{"id":13016,"date":"2010-11-18T00:36:44","date_gmt":"2010-11-18T04:36:44","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=13016"},"modified":"2010-11-18T00:36:44","modified_gmt":"2010-11-18T04:36:44","slug":"november-17-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=13016","title":{"rendered":"November 17, 2010"},"content":{"rendered":"

Econbrowser<\/i>‘s Menzie Chinn brings to my attention<\/a> a very nice interactive from the NYT<\/a> on the US budget deficit.<\/p>\n

It looks as if the Europeans are thinking about rejecting bank leverage caps<\/a>:<\/p>\n

Banks in Europe may escape global rules designed to limit their debt, as several countries push the European Union to drop a so-called leverage ratio, two people close to the discussions said.<\/p>\n

A majority of nations in the 27-country EU oppose introducing a binding leverage ratio that was adopted last week by the Group of 20 countries, according to the people, who declined to be identified because the discussions are private. The countries, including Sweden and France, say the ratio might encourage banks to pursue risky activities, the people said.
…<\/b>
Opponents of a leverage ratio say that by putting a limit on the scale of banks\u2019 activities, institutions may be tempted to maximize returns by curtailing traditional lending in favor of riskier activities.
…<\/b>
Almost all EU states have said they oppose implementing legislation that includes a binding leverage ratio, according to the people. The countries are seeking a separate decision on the issue in several years, following further analysis of the financial effect.<\/p>\n

\u201cThe leverage ratio is unsuitable as a regulatory instrument\u201d, declared Chris De Noose, managing director of the European Savings Banks Group, \u201cdue to its lack of sensitivity to the specificities of the business models of the various financial institutions and their riskiness and exposure to market volatility.\u201d<\/p>\n

A binding leverage ratio probably leads to banks being given the \u201cwrong incentives,\u201d Lars Hofer, a spokesman for the Association of German Banks, said. Banks could take \u201chigher risks in order to generate higher profits on a given number of risk-weighted assets,\u201d he said.<\/p><\/blockquote>\n

Well, all I can say is that that doesn’t fit my memories of the Panic of 2007! However, a lack of leverage cap will allow the European banks to load up on nice, save, solid sovereign debt.<\/p>\n

Efforts to politicize the Fed<\/a> continue:<\/p>\n

The four top Republicans in Congress wrote to Federal Reserve Chairman Ben S. Bernanke today expressing \u201cdeep concerns\u201d over the central bank\u2019s second- round of Treasury bond purchases.<\/p>\n

\u201cWhile intended to improve the short-term growth of the U.S. economy and help maintain a stable price level, such a measure introduces significant uncertainty regarding the future strength of the dollar,\u201d the letter said. The purchases could \u201cresult both in hard-to-control, long-term inflation and potentially generate artificial asset bubbles.\u201d<\/p>\n

The letter, dated today, was signed by House Republican leader John Boehner of Ohio, House Republican Whip Eric Cantor of Virginia, Senate Republican leader Mitch McConnell of Kentucky, and Senate Republican Whip Jon Kyl of Arizona.<\/p><\/blockquote>\n

Straight Perpetuals continued to slide today, with PerpetualDiscounts losing 18bp, but FixedReset were able to hold, gaining 1bp. Volume continued to be heavy.<\/p>\n

PerpetualDiscounts now yield 5.43%, equivalent to 7.60% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield about 5.4%, so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now 220bp, an increase from the 210bp reported on November 10<\/a>.<\/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>\n-0.1140 %<\/td>\n2,235.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.88 %<\/td>\n3.50 %<\/td>\n27,177<\/td>\n19.14<\/td>\n1<\/td>\n0.2247 %<\/td>\n3,449.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.66 %<\/td>\n2.34 %<\/td>\n63,062<\/td>\n21.39<\/td>\n4<\/td>\n-0.1140 %<\/td>\n2,414.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.75 %<\/td>\n2.83 %<\/td>\n61,560<\/td>\n2.44<\/td>\n8<\/td>\n-0.1282 %<\/td>\n2,396.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.34 %<\/td>\n-1.12 %<\/td>\n122,645<\/td>\n1.06<\/td>\n3<\/td>\n0.3608 %<\/td>\n2,495.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1282 %<\/td>\n2,190.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.66 %<\/td>\n5.30 %<\/td>\n161,043<\/td>\n4.75<\/td>\n24<\/td>\n-0.2917 %<\/td>\n2,014.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.36 %<\/td>\n5.43 %<\/td>\n258,566<\/td>\n14.74<\/td>\n53<\/td>\n-0.1766 %<\/td>\n2,035.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.22 %<\/td>\n3.00 %<\/td>\n335,983<\/td>\n3.19<\/td>\n50<\/td>\n0.0140 %<\/td>\n2,282.8<\/td>\n<\/tr>\n<\/table>\n\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
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-17
\nMaturity Price : 22.91
\nEvaluated at bid price : 23.10
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-17
\nMaturity Price : 21.66
\nEvaluated at bid price : 21.92
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Premium<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-17
\nMaturity Price : 21.22
\nEvaluated at bid price : 21.22
\nBid-YTW : 5.69 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-17
\nMaturity Price : 20.80
\nEvaluated at bid price : 20.80
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.77
\nBid-YTW : 3.52 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-11-17
\nMaturity Price : 23.88
\nEvaluated at bid price : 24.15
\nBid-YTW : 5.60 %<\/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
SLF.PR.F<\/td>\nFixedReset<\/td>\n102,775<\/td>\nTD crossed 73,400 at 27.70; National crossed 17,000 at 27.79.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.70
\nBid-YTW : 3.13 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Premium<\/td>\n89,910<\/td>\nRBC crossed 88,900 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.44
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n83,640<\/td>\nRBC crossed 80,000 at 25.86.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-12-17
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.85
\nBid-YTW : 2.42 %<\/td>\n<\/tr>\n
TDS.PR.C<\/td>\nSplitShare<\/td>\n76,467<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-12-15
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.60
\nBid-YTW : -1.12 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n75,765<\/td>\nNational crossed two blocks of 25,000 each and one of 10,000, all at 26.65.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.51
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n73,620<\/td>\nNesbitt crossed 60,000 at 26.51.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.52
\nBid-YTW : 2.98 %<\/td>\n<\/tr>\n
There were 59 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Econbrowser‘s Menzie Chinn brings to my attention a very nice interactive from the NYT on the US budget deficit. It looks as if the Europeans are thinking about rejecting bank leverage caps: Banks in Europe …<\/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-13016","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13016","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=13016"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13016\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=13016"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=13016"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=13016"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}