{"id":14115,"date":"2011-02-16T01:38:59","date_gmt":"2011-02-16T05:38:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14115"},"modified":"2011-02-16T01:38:59","modified_gmt":"2011-02-16T05:38:59","slug":"february-15-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14115","title":{"rendered":"February 15, 2011"},"content":{"rendered":"

Daniel K Tarullo, Member of the Board of Governors of the Federal Reserve System, testified before the Committee on Financial Services, US House of Representatives, Washington DC, 15 February 2011, in an effort titled Assessing the regulatory, economic, and market implications of the Dodd-Frank derivatives title<\/a>. Very non-committal and not much meat, but there was one interesting admission that I believe has been downplayed in the debate so far:<\/p>\n

Title VIII of the act complements the role of central clearing in Title VII through heightened supervisory oversight of systemically important financial market utilities, including systemically important facilities that clear swaps. This heightened oversight is important because financial market utilities such as central counterparties concentrate risk and thus have the potential to transmit shocks throughout the financial markets. As part of Title VIII, the Board also was given new authority to provide emergency collateralized liquidity in unusual and exigent circumstances to systemically important financial market utilities. We are carefully considering ways to implement this provision in a manner that protects taxpayers and limits any rise in moral hazard.<\/p><\/blockquote>\n

Additionally, he floated an idea for discretionary exemptions; seeking these exemptions will create jobs for lobbyists and other smiley-boys:<\/p>\n

Within these statutory constraints, the Board and the other prudential regulators are working to implement the margin provisions in a way that takes appropriate account of the relatively low systemic risk posed by most end users. For example, we are considering if it would be appropriate to allow a banking organization that is a dealer or major participant to establish a threshold with respect to an end-user counterparty, based on a credit exposure limit that is approved and monitored as part of the credit approval process, below which the end user would not have to post margin. The Board appreciates that posting margin would impose costs on end users, possibly inhibiting their ability to manage their risks. The Board also believes that the margin regime should be applied only to contracts entered into after the new requirement becomes effective.<\/p><\/blockquote>\n

It was a mixed day on the Canadian preferred share market, with PerpetualDiscounts losing 1bp, FixedResets down 7bp while DeemedRetractibles gained 15bp. Not much volatility, volume was average, and the “Last” spread on FTS.PR.G was rather wide. SLF blocks were the volume highlight.<\/p>\n\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>\n0.1189 %<\/td>\n2,400.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.77 %<\/td>\n3.48 %<\/td>\n18,141<\/td>\n19.09<\/td>\n1<\/td>\n0.2197 %<\/td>\n3,570.3<\/td>\n<\/tr>\n
Floater<\/td>\n2.49 %<\/td>\n2.26 %<\/td>\n46,145<\/td>\n21.58<\/td>\n4<\/td>\n0.1189 %<\/td>\n2,591.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.82 %<\/td>\n3.62 %<\/td>\n60,088<\/td>\n2.22<\/td>\n8<\/td>\n-0.0337 %<\/td>\n2,391.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.31 %<\/td>\n1.13 %<\/td>\n283,014<\/td>\n0.82<\/td>\n4<\/td>\n0.0451 %<\/td>\n2,463.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0337 %<\/td>\n2,186.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.40 %<\/td>\n116,951<\/td>\n1.23<\/td>\n9<\/td>\n-0.0352 %<\/td>\n2,035.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.54 %<\/td>\n5.63 %<\/td>\n132,464<\/td>\n14.40<\/td>\n15<\/td>\n-0.0057 %<\/td>\n2,110.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.24 %<\/td>\n3.75 %<\/td>\n174,435<\/td>\n3.04<\/td>\n54<\/td>\n-0.0701 %<\/td>\n2,261.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.20 %<\/td>\n5.22 %<\/td>\n404,421<\/td>\n8.27<\/td>\n53<\/td>\n0.1531 %<\/td>\n2,085.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n-1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.31
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nDeemed-Retractible<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.60
\nBid-YTW : 5.80 %<\/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.B<\/td>\nDeemed-Retractible<\/td>\n71,103<\/td>\nDesjardins crossed 60,000 at 23.65.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.80
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n48,064<\/td>\nTD crossed 35,000 at 22.35.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.37
\nBid-YTW : 5.87 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n47,211<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n46,847<\/td>\nRBC crossed 28,900 at 25.65.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.60
\nBid-YTW : 3.72 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n43,525<\/td>\nRBC crossed blocks of 30,000 and 10,700, both at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n39,075<\/td>\nDesjardins crossed 15,000 at 23.50.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.53
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n
There were 34 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.75 – 26.48
\nSpot Rate : 0.7300
\nAverage : 0.4738<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n

BAM.PR.H<\/td>\nOpRet<\/td>\nQuote: 25.37 – 25.87
\nSpot Rate : 0.5000
\nAverage : 0.3736<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2012-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.37
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

BNA.PR.D<\/td>\nSplitShare<\/td>\nQuote: 27.00 – 27.29
\nSpot Rate : 0.2900
\nAverage : 0.1808<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-03-17
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.00
\nBid-YTW : -21.51 %<\/td>\n<\/tr>\n

RY.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 26.90 – 27.27
\nSpot Rate : 0.3700
\nAverage : 0.2723<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.99 %<\/td>\n<\/tr>\n

CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.02 – 25.35
\nSpot Rate : 0.3300
\nAverage : 0.2361<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.02
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n

CM.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.25 – 24.48
\nSpot Rate : 0.2300
\nAverage : 0.1483<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Daniel K Tarullo, Member of the Board of Governors of the Federal Reserve System, testified before the Committee on Financial Services, US House of Representatives, Washington DC, 15 February 2011, in an effort titled Assessing …<\/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-14115","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14115","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=14115"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14115\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14115"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14115"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14115"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}