{"id":22642,"date":"2013-08-01T01:39:57","date_gmt":"2013-08-01T05:39:57","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22642"},"modified":"2013-08-01T01:39:57","modified_gmt":"2013-08-01T05:39:57","slug":"july-31-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22642","title":{"rendered":"July 31, 2013"},"content":{"rendered":"

The FOMC statement was released<\/a> and had no surprises:<\/p>\n

To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee decided to continue purchasing additional agency mortgage-backed securities at a pace of $40 billion per month and longer-term Treasury securities at a pace of $45 billion per month. The Committee is maintaining its existing policy of reinvesting principal payments from its holdings of agency debt and agency mortgage-backed securities in agency mortgage-backed securities and of rolling over maturing Treasury securities at auction. Taken together, these actions should maintain downward pressure on longer-term interest rates, support mortgage markets, and help to make broader financial conditions more accommodative.
…<\/b>
To support continued progress toward maximum employment and price stability, the Committee today reaffirmed its view that a highly accommodative stance of monetary policy will remain appropriate for a considerable time after the asset purchase program ends and the economic recovery strengthens. In particular, the Committee decided to keep the target range for the federal funds rate at 0 to 1\/4 percent and currently anticipates that this exceptionally low range for the federal funds rate will be appropriate at least as long as the unemployment rate remains above 6-1\/2 percent, inflation between one and two years ahead is projected to be no more than a half percentage point above the Committee’s 2 percent longer-run goal, and longer-term inflation expectations continue to be well anchored.
…<\/b>
Voting against the action was Esther L. George, who was concerned that the continued high level of monetary accommodation increased the risks of future economic and financial imbalances and, over time, could cause an increase in long-term inflation expectations.<\/p><\/blockquote>\n

Market reaction was favourable<\/a>:<\/p>\n

U.S. stocks extended gains after the Federal Reserve said it will maintain its $85 billion in monthly bond purchases and persistently low inflation could hamper the expansion.<\/p>\n

The Standard & Poor\u2019s 500 Index climbed 0.4 percent to 1,692.89 at 2:06 p.m. in New York.<\/p><\/blockquote>\n

The jury is deliberating on the Fabulous Fab case<\/a>:<\/p>\n

The jurors listened to more than two weeks\u2019 worth of sometimes combative testimony, including from Mr. Tourre himself. Much of the trial was laden with complex jargon that both the S.E.C. and the defense team acknowledged was likely to make the jury\u2019s eyes glaze over. Several jurors appeared to doze off during the financially denser portions of the trial.<\/p><\/blockquote>\n

The WSJ has a good round-up of the issues<\/a>:<\/p>\n

\u2014Did Mr. Tourre intentionally or recklessly engage in a scheme to defraud investors? This is similar to a conspiracy charge in a criminal case.<\/p>\n

\u2014 Did Mr. Tourre obtain money or property as a result of material misstatements or omissions? This includes statements in marketing materials for the deal. The jury can decide he was negligent, rather than intentionally committing fraud, in relation to these statements.<\/p>\n

\u2014Did Mr. Tourre engage in a deceptive course of conduct related to the offer or sale of securities? Again, the jury can decide he acted in negligence, rather than with intent, in this claim.<\/p><\/blockquote>\n

Brazil, recently reviled for financial mismanagement is kicking against the pricks<\/a>:<\/p>\n

Brazil\u2019s executive director at the IMF refused to back the fund\u2019s move this week to keep bankrolling Greece, citing risks of non-repayment, and the fund itself said Athens might need faster debt relief from Europe.<\/p>\n

\u201cRecent developments in Greece confirm some of our worst fears,\u201d said Paulo Nogueira Batista, Brazil\u2019s executive director at the IMF, who also represents 10 small nations in Central and South America, the Caribbean, Asia and Africa. Batista clarified on Wednesday that he was speaking only for himself.<\/p>\n

\u201cImplementation [of Greece\u2019s reform program] has been unsatisfactory in almost all areas; growth and debt sustainability assumptions continue to be over-optimistic,\u201d said Batista, criticizing the IMF executive board\u2019s decision on Monday to release \u20ac1.7-billion ($2.32-billion) of rescue loans to Greece.<\/p><\/blockquote>\n

It was a poor day overall for the Canadian preferred share market, with both PerpetualDiscounts and DeemedRetractibles losing 23bp, while FixedResets gained 6bp. The Performance Highlights table was again very lengthy considering the overall price movement. Volume was average.<\/p>\n

PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard 1.3x equivalency factor. Long corporates<\/a> now yield a little under 4.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 240bp, a slight (and perhaps spurious) widening from the 235bp reported July 24<\/a>.<\/p>\n

Pricing for month-end was enlivened by the TSX’s moronic insistence on selling the “Last” quotations rather than the “Closing” quotations<\/a>. I’m getting really sick of this idiocy, particularly since MAPF owns a hatfull of MFC.PR.C.<\/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>\n0.9251 %<\/td>\n2,625.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.10 %<\/td>\n3.40 %<\/td>\n33,462<\/td>\n18.58<\/td>\n1<\/td>\n0.0000 %<\/td>\n4,046.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.67 %<\/td>\n2.87 %<\/td>\n83,803<\/td>\n20.05<\/td>\n4<\/td>\n0.9251 %<\/td>\n2,834.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.58 %<\/td>\n0.83 %<\/td>\n82,615<\/td>\n0.65<\/td>\n3<\/td>\n0.1403 %<\/td>\n2,632.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.69 %<\/td>\n4.74 %<\/td>\n60,816<\/td>\n4.16<\/td>\n6<\/td>\n0.2546 %<\/td>\n2,957.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1403 %<\/td>\n2,406.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n4.93 %<\/td>\n106,702<\/td>\n0.09<\/td>\n12<\/td>\n-0.0298 %<\/td>\n2,284.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.40 %<\/td>\n5.47 %<\/td>\n137,156<\/td>\n14.64<\/td>\n26<\/td>\n-0.2334 %<\/td>\n2,387.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.94 %<\/td>\n3.60 %<\/td>\n234,523<\/td>\n3.52<\/td>\n85<\/td>\n0.0646 %<\/td>\n2,468.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.11 %<\/td>\n4.67 %<\/td>\n195,538<\/td>\n6.86<\/td>\n43<\/td>\n-0.2348 %<\/td>\n2,369.2<\/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
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-2.54 %<\/td>\nNot a real loss, since the day’s low was 21.73 and the closing price was 21.77. Note that this bid is based on the “Last” quote which is not the same thing<\/a> as the “Closing” quote. The actual “Closing” quote, recovered at great expense from a separate service of the TMX, was a much more reasonable 21.60-78. Just more idiocy, courtesy of the Toronto Stock Exchange
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 21.57
\nEvaluated at bid price : 21.57
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
BAM.PF.C<\/td>\nPerpetual-Discount<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.59
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n-1.22 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.20
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.83
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.58
\nBid-YTW : -15.36 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.02
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-03-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.15
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.33 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 18.30
\nEvaluated at bid price : 18.30
\nBid-YTW : 2.89 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 22.80
\nEvaluated at bid price : 23.87
\nBid-YTW : 3.88 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 1.40 %<\/td>\n<\/tr>\n
MFC.PR.F<\/td>\nFixedReset<\/td>\n1.74 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.97
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n1.94 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 23.37
\nEvaluated at bid price : 23.66
\nBid-YTW : 2.20 %<\/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
BNS.PR.T<\/td>\nFixedReset<\/td>\n99,696<\/td>\nRBC bought blocks of 15,000 and 20,900 from CIBC at 25.56; then crossed 45,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n79,345<\/td>\nWill reset at 3.390% coupon<\/a>. The volume may be due to sharpies setting up to reap a potential big premium on conversion<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 1.40 %<\/td>\n<\/tr>\n
TRP.PR.D<\/td>\nFixedReset<\/td>\n67,586<\/td>\nNational sold 10,000 to RBC at 25.10, then crossed 10,400 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 23.13
\nEvaluated at bid price : 25.04
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n29,330<\/td>\nRBC crossed 23,600 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.37
\nBid-YTW : 2.88 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n26,447<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.34
\nBid-YTW : 2.86 %<\/td>\n<\/tr>\n
PWF.PR.S<\/td>\nPerpetual-Discount<\/td>\n22,284<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.51
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
There were 30 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.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 21.11 – 21.78
\nSpot Rate : 0.6700
\nAverage : 0.4315<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n

SLF.PR.I<\/td>\nFixedReset<\/td>\nQuote: 25.36 – 25.76
\nSpot Rate : 0.4000
\nAverage : 0.2682<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.36
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 23.30 – 23.69
\nSpot Rate : 0.3900
\nAverage : 0.2649<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-07-31
\nMaturity Price : 22.68
\nEvaluated at bid price : 23.30
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n

BMO.PR.L<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.91 – 26.19
\nSpot Rate : 0.2800
\nAverage : 0.1765<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.91
\nBid-YTW : 4.37 %<\/td>\n<\/tr>\n

BNA.PR.E<\/td>\nSplitShare<\/td>\nQuote: 25.31 – 25.75
\nSpot Rate : 0.4400
\nAverage : 0.3396<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.31
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n

MFC.PR.I<\/td>\nFixedReset<\/td>\nQuote: 25.70 – 25.97
\nSpot Rate : 0.2700
\nAverage : 0.1784<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-09-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The FOMC statement was released and had no surprises: To support a stronger economic recovery and to help ensure that inflation, over time, is at the rate most consistent with its dual mandate, the Committee …<\/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-22642","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22642","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=22642"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22642\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22642"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22642"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22642"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}