{"id":14249,"date":"2011-03-01T21:48:46","date_gmt":"2011-03-02T01:48:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14249"},"modified":"2011-03-01T21:48:46","modified_gmt":"2011-03-02T01:48:46","slug":"march-1-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14249","title":{"rendered":"March 1, 2011"},"content":{"rendered":"

The Federal Reserve Bank of New York has released<\/a> a Staff Report by Olivier Armantier, Eric Ghysels, Asani Sarkar, and Jeffrey Shrader titled Stigma in Financial Markets: Evidence from Liquidity Auctions and Discount Window Borrowing during the Crisis<\/a>:<\/p>\n

We provide empirical evidence for the existence, magnitude, and economic impact of stigma associated with banks borrowing from the Federal Reserve\u2019s discount window facility. We find that, during the height of the financial crisis, banks were willing to pay an average premium of at least 37 basis points (and 150 basis points after Lehman\u2019s bankruptcy) to borrow from the Term Auction Facility rather than from the discount window. The incidence of stigma varied according to bank characteristics and market conditions. Finally, we find that discount window stigma is economically relevant since it increased banks\u2019 borrowing costs during the crisis. Our results have important implications for the provision of liquidity by central banks.<\/p><\/blockquote>\n

Also released<\/a> was a Staff Report by Maria Kasch and Asani Sarkar titled Comovement Revisited<\/a>:<\/p>\n

We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is explained by strong increases in earnings and in the market value of the event stocks in the period around\u2015and, in particular, prior to\u2015their inclusion in the index. We suggest that inclusions to the S&P 500 index are informative events that trigger a reassessment of the risk of newly added firms by drawing the broad market\u2019s attention to their extraordinary growth in size and profitability.<\/p><\/blockquote>\n

It was a good day in the Canadian preferred share market, with PerpetualDiscounts up 16bp, FixedResets gaining 3bp and DeemedRetractibes winning 11bp. Above-average volume.<\/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>\n0.2149 %<\/td>\n2,393.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2149 %<\/td>\n3,600.0<\/td>\n<\/tr>\n
Floater<\/td>\n2.50 %<\/td>\n2.27 %<\/td>\n47,918<\/td>\n21.55<\/td>\n4<\/td>\n0.2149 %<\/td>\n2,584.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n3.57 %<\/td>\n61,583<\/td>\n1.34<\/td>\n9<\/td>\n0.1505 %<\/td>\n2,392.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.11 %<\/td>\n3.39 %<\/td>\n233,266<\/td>\n1.05<\/td>\n5<\/td>\n0.5769 %<\/td>\n2,476.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1505 %<\/td>\n2,187.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.54 %<\/td>\n125,265<\/td>\n2.49<\/td>\n10<\/td>\n0.0854 %<\/td>\n2,034.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.51 %<\/td>\n5.60 %<\/td>\n128,167<\/td>\n14.42<\/td>\n14<\/td>\n0.1642 %<\/td>\n2,116.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.21 %<\/td>\n3.52 %<\/td>\n199,373<\/td>\n3.00<\/td>\n54<\/td>\n0.0296 %<\/td>\n2,278.1<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.22 %<\/td>\n5.21 %<\/td>\n385,017<\/td>\n8.29<\/td>\n53<\/td>\n0.1101 %<\/td>\n2,083.7<\/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
CIU.PR.B<\/td>\nFixedReset<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
NA.PR.L<\/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 : 24.64
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-01
\nMaturity Price : 22.72
\nEvaluated at bid price : 22.90
\nBid-YTW : 5.37 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.79
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n2.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.22
\nBid-YTW : 5.42 %<\/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
TD.PR.M<\/td>\nOpRet<\/td>\n169,711<\/td>\nNesbitt sold blocks of 10,000 and 22,300 to RBC, both at 25.65. Nesbitt sold blocks of 13,600 and 36,400 to Desjardins at 25.65. Nebit crossed 50,000 at 25.65; RBC crossed 25,500 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-05-30
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.70
\nBid-YTW : 2.98 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n119,302<\/td>\nDesjardins crossed 20,000 at 26.70; Nesbitt crossed blocks of 40,300 and 25,000, both at 26.70. TD crossed 15,000 at 26.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n108,086<\/td>\nDesjardins crossed 100,000 at 26.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n77,881<\/td>\nNesbitt crossed blocks of 50,000 and 25,000, both at 25.66.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.65
\nBid-YTW : 5.24 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\n59,997<\/td>\nNesbitt crossed 50,000 at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.72
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n54,872<\/td>\nDesjardins crossed 50,200 at 23.23.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.15
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
There were 43 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
IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.75 – 28.24
\nSpot Rate : 1.4900
\nAverage : 0.8440<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.40 – 25.83
\nSpot Rate : 0.4300
\nAverage : 0.2739<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.68 – 26.10
\nSpot Rate : 0.4200
\nAverage : 0.2761<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.68
\nBid-YTW : 4.10 %<\/td>\n<\/tr>\n

CIU.PR.B<\/td>\nFixedReset<\/td>\nQuote: 27.00 – 27.50
\nSpot Rate : 0.5000
\nAverage : 0.3757<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.26 – 22.78
\nSpot Rate : 0.5200
\nAverage : 0.4014<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.26
\nBid-YTW : 5.96 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.58 – 25.97
\nSpot Rate : 0.3900
\nAverage : 0.2888<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.58
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Federal Reserve Bank of New York has released a Staff Report by Olivier Armantier, Eric Ghysels, Asani Sarkar, and Jeffrey Shrader titled Stigma in Financial Markets: Evidence from Liquidity Auctions and Discount Window Borrowing …<\/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-14249","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14249","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=14249"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14249\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14249"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14249"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14249"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}