{"id":13728,"date":"2011-01-13T21:03:25","date_gmt":"2011-01-14T01:03:25","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=13728"},"modified":"2011-01-13T21:03:25","modified_gmt":"2011-01-14T01:03:25","slug":"january-13-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=13728","title":{"rendered":"January 13, 2011"},"content":{"rendered":"

There’s a fundamental disagreement about the Citigroup bail-out<\/a>:<\/p>\n

\u201cWhile there was consensus that Citigroup was too systemically significant to be allowed to fail, that consensus appeared to be based as much on gut instinct and fear of the unknown as on objective criteria,\u201d according to a report today from Neil Barofsky, special inspector general for the Troubled Asset Relief Program. \u201cThe conclusion of the various government actors that Citigroup had to be saved was strikingly ad hoc.\u201d
…<\/b>
\u201cIt may have been ad hoc, but it worked,\u201d said Michael Goldstein, professor of finance at Babson College in Massachusetts. \u201cFear of the unknown is a perfectly good reason to try to buy some time and not take the chance of the U.S. economy going into another Great Depression.\u201d<\/p><\/blockquote>\n

Well, I’m no big fan of the regulators, but expecting a standard bureaucratic binder with plans regarding ‘What to do if the world melts down’ seems a bit much. Once they started concentrating on their jobs – the concentration being assisted by the prospect of hanging in the morning – they did all right. Like the man said<\/a>, more or less, no plan survives contact with the enemy.<\/p>\n

However, the US is eating its seed corn<\/a>:<\/p>\n

Now, as governments in China and India boost funding for expansion of their universities, Governor Jerry Brown\u2019s proposed 16 percent cut in the higher-education budget jeopardizes the flow of talent that powers Google Inc., Apple Inc. and the rest of California\u2019s knowledge-based economy. The elite University of California system may no longer be able to guarantee admission to the top 12.5 percent of the state\u2019s high-school seniors. Annual tuition for residents, which was less than $4,500 a decade ago, is scheduled to rise to at least $11,124 in the next school year.<\/p><\/blockquote>\n

… but the current pace of innovation remains satisfactory<\/a>:<\/p>\n

Vivus Inc.\u2019s experimental impotence drug Avanafil helped 80 percent of men achieve erections and two-thirds to have intercourse, Chief Executive Officer Leland Wilson said.
…<\/b>
Because Avanafil is metabolized fairly rapidly, men may be able to use it safely twice a day, at the beginning and end of the day, Tam said.<\/p><\/blockquote>\n

News of the breakthrough got the Canadian preferred share market all excited today, with PerpetualDiscounts up 65bp while FixedResets gained 4bp on heavy volume.<\/p>\n

It was the deep-discount issues that did particularly well, as will be seen on the Performance table, but let’s look at some specific:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
CM Straight Perpetuals<\/td>\n<\/tr>\n
Ticker<\/td>\nDividend<\/td>\nQuote
1\/12<\/td>\n		Quote
1\/13<\/td>\n		Bid Change<\/td>\nCurrent Yield
at bid
1\/12<\/td>\n		Current Yield
at bid
1\/13<\/td>\n		Current Yield Change<\/td>\n<\/tr>\n
CM.PR.J<\/td>\n1.125<\/td>\n21.76-84<\/td>\n22.17-39<\/td>\n+0.41<\/td>\n5.17%<\/td>\n5.07%<\/td>\n-10bp<\/td>\n<\/tr>\n
CM.PR.I<\/td>\n1.175<\/td>\n22.46-55<\/td>\n22.75-96<\/td>\n+0.29<\/td>\n5.23%<\/td>\n5.16%<\/td>\n-7bp<\/td>\n<\/tr>\n
CM.PR.H<\/td>\n1.20<\/td>\n22.86-95<\/td>\n23.19-35<\/td>\n+0.33<\/td>\n5.25%<\/td>\n5.17%<\/td>\n-8bp<\/td>\n<\/tr>\n
CM.PR.G<\/td>\n1.35<\/td>\n24.60-65<\/td>\n24.63-75<\/td>\n+0.03<\/td>\n5.49%<\/td>\n5.48%<\/td>\n-1bp<\/td>\n<\/tr>\n
CM.PR.P<\/td>\n1.375<\/td>\n24.90-93<\/td>\n24.90-94<\/td>\n0.00<\/td>\n5.52%<\/td>\n5.52%<\/td>\n0bp<\/td>\n<\/tr>\n
CM.PR.E<\/td>\n1.40<\/td>\n24.89-10<\/td>\n25.05-18<\/td>\n+0.16<\/td>\n5.62%<\/td>\n5.59%<\/td>\n-3bp<\/td>\n<\/tr>\n
CM.PR.D<\/td>\n1.4375<\/td>\n25.33-36<\/td>\n25.32-50<\/td>\n-001<\/td>\n5.68%<\/td>\n5.68%<\/td>\n0bp<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Analysis of the data using the Straight Perpetual Implied Volatility Calculator<\/a> produces the following table:<\/p>\n

\n\n\n\n\n\n\n
Fits to Implied Volatility<\/td>\n<\/tr>\n
Issuer<\/td>\n2010-12-31<\/td>\n2011-1-12<\/td>\n2011-1-13<\/td>\n<\/tr>\n
Yield<\/td>\nVolatility<\/td>\nYield<\/td>\nVolatility<\/td>\nYield<\/td>\nVolatility<\/td>\n<\/tr>\n
CM<\/td>\n4.90%<\/td>\n18%<\/td>\n4.70%<\/td>\n19%<\/td>\n4.00%<\/td>\n25%<\/td>\n<\/tr>\n
Calculations are performed with a time horizon of three years for all issues<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Plots are:<\/p>\n

2011-01-12<\/b>
\n\"\"<\/a>
Click for Big<\/i>
 
 
 
2011-01-13<\/b>
\"\"<\/a>
Click for Big<\/i><\/div>\n

All this does not appear to be bond-related, by the way: long corporates did nothing all day, NUTHIN’.<\/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>\n0.0736 %<\/td>\n2,323.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.81 %<\/td>\n3.49 %<\/td>\n27,535<\/td>\n19.18<\/td>\n1<\/td>\n-0.4403 %<\/td>\n3,539.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.57 %<\/td>\n2.36 %<\/td>\n43,466<\/td>\n21.32<\/td>\n4<\/td>\n0.0736 %<\/td>\n2,509.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n3.35 %<\/td>\n66,739<\/td>\n2.31<\/td>\n8<\/td>\n0.0337 %<\/td>\n2,389.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.33 %<\/td>\n1.76 %<\/td>\n566,949<\/td>\n0.90<\/td>\n4<\/td>\n0.0201 %<\/td>\n2,453.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0337 %<\/td>\n2,184.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.65 %<\/td>\n5.25 %<\/td>\n132,278<\/td>\n5.19<\/td>\n20<\/td>\n0.1378 %<\/td>\n2,029.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.35 %<\/td>\n5.37 %<\/td>\n244,964<\/td>\n14.88<\/td>\n57<\/td>\n0.6525 %<\/td>\n2,065.0<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.24 %<\/td>\n3.41 %<\/td>\n291,015<\/td>\n3.07<\/td>\n52<\/td>\n0.0360 %<\/td>\n2,272.4<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
PWF.PR.I<\/td>\nPerpetual-Premium<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 21.12
\nEvaluated at bid price : 21.12
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 23.44
\nEvaluated at bid price : 23.69
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.75
\nEvaluated at bid price : 22.95
\nBid-YTW : 5.47 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.52
\nEvaluated at bid price : 22.68
\nBid-YTW : 4.97 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.45
\nEvaluated at bid price : 22.61
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.34
\nEvaluated at bid price : 22.51
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 23.92
\nEvaluated at bid price : 24.19
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 20.90
\nEvaluated at bid price : 20.90
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.45
\nEvaluated at bid price : 22.61
\nBid-YTW : 5.04 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.32
\nBid-YTW : 5.35 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.58
\nEvaluated at bid price : 22.75
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 20.96
\nEvaluated at bid price : 20.96
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.67
\nEvaluated at bid price : 22.85
\nBid-YTW : 4.93 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 23.76
\nEvaluated at bid price : 24.04
\nBid-YTW : 4.99 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.19
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 21.95
\nEvaluated at bid price : 22.08
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 21.78
\nEvaluated at bid price : 22.07
\nBid-YTW : 5.31 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.54
\nEvaluated at bid price : 22.70
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.87
\nEvaluated at bid price : 23.05
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.04
\nEvaluated at bid price : 22.17
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetual-Discount<\/td>\n2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.63
\nEvaluated at bid price : 22.80
\nBid-YTW : 4.94 %<\/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.A<\/td>\nOpRet<\/td>\n236,475<\/td>\nTD crossed 25,000 at 25.80; Nesbitt corssed 100,000 at the same price. Desjardins crossed 99,400 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.78
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n114,220<\/td>\nNesbitt crossed 50,000 at 25.00, then bought blocks o 14,200 and 30,000 from anonymous at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 24.91
\nEvaluated at bid price : 24.96
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n
BAM.PR.P<\/td>\nFixedReset<\/td>\n110,660<\/td>\nRBC crossed 100,000 at 27.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.30
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n106,579<\/td>\nRBC crossed 97,900 at 25.91.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n104,350<\/td>\nRBC crossed 100,000 at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.18
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n102,468<\/td>\nRBC crossed 20,600 at 23.21, then sold 10,000 to anonymous at 23.45. Desjardins crossed 20,000 at 23.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-13
\nMaturity Price : 22.96
\nEvaluated at bid price : 23.19
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
There were 56 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There’s a fundamental disagreement about the Citigroup bail-out: \u201cWhile there was consensus that Citigroup was too systemically significant to be allowed to fail, that consensus appeared to be based as much on gut instinct and …<\/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-13728","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13728","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=13728"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13728\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=13728"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=13728"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=13728"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}