{"id":16409,"date":"2011-09-19T22:28:45","date_gmt":"2011-09-20T02:28:45","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=16409"},"modified":"2011-09-19T22:28:45","modified_gmt":"2011-09-20T02:28:45","slug":"september-19-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=16409","title":{"rendered":"September 19, 2011"},"content":{"rendered":"

The SEC has proposed an asinine, politicized, rule<\/a>:<\/p>\n

The proposed rule would prohibit securitization participants of an ABS for a designated time period from engaging in certain transactions that would involve or result in any material conflict of interest. Two criteria to determine whether the transaction involves a material conflict of interest are set out in the rule proposal.
…<\/b>
EXAMPLE 1: Among other things, the proposed rule could \u2014 if certain conditions are otherwise met \u2014 prohibit a firm from packaging an ABS, selling the ABS to an investor, and subsequently shorting the ABS to potentially profit at the same time as the investor would incur losses.<\/p>\n

EXAMPLE 2: The proposed rules also could \u2014 if certain conditions are otherwise met \u2014 prohibit a firm from allowing a third party to help assemble an ABS in a way that creates an opportunity for the third party to profit from the failure of the ABS.<\/p><\/blockquote>\n

So, when you’re putting together an ABS, you’re not allowed to ask the guy who’s shorting the stuff to you what he’s willing to sell. And don’t take a position opposite your clients, because the SEC knows for a fact that no investor who has ever lived is smart enough to be allowed to take a view contrary to a dealer.<\/p>\n

S&P downgraded Italy<\/a>:<\/p>\n

Italy\u2019s credit rating was cut one level to A by Standard & Poor\u2019s, which said the outlook remains \u201cnegative.\u201d<\/p>\n

The rating for Italy, which has Europe\u2019s second-largest debt load, was lowered from A+, S&P said today in a statement. The firm said Italy\u2019s net general government debt is the highest among A rated sovereigns, and now expects it to peak later and at a higher level than it previously anticipated.<\/p>\n

\u201cIn our view, Italy\u2019s economic growth prospects are weakening and we expect that Italy\u2019s fragile governing coalition and policy differences within parliament will continue to limit the government\u2019s ability to respond decisively to domestic and external macroeconomic challenges,\u201d S&P said in a statement.<\/p>\n

Italy follows Spain, Ireland, Portugal, Cyprus and Greece as euro-region countries having their credit rating cut this year.<\/p><\/blockquote>\n

Dealbreaker has another excellent piece on the problems regarding defining “proprietary trading”<\/a>.<\/p>\n

The Canadian preferred share market took a loss today, with PerpetualDiscounts losing 29bp, FixedResets down 9bp and DeemedRetractibles off 4bp. There was an uptick in volatility, all to the downside. Volume was so low one might be forgiven for thinking it was Christmas!<\/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>\n-2.7714 %<\/td>\n2,085.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-2.7714 %<\/td>\n3,136.1<\/td>\n<\/tr>\n
Floater<\/td>\n3.12 %<\/td>\n3.38 %<\/td>\n59,618<\/td>\n18.81<\/td>\n3<\/td>\n-2.7714 %<\/td>\n2,251.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.82 %<\/td>\n2.41 %<\/td>\n59,842<\/td>\n1.63<\/td>\n8<\/td>\n-0.0820 %<\/td>\n2,459.8<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.39 %<\/td>\n0.59 %<\/td>\n51,409<\/td>\n0.44<\/td>\n4<\/td>\n-0.6520 %<\/td>\n2,487.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0820 %<\/td>\n2,249.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n4.55 %<\/td>\n116,842<\/td>\n1.07<\/td>\n16<\/td>\n-0.0123 %<\/td>\n2,118.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.28 %<\/td>\n5.33 %<\/td>\n112,570<\/td>\n14.86<\/td>\n14<\/td>\n-0.2888 %<\/td>\n2,255.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.19 %<\/td>\n212,617<\/td>\n2.62<\/td>\n59<\/td>\n-0.0914 %<\/td>\n2,328.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.04 %<\/td>\n4.60 %<\/td>\n235,897<\/td>\n7.80<\/td>\n46<\/td>\n-0.0392 %<\/td>\n2,201.3<\/td>\n<\/tr>\n<\/table>\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.A<\/td>\nFloater<\/td>\n-5.79 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.10
\nBid-YTW : 7.20 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.93
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 23.93
\nEvaluated at bid price : 24.22
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.14
\nBid-YTW : 6.39 %<\/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
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n44,990<\/td>\nDesjardins crossed 33,400 at 24.94.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 4.59 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n39,301<\/td>\nNesbitt crossed 20,000 at 25.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.11
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n33,054<\/td>\nTD crossed 19,700 at 26.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.29
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n32,200<\/td>\nRBC crossed 25,000 at 26.21.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.15
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Premium<\/td>\n22,700<\/td>\nNesbitt crossed 20,000 at 25.32.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 1.11 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n22,400<\/td>\nRBC crossed 11,500 at 21.51.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
There were 15 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
PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 19.51 – 21.50
\nSpot Rate : 1.9900
\nAverage : 1.3014<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n

IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.92 – 26.34
\nSpot Rate : 0.4200
\nAverage : 0.2814<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.92
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n

TD.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.55 – 25.86
\nSpot Rate : 0.3100
\nAverage : 0.1762<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.55 %<\/td>\n<\/tr>\n

BNA.PR.E<\/td>\nSplitShare<\/td>\nQuote: 23.14 – 23.65
\nSpot Rate : 0.5100
\nAverage : 0.4061<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.14
\nBid-YTW : 6.39 %<\/td>\n<\/tr>\n

PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.66 – 24.94
\nSpot Rate : 0.2800
\nAverage : 0.1851<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-19
\nMaturity Price : 24.35
\nEvaluated at bid price : 24.66
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n

BNA.PR.C<\/td>\nSplitShare<\/td>\nQuote: 21.10 – 21.35
\nSpot Rate : 0.2500
\nAverage : 0.1609<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.10
\nBid-YTW : 7.20 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The SEC has proposed an asinine, politicized, rule: The proposed rule would prohibit securitization participants of an ABS for a designated time period from engaging in certain transactions that would involve or result in any …<\/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-16409","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16409","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=16409"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16409\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16409"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16409"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16409"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}