{"id":22575,"date":"2013-07-25T00:23:36","date_gmt":"2013-07-25T04:23:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22575"},"modified":"2013-07-25T00:23:36","modified_gmt":"2013-07-25T04:23:36","slug":"july-24-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22575","title":{"rendered":"July 24, 2013"},"content":{"rendered":"

I never get tired of mocking the salesmen who pretend to be rough-tough investment analysts. Today’s winners are Alan Roseman and Laura Schwartz, incompetents who feel that “follow the leader” is a dandy investment strategy<\/a>:<\/p>\n

Laura Schwartz, who headed ACA Management LLC\u2019s asset management business in early 2007, testified today that Goldman and Paulson, which is run by billionaire John Paulson, led her to believe that the hedge fund wanted to invest, rather than take a short position, in a mortgage-backed security that lost $1 billion in the crash of the credit markets.
…<\/b>
ACA\u2019s former chief executive officer, Alan Roseman, testified yesterday that Paulson\u2019s long position was \u201ccritical\u201d to ACA\u2019s participation in Abacus. The SEC claims Tourre and Paulson misled ACA, believing the firm\u2019s presence on the transaction would lend Abacus credibility and attract investors.<\/p><\/blockquote>\n

Fabulous Fab testifies today<\/a>:<\/p>\n

Fabrice Tourre, the former Goldman Sachs Group Inc. (GS) vice president facing civil fraud claims over a mortgage bond debacle that made his client $1 billion, may say when he takes the witness stand today that he\u2019s a scapegoat who was only trying to do his best for the firm.<\/p>\n

Tourre, now a 34-year-old graduate student, is scheduled to testify before a jury in Manhattan federal court this afternoon about his role in structuring and selling a 2007 mortgage-backed investment that lost a group of investors about $1 billion when the mortgage market crashed. It will be his first chance to make good on a promise, made before Congress in April 2010, to fight the U.S. Securities and Exchange Commission\u2019s allegations that he \u201ccategorically\u201d denied.<\/p><\/blockquote>\n

Tourre’s questioning<\/a> turns out to be mostly about this stupidity, but:<\/p>\n

On cross-examination by Tourre\u2019s lawyer, John \u201cSean\u201d Coffey, Schwartz told jurors that ACA wouldn\u2019t have changed its standards for selecting a portfolio of mortgage-backed securities whether it was getting input from a long or a short investor. She also said she had worked on deals in which investors took both long and short positions on portfolios.<\/p>\n

Tourre\u2019s lawyers are trying to show that Paulson\u2019s participation didn\u2019t increase the risk that Abacus would fail and that it didn\u2019t make a difference to ACA.<\/p><\/blockquote>\n

Well, of course it didn’t. That’s elementary. What a colossal waste of time and money this trial is.<\/p>\n

It was another down day for the Canadian preferred share market, with PerpetualDiscounts losing 34bp, FixedResets off 11bp and DeemedRetractibles down 33bp. The lengthy Performance Highlights table is comprised entirely of losers, all but one a Straight Perpetual of some kind. Volume was high.<\/p>\n

PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard conversion factor of 1.3x. Long corporates<\/a> now yield about 4.6%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 235bp, unchanged from July 18<\/a>.<\/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-0.2701 %<\/td>\n2,591.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.13 %<\/td>\n3.42 %<\/td>\n35,033<\/td>\n18.54<\/td>\n1<\/td>\n0.0000 %<\/td>\n4,020.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.71 %<\/td>\n2.90 %<\/td>\n90,260<\/td>\n19.98<\/td>\n4<\/td>\n-0.2701 %<\/td>\n2,797.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.60 %<\/td>\n3.31 %<\/td>\n85,922<\/td>\n0.83<\/td>\n3<\/td>\n-0.2421 %<\/td>\n2,623.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.66 %<\/td>\n4.47 %<\/td>\n56,690<\/td>\n3.91<\/td>\n6<\/td>\n-0.1662 %<\/td>\n2,972.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2421 %<\/td>\n2,398.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n4.54 %<\/td>\n105,220<\/td>\n0.58<\/td>\n12<\/td>\n-0.2147 %<\/td>\n2,285.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.34 %<\/td>\n5.35 %<\/td>\n141,769<\/td>\n14.83<\/td>\n26<\/td>\n-0.3397 %<\/td>\n2,412.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.97 %<\/td>\n3.60 %<\/td>\n238,250<\/td>\n3.97<\/td>\n84<\/td>\n-0.1072 %<\/td>\n2,474.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.08 %<\/td>\n4.55 %<\/td>\n203,557<\/td>\n6.85<\/td>\n43<\/td>\n-0.3341 %<\/td>\n2,378.7<\/td>\n<\/tr>\n<\/table>\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
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-3.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 21.84
\nEvaluated at bid price : 22.18
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-2.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 21.86
\nEvaluated at bid price : 22.21
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\n-2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 24.02
\nEvaluated at bid price : 24.41
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n-2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.40
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n-1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.61
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 23.11
\nEvaluated at bid price : 24.18
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 23.01
\nEvaluated at bid price : 23.92
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.31
\nBid-YTW : 6.05 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.57
\nBid-YTW : 6.06 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.59
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.81
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 23.82
\nEvaluated at bid price : 24.19
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.11
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.60
\nBid-YTW : 5.41 %<\/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
BMO.PR.M<\/td>\nFixedReset<\/td>\n311,863<\/td>\nRBC crossed blocks of 200,000 and 100,000 at 24.90.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 3.47 %<\/td>\n<\/tr>\n
RY.PR.T<\/td>\nFixedReset<\/td>\n168,783<\/td>\nTD crossed 66,000 at 26.00; Scotia and Nesbitt crossed 50,000 each at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 2.22 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n134,199<\/td>\nRBC crossed blocks of 25,900 and 50,000 at 25.10, then bought 12,800 from National at the same price. National crossed 25,000 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.08
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n111,713<\/td>\nTD crossed blocks of 30,600 and 45,800, both at 24.85.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 23.05
\nEvaluated at bid price : 24.85
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n100,295<\/td>\nNesbitt crossed 15,000 at 25.08 and 25,000 at 25.10. RBC crossed 50,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
FTS.PR.K<\/td>\nFixedReset<\/td>\n62,080<\/td>\nTD crossed 30,000 at 25.17.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 23.15
\nEvaluated at bid price : 25.07
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
There were 46 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
MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 24.30 – 24.85
\nSpot Rate : 0.5500
\nAverage : 0.3591<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n

ELF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 24.41 – 24.84
\nSpot Rate : 0.4300
\nAverage : 0.2856<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-24
\nMaturity Price : 24.02
\nEvaluated at bid price : 24.41
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n

GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.45 – 22.88
\nSpot Rate : 0.4300
\nAverage : 0.3119<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.45
\nBid-YTW : 5.79 %<\/td>\n<\/tr>\n

NA.PR.L<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.05 – 25.37
\nSpot Rate : 0.3200
\nAverage : 0.2110<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n

GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.61 – 24.90
\nSpot Rate : 0.2900
\nAverage : 0.1905<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.61
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n

IAG.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.47 – 25.75
\nSpot Rate : 0.2800
\nAverage : 0.1944<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.47
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

I never get tired of mocking the salesmen who pretend to be rough-tough investment analysts. Today’s winners are Alan Roseman and Laura Schwartz, incompetents who feel that “follow the leader” is a dandy investment strategy: …<\/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-22575","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22575","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=22575"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22575\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22575"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22575"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22575"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}