{"id":17795,"date":"2012-02-09T23:24:30","date_gmt":"2012-02-10T03:24:30","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17795"},"modified":"2012-02-09T23:24:30","modified_gmt":"2012-02-10T03:24:30","slug":"february-9-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17795","title":{"rendered":"February 9, 2012"},"content":{"rendered":"

Greece claims to have reached agreement<\/a>:<\/p>\n

\u201cDiscussions between the Greek government and the troika were successfully completed this morning,\u201d Greek Prime Minister Lucas Papademos\u2019s office said in an e-mailed statement today in Athens. \u201cPolitical leaders have agreed with the result of those negotiations. Therefore there is a general agreement in the context of the new program ahead of tonight\u2019s euro group meeting.\u201d The statement didn\u2019t include any details.<\/p><\/blockquote>\n

But PIMCO notes potential resistance of Greeks<\/a>:<\/p>\n

\u201cIt is very unlikely to lead to growth, jobs, financial stability and new investments,\u201d El-Erian, chief executive and co-chief investment officer of the world\u2019s biggest manager of bond funds, said in a radio interview today on \u201cBloomberg Surveillance\u201d with Tom Keene and Ken Prewitt. \u201cThis agreement will be very difficult to sell when the principals, those who have agreed, have to go to their constituents.\u201d<\/p><\/blockquote>\n

The question on my mind is still: will Greek politicians sell the deal to Greek voters? I supported the idea of a referendum when the idea was floated – very briefly! – last fall. We continue to live in interesting times.<\/p>\n

Meanwhile, the guys with the money say “Show me!”<\/a>:<\/p>\n

European finance chiefs are set to defer ratifying a 130 billion-euro ($173 billion) rescue for Greece, pressing the government in Athens to put a newly struck austerity plan into action.<\/p>\n

\u201cIt\u2019s up to the Greek government by concrete actions — through legislation, other actions — to convince its European partners that the second program can be made to work,\u201d European Union Economic and Monetary Affairs Commissioner Olli Rehn said today as he arrived for an emergency meeting of euro-area finance ministers in Brussels.<\/p><\/blockquote>\n

And how many stories like this<\/a> are we going to see?<\/p>\n

Greek doctors are fighting a new invisible foe every day at their hospitals: a pneumonia-causing superbug that most existing antibiotics can\u2019t kill.<\/p>\n

The culprit is spreading through health centers already weighed down by a shortage of nurses. The hospital-acquired germ killed as many as half of people with blood cancers infected at Laiko General Hospital, a 500-bed facility in central Athens.<\/p>\n

The drug-resistant K. pneumoniae bacteria have a genetic mutation that allows them to evade such powerful drugs as AstraZeneca Plc (AZN)\u2019s Merrem and Johnson & Johnson\u2019s Doribax. A 2010 survey found 49 percent of K. pneumoniae samples in Greece aren\u2019t killed by the antibiotics of last resort, known as carbapenems, according to the European Antimicrobial Resistance Surveillance Network. Many doctors have even tried colistin, a 50-year-old drug so potent that it can damage kidneys.<\/p>\n

\u201cWe\u2019re not used to seeing people die of an untreatable infection,\u201d said John Rex, vice president for clinical infection at London-based AstraZeneca, which is developing a new generation of antibiotics. \u201cThat\u2019s like something in a novel of 200 years ago.\u201d<\/p><\/blockquote>\n

The Bank of Canada has provided another nail in the coffin of Efficient Market Theory<\/a>:<\/p>\n

This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are \u2018Fooled by Search.\u2019 Trading frictions, also known as search frictions, have been argued to affect asset prices, so that asset markets are constrained efficient, with shocks to liquidity causing prices to temporarily deviate from long run fundamentals. In this paper a model is proposed and estimated that combines search frictions with a behavioural assumption where market participants incorrectly believe that the efficient market theory holds. In other words, households are \u2018Fooled by Search.\u2019 Such a model is potentially fruitful because it can replicate the observation that real price growth and turnover are highly correlated at an annual frequency in the United States housing market. A linearized version of the model is estimated using standard OLS and annual data. In addition to explaining over 70% of the housing bubble in the United States, the model also predicts and estimation confirms that in regions with a low elasticity of supply, price growth should be more sensitive to turnover. Using the lens of turnover, a supply shock is identified and estimated that has been responsible for over 80% of the fall in real house prices from the peak in 2006 to 2010.<\/p><\/blockquote>\n

Search costs are important<\/a>!<\/p>\n

This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process. The primary effect of a merger therefore is to reduce the number of partners available with whom to negotiate, although it can also change the characteristics of the product, and impact the search effort of consumers. Using a Canadian merger as a case study, we find that, overall, consolidation had little effect on rates suggesting that, on average, the mortgage market is fairly competitive. However, a decomposition of the aggregate treatment effect reveals important heterogeneity in the impact of the merger. We find that consumers gathering multiple quotes are affected by the merger, while those who do not search are not. These results suggest that market power originates in large part from the presence of asymmetric search costs.<\/p><\/blockquote>\n

Woo-Hoo, we’re saved! The CSA is bringing in new Money Market Fund regulations<\/a>:<\/p>\n

Canadian securities regulators have slapped new rules on money market funds in a move that could push already puny yields on these investments even lower.<\/p>\n

Under the new regulations, these funds, which typically pay investors around 1 per cent a year, will need to hold at least five per cent of their assets in cash or in securities that can easily be converted into cash within a day. In addition, they must hold at least another 15 per cent of their assets in securities that can be converted within a week.<\/p><\/blockquote>\n

As I have pointed out until I’m sick to bloody death of saying it, the problem is not liquidity (although that can become a factor in an extreme case, just like any other extreme case) the problem is credit quality – and these rules do absolutely nothing to improve credit quality, which requires mandatory support from the sponsor<\/a>. But why would a regulator worry about what might actually work?<\/p>\n

It was a weak day for the Canadian preferred share market, with PerpetualPremiums down 8bp, FixedResets off 12bp and DeemedRetractibles losing 20bp. Volatility was average, skewed to the downside. Volume was average.<\/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>\n1.0259 %<\/td>\n2,462.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.58 %<\/td>\n3.94 %<\/td>\n39,741<\/td>\n17.43<\/td>\n1<\/td>\n-1.1905 %<\/td>\n3,405.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.71 %<\/td>\n2.96 %<\/td>\n63,663<\/td>\n19.80<\/td>\n3<\/td>\n1.0259 %<\/td>\n2,659.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.82 %<\/td>\n-1.13 %<\/td>\n65,615<\/td>\n1.27<\/td>\n6<\/td>\n-0.3331 %<\/td>\n2,522.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.28 %<\/td>\n-0.40 %<\/td>\n80,670<\/td>\n0.83<\/td>\n4<\/td>\n0.2945 %<\/td>\n2,651.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3331 %<\/td>\n2,307.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.31 %<\/td>\n-3.74 %<\/td>\n109,618<\/td>\n0.09<\/td>\n26<\/td>\n-0.0766 %<\/td>\n2,230.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.02 %<\/td>\n4.84 %<\/td>\n196,708<\/td>\n15.69<\/td>\n4<\/td>\n0.0205 %<\/td>\n2,462.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.01 %<\/td>\n2.60 %<\/td>\n217,262<\/td>\n2.30<\/td>\n65<\/td>\n-0.1234 %<\/td>\n2,397.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.87 %<\/td>\n2.28 %<\/td>\n224,056<\/td>\n1.19<\/td>\n45<\/td>\n-0.1979 %<\/td>\n2,328.5<\/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
FTS.PR.H<\/td>\nFixedReset<\/td>\n-1.51 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 23.66
\nEvaluated at bid price : 26.10
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 21.70
\nEvaluated at bid price : 20.75
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Premium<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
FTS.PR.C<\/td>\nOpRet<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-10
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.00
\nBid-YTW : -5.85 %<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nDeemed-Retractible<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.38
\nBid-YTW : 2.06 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 24.56
\nEvaluated at bid price : 24.79
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.50
\nBid-YTW : 2.30 %<\/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
ENB.PR.F<\/td>\nFixedReset<\/td>\n85,884<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.43
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n70,251<\/td>\nNesbitt crossed 60,000 at 25.90.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 23.52
\nEvaluated at bid price : 25.90
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n66,301<\/td>\nNesbitt crossed 65,000 at 26.65.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.61
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Premium<\/td>\n65,196<\/td>\nRBC crossed a block of 39,700 and two of 10,300 each, all at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.40
\nBid-YTW : -12.30 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n56,140<\/td>\nAnonymous bought two blocks of 10,000 each from RBC at 25.17 and one block of 10,600 from Nesbitt at 25.19.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n43,661<\/td>\nRBC crossed 39,400 at 27.35.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-11-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.32
\nBid-YTW : 2.57 %<\/td>\n<\/tr>\n
There were 33 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.H<\/td>\nFixedReset<\/td>\nQuote: 26.10 – 26.47
\nSpot Rate : 0.3700
\nAverage : 0.2555<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-02-09
\nMaturity Price : 23.66
\nEvaluated at bid price : 26.10
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n

FTS.PR.C<\/td>\nOpRet<\/td>\nQuote: 26.00 – 26.30
\nSpot Rate : 0.3000
\nAverage : 0.1898<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-10
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.00
\nBid-YTW : -5.85 %<\/td>\n<\/tr>\n

RY.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 27.16 – 27.45
\nSpot Rate : 0.2900
\nAverage : 0.1973<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-24
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.16
\nBid-YTW : 1.74 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.22 – 25.49
\nSpot Rate : 0.2700
\nAverage : 0.1999<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.22
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n

BNA.PR.D<\/td>\nSplitShare<\/td>\nQuote: 26.65 – 26.91
\nSpot Rate : 0.2600
\nAverage : 0.1930<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-10
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.65
\nBid-YTW : -8.18 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.55 – 25.84
\nSpot Rate : 0.2900
\nAverage : 0.2270<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Greece claims to have reached agreement: \u201cDiscussions between the Greek government and the troika were successfully completed this morning,\u201d Greek Prime Minister Lucas Papademos\u2019s office said in an e-mailed statement today in Athens. \u201cPolitical leaders …<\/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-17795","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17795","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=17795"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17795\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17795"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17795"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17795"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}