Evaluated at bid price : 21.90 Bid-YTW : 3.61 % |
| ENB.PR.F | FixedReset | -2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.86 Evaluated at bid price : 24.17 Bid-YTW : 4.35 % |
| TRP.PR.D | FixedReset | -2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.83 Evaluated at bid price : 24.22 Bid-YTW : 4.18 % |
| ENB.PR.B | FixedReset | -2.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.01 Evaluated at bid price : 24.32 Bid-YTW : 4.24 % |
| CU.PR.D | Perpetual-Discount | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.11 Evaluated at bid price : 23.41 Bid-YTW : 5.31 % |
| ENB.PR.P | FixedReset | -2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.83 Evaluated at bid price : 24.20 Bid-YTW : 4.32 % |
| PWF.PR.R | Perpetual-Discount | -2.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.92 Evaluated at bid price : 24.30 Bid-YTW : 5.68 % |
| RY.PR.B | Deemed-Retractible | -2.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 5.03 % |
| SLF.PR.D | Deemed-Retractible | -2.19 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.97 Bid-YTW : 6.56 % |
| MFC.PR.J | FixedReset | -2.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.39 Bid-YTW : 4.58 % |
| ENB.PR.T | FixedReset | -2.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.84 Evaluated at bid price : 24.25 Bid-YTW : 4.30 % |
| HSE.PR.A | FixedReset | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.66 Evaluated at bid price : 23.30 Bid-YTW : 3.92 % |
| SLF.PR.C | Deemed-Retractible | -1.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.01 Bid-YTW : 6.54 % |
| MFC.PR.C | Deemed-Retractible | -1.95 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.08 Bid-YTW : 6.58 % |
| BNS.PR.Y | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.35 Bid-YTW : 3.97 % |
| BAM.PF.D | Perpetual-Discount | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 21.82 Evaluated at bid price : 22.15 Bid-YTW : 5.61 % |
| IAG.PR.G | FixedReset | -1.74 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 4.04 % |
| SLF.PR.E | Deemed-Retractible | -1.63 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.12 Bid-YTW : 6.53 % |
| PWF.PR.P | FixedReset | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.85 Evaluated at bid price : 23.60 Bid-YTW : 3.68 % |
| PWF.PR.L | Perpetual-Discount | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.62 Evaluated at bid price : 22.91 Bid-YTW : 5.59 % |
| GWO.PR.Q | Deemed-Retractible | -1.51 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.16 Bid-YTW : 5.65 % |
| SLF.PR.B | Deemed-Retractible | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 6.37 % |
| TRP.PR.C | FixedReset | -1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.41 Evaluated at bid price : 22.86 Bid-YTW : 3.77 % |
| GWO.PR.G | Deemed-Retractible | -1.44 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.78 % |
| BMO.PR.P | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 3.76 % |
| RY.PR.D | Deemed-Retractible | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.38 Bid-YTW : 4.85 % |
| SLF.PR.A | Deemed-Retractible | -1.34 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.03 Bid-YTW : 6.32 % |
| RY.PR.C | Deemed-Retractible | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.87 % |
| PWF.PR.F | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.19 Evaluated at bid price : 23.49 Bid-YTW : 5.62 % |
| CU.PR.E | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.21 Evaluated at bid price : 23.52 Bid-YTW : 5.29 % |
| ENB.PR.Y | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.81 Evaluated at bid price : 24.20 Bid-YTW : 4.16 % |
| ENB.PR.D | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.93 Evaluated at bid price : 24.30 Bid-YTW : 4.21 % |
| GWO.PR.P | Deemed-Retractible | -1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 5.65 % |
| RY.PR.E | Deemed-Retractible | -1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 4.84 % |
| POW.PR.G | Perpetual-Premium | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 24.37 Evaluated at bid price : 24.78 Bid-YTW : 5.69 % |
| W.PR.H | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.70 Evaluated at bid price : 24.01 Bid-YTW : 5.78 % |
| ENB.PR.N | FixedReset | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.05 Evaluated at bid price : 24.75 Bid-YTW : 4.32 % |
| FTS.PR.G | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 22.52 Evaluated at bid price : 23.46 Bid-YTW : 4.18 % |
| RY.PR.G | Deemed-Retractible | -1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.42 Bid-YTW : 4.83 % |
| BAM.PF.C | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 21.19 Evaluated at bid price : 21.19 Bid-YTW : 5.80 % |
| PWF.PR.E | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.92 Evaluated at bid price : 24.16 Bid-YTW : 5.72 % |
| MFC.PR.G | FixedReset | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-19 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.22 % |
| MFC.PR.K | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 4.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BAM.PF.D | Perpetual-Discount | 59,645 | RBC crossed 16,400 at 22.55. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 21.82 Evaluated at bid price : 22.15 Bid-YTW : 5.61 % |
| BMO.PR.M | FixedReset | 47,357 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.48 % |
| FTS.PR.K | FixedReset | 30,565 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2043-08-06 Maturity Price : 23.12 Evaluated at bid price : 24.98 Bid-YTW : 3.75 % |
| TD.PR.E | FixedReset | 29,689 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 4.29 % |
| BNS.PR.A | FixedReset | 29,637 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-05 Maturity Price : 25.50 Evaluated at bid price : 26.06 Bid-YTW : -24.77 % |
| BNS.PR.Q | FixedReset | 26,427 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.81 Bid-YTW : 3.66 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.B | FixedReset | Quote: 21.31 – 22.81 Spot Rate : 1.5000 Average : 0.8360 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 23.41 – 24.28 Spot Rate : 0.8700 Average : 0.5567 YTW SCENARIO |
| BAM.PF.A | FixedReset | Quote: 24.11 – 24.84 Spot Rate : 0.7300 Average : 0.4747 YTW SCENARIO |
| RY.PR.B | Deemed-Retractible | Quote: 24.42 – 24.95 Spot Rate : 0.5300 Average : 0.2968 YTW SCENARIO |
| BAM.PF.D | Perpetual-Discount | Quote: 22.15 – 22.85 Spot Rate : 0.7000 Average : 0.4778 YTW SCENARIO |
| ENB.PR.B | FixedReset | Quote: 24.32 – 24.89 Spot Rate : 0.5700 Average : 0.3492 YTW SCENARIO |