{"id":12399,"date":"2010-10-01T21:21:29","date_gmt":"2010-10-02T01:21:29","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12399"},"modified":"2010-10-01T21:21:29","modified_gmt":"2010-10-02T01:21:29","slug":"october-1-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12399","title":{"rendered":"October 1, 2010"},"content":{"rendered":"

Towers Watson has released a series of promotional reports:Pension Finance Watch<\/a>:<\/p>\n

Long bond yields plunged in August, pushing liability values up dramatically. Equity values also declined significantly during the month. This rather unfortunate combination of capital market events means bad news for pension plan funded ratios. The Towers Watson Pension Index declined by 7.4% for the month to 60.0. This is the lowest recorded funded ratio in our data series extending back to 1990.<\/p><\/blockquote>\n

P&I \/ TW 300 Analysis<\/a>:<\/p>\n

Research conducted by Pensions & Investments and Towers Watson has found that total assets of the world’s largest 300 pension funds grew by over 8% in 2009, to US$11.3 trillion, up by around US$1 trillion from last year’s figure.<\/p><\/blockquote>\n

Some cheerful news from the States: the California 2010 Debt Affordability Report<\/a>:<\/p>\n

Because debt service is considered a fixed part of a State\u2019s budget, credit analysts compare a state\u2019s General Fund-supported debt service to its General Fund revenues as a measure of the state\u2019s fiscal flexibility. California\u2019s ratio of debt service to General Fund revenues was 6.69 percent in 2009-10, based on $5.790 billion in GO, lease revenue and Proposition 1A Receivables debt service payments versus $86.521 billion in General Fund revenues. This ratio is projected to be 7.17 percent in 2010-11, based on $6.558 billion5 in debt service payments versus $91.451 billion in General Fund revenues as projected by the Department of Finance.<\/p><\/blockquote>\n

The EU has an interesting approach to their sovereign debt crisis: make rating sovereigns a risky business<\/a>:<\/p>\n

Ministers are \u201cready to discuss\u201d fines for ratings companies who mislead investors with poor quality ratings for securities, Swedish Finance Minister Anders Borg said in Brussels, while Didier Reynders, the Belgian finance minister, said \u201cwe do need a regulation on that, it\u2019s very clear.\u201d
…<\/b>
\u201cConcern has been expressed on whether the ratings of sovereign debt are necessary at all given the fact that there is already a large degree of transparency in the markets as regards the situation of government finance,\u201d according to the commission document, dated Sept. 15.<\/p>\n

The European Union approved rules for credit-rating companies last year, requiring them to adhere to a code of conduct to reduce conflicts of interest between issuers and rating firms.<\/p><\/blockquote>\n

These are the guys, remember, who were willfully blind to the falsification of Greek debt data. as discussed on March 1<\/a>.<\/p>\n

The Canadian preferred share market started the quarter with another day of mixed results on heavy volume, as PerpetualDiscounts gained 24bp and FixedResets lost 9bp.<\/p>\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>\n0.5919 %<\/td>\n2,156.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5919 %<\/td>\n3,267.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.90 %<\/td>\n3.25 %<\/td>\n79,463<\/td>\n19.14<\/td>\n3<\/td>\n0.5919 %<\/td>\n2,328.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.90 %<\/td>\n2.98 %<\/td>\n76,077<\/td>\n0.16<\/td>\n9<\/td>\n-0.1203 %<\/td>\n2,368.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.94 %<\/td>\n-30.82 %<\/td>\n67,322<\/td>\n0.09<\/td>\n2<\/td>\n0.4730 %<\/td>\n2,371.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1203 %<\/td>\n2,166.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.71 %<\/td>\n5.25 %<\/td>\n124,356<\/td>\n5.32<\/td>\n19<\/td>\n0.1115 %<\/td>\n1,996.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.49 %<\/td>\n5.50 %<\/td>\n208,895<\/td>\n14.62<\/td>\n58<\/td>\n0.2352 %<\/td>\n1,983.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.28 %<\/td>\n3.22 %<\/td>\n319,704<\/td>\n3.30<\/td>\n47<\/td>\n-0.0908 %<\/td>\n2,258.5<\/td>\n<\/tr>\n<\/table>\n\n\n\n\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
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-10-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.92
\nBid-YTW : -13.83 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.65
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 20.02
\nEvaluated at bid price : 20.02
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 22.93
\nEvaluated at bid price : 23.15
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 23.47
\nEvaluated at bid price : 26.15
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 16.21
\nEvaluated at bid price : 16.21
\nBid-YTW : 3.25 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 5.55 %<\/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
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n285,995<\/td>\nNesbitt crossed blocks of 160,000 and 98,600, both at 20.02.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 19.92
\nEvaluated at bid price : 19.92
\nBid-YTW : 5.89 %<\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetual-Premium<\/td>\n116,560<\/td>\nNesbitt crossed 108,200 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-10-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.40
\nBid-YTW : -0.83 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n108,265<\/td>\nRBC crossed 60,000 at 28.00 and bought 15,000 from TD at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.95
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n82,943<\/td>\nRBC crossed blocks of 13,300 and 48,100, both at 26.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.22
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n59,435<\/td>\nRBC crossed two blocks of 20,000 each, both at 25.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 25.47
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetual-Discount<\/td>\n57,300<\/td>\nNesbitt crossed blocks of 15,000 and 32,900, both at 24.52.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-10-01
\nMaturity Price : 24.27
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
There were 47 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Towers Watson has released a series of promotional reports:Pension Finance Watch: Long bond yields plunged in August, pushing liability values up dramatically. Equity values also declined significantly during the month. This rather unfortunate combination 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-12399","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12399","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=12399"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12399\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12399"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12399"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12399"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}