{"id":25653,"date":"2014-06-25T20:29:13","date_gmt":"2014-06-26T01:29:13","guid":{"rendered":"http:\/\/prefblog.com\/?p=25653"},"modified":"2014-06-25T20:29:13","modified_gmt":"2014-06-26T01:29:13","slug":"june-25-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=25653","title":{"rendered":"June 25, 2014"},"content":{"rendered":"

The first quarter in the US was worse than we thought<\/a>:<\/p>\n

The U.S. economy contracted in the first quarter by the most since the depths of the last recession as consumer spending cooled.<\/p>\n

Gross domestic product fell at a 2.9 percent annualized rate, more than forecast and the worst reading since the same three months in 2009, after a previously reported 1 percent drop, the Commerce Department said today in Washington. It marked the biggest downward revision from the agency\u2019s second GDP estimate since records began in 1976. The revision reflected a slowdown in health care spending.
…<\/b>
The revision reflected a drop in spending tied to health care services. The Bureau of Economic Analysis had estimated that major provisions of President Obama\u2019s signature health care law would boost outlays. A quarterly services survey released this month showed the assumptions were too optimistic. Outlays for health spending actually slowed in the first quarter, subtracting 0.16 percentage point from GDP. The Commerce Department previously estimated those outlays added 1 percentage point to GDP.<\/p><\/blockquote>\n

Naturally, the US government wants Treasury debt to be unaffected by corporate-like inventory constraints<\/a>:<\/p>\n

\n
    \n
  • \u2022The Volcker Rule bars banks from “proprietary trading” in credit.\n
  • \u2022But it allows proprietary trading in rates products such as Treasury and agency bonds.\n
  • \u2022So Citi set up a prop desk to trade agency bonds, managing over $1 billion of Citi’s money.\n
  • \u2022It’s run by a woman named Anna Raytcheva, who lost billions of dollars trading agency bonds during the financial crisis.<\/ul>\n

    Obviously, some people are scandalized because people are scandalized by everything related to the Volcker Rule. And because the Volcker Rule is light on coherence. For instance, why does the Volcker Rule allow prop trading in rates? Well:<\/p>\n

    Lawmakers sought the flexibility to finance government spending and didn\u2019t see the trading as particularly risky, said Barney Frank, who as a Massachusetts congressman helped draft the 2010 Dodd-Frank Act that mandated the Volcker Rule.<\/p>\n

    \u201cTo the extent the instruments being traded are completely secure, some of the rationale for the rule disappears,\u201d Frank, a Democrat, said in a phone interview.<\/p><\/blockquote>\n<\/blockquote>\n

    It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 9bp, FixedResets winning 12bp and DeemedRetractibles gaining 6bp. Volatility was well above average and dominated by winning FixedResets. Volume was above average, with the highlights dominated by RY issues for some reason; the top two are both extremely likely to be called in August, for what that’s worth.<\/p>\n\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>\n0.7528 %<\/td>\n2,523.2<\/td>\n<\/tr>\n
    FixedFloater<\/td>\n4.36 %<\/td>\n3.61 %<\/td>\n29,246<\/td>\n18.08<\/td>\n1<\/td>\n0.6925 %<\/td>\n3,941.9<\/td>\n<\/tr>\n
    Floater<\/td>\n2.91 %<\/td>\n2.99 %<\/td>\n44,680<\/td>\n19.74<\/td>\n4<\/td>\n0.7528 %<\/td>\n2,724.3<\/td>\n<\/tr>\n
    OpRet<\/td>\n4.37 %<\/td>\n-12.73 %<\/td>\n22,611<\/td>\n0.08<\/td>\n2<\/td>\n0.0000 %<\/td>\n2,715.8<\/td>\n<\/tr>\n
    SplitShare<\/td>\n4.82 %<\/td>\n4.50 %<\/td>\n60,733<\/td>\n4.09<\/td>\n5<\/td>\n0.1196 %<\/td>\n3,110.5<\/td>\n<\/tr>\n
    Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0000 %<\/td>\n2,483.3<\/td>\n<\/tr>\n
    Perpetual-Premium<\/td>\n5.52 %<\/td>\n-1.05 %<\/td>\n81,512<\/td>\n0.08<\/td>\n17<\/td>\n0.0916 %<\/td>\n2,410.7<\/td>\n<\/tr>\n
    Perpetual-Discount<\/td>\n5.26 %<\/td>\n5.24 %<\/td>\n115,928<\/td>\n15.00<\/td>\n20<\/td>\n0.0943 %<\/td>\n2,553.7<\/td>\n<\/tr>\n
    FixedReset<\/td>\n4.45 %<\/td>\n3.68 %<\/td>\n204,507<\/td>\n6.66<\/td>\n78<\/td>\n0.1206 %<\/td>\n2,549.1<\/td>\n<\/tr>\n
    Deemed-Retractible<\/td>\n4.98 %<\/td>\n0.52 %<\/td>\n141,673<\/td>\n0.10<\/td>\n43<\/td>\n0.0584 %<\/td>\n2,540.5<\/td>\n<\/tr>\n
    FloatingReset<\/td>\n2.66 %<\/td>\n2.32 %<\/td>\n121,003<\/td>\n3.87<\/td>\n6<\/td>\n0.0395 %<\/td>\n2,500.8<\/td>\n<\/tr>\n<\/table>\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
    BAM.PR.X<\/td>\nFixedReset<\/td>\n-2.21 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 21.83
    \nEvaluated at bid price : 22.11
    \nBid-YTW : 4.07 %<\/td>\n<\/tr>\n
    BAM.PR.C<\/td>\nFloater<\/td>\n1.04 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 17.51
    \nEvaluated at bid price : 17.51
    \nBid-YTW : 2.99 %<\/td>\n<\/tr>\n
    FTS.PR.G<\/td>\nFixedReset<\/td>\n1.15 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 23.12
    \nEvaluated at bid price : 24.70
    \nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
    BAM.PR.B<\/td>\nFloater<\/td>\n1.17 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 17.30
    \nEvaluated at bid price : 17.30
    \nBid-YTW : 3.03 %<\/td>\n<\/tr>\n
    CIU.PR.C<\/td>\nFixedReset<\/td>\n1.42 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 21.42
    \nEvaluated at bid price : 21.42
    \nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
    IFC.PR.C<\/td>\nFixedReset<\/td>\n1.45 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2016-09-30
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.93
    \nBid-YTW : 2.49 %<\/td>\n<\/tr>\n
    PWF.PR.T<\/td>\nFixedReset<\/td>\n1.67 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2019-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 26.14
    \nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
    IFC.PR.A<\/td>\nFixedReset<\/td>\n1.75 %<\/td>\nYTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 24.41
    \nBid-YTW : 3.96 %<\/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.T<\/td>\nFixedReset<\/td>\n440,249<\/td>\nRBC crossed one block of 275,000 shares and two of 75,000 each, all at 25.38. TD crossed 11,000 at the same price.
    \nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2014-08-24
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.36
    \nBid-YTW : 0.81 %<\/td>\n<\/tr>\n
    RY.PR.X<\/td>\nFixedReset<\/td>\n406,928<\/td>\nTD crossed blocks of 248,000 shares, 27,000 and 121,800, all at 25.38.
    \nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2014-08-24
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.35
    \nBid-YTW : 1.05 %<\/td>\n<\/tr>\n
    RY.PR.H<\/td>\nFixedReset<\/td>\n202,641<\/td>\nRecent new issue<\/a>.
    \nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 23.22
    \nEvaluated at bid price : 25.21
    \nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
    RY.PR.B<\/td>\nDeemed-Retractible<\/td>\n102,657<\/td>\nNesbitt crossed 100,000 at 25.58.
    \nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2014-08-24
    \nMaturity Price : 25.25
    \nEvaluated at bid price : 25.56
    \nBid-YTW : -0.33 %<\/td>\n<\/tr>\n
    TD.PR.K<\/td>\nFixedReset<\/td>\n97,062<\/td>\nCalled for redemption<\/a>.
    \nYTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2014-07-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.39
    \nBid-YTW : 0.19 %<\/td>\n<\/tr>\n
    RY.PR.Z<\/td>\nFixedReset<\/td>\n93,604<\/td>\nScotia crossed 89,600 at 25.50.
    \nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 23.31
    \nEvaluated at bid price : 25.45
    \nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
    There were 40 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
    BAM.PR.X<\/td>\nFixedReset<\/td>\nQuote: 22.11 – 22.58
    \nSpot Rate : 0.4700
    \nAverage : 0.3122<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 21.83
    \nEvaluated at bid price : 22.11
    \nBid-YTW : 4.07 %<\/td>\n<\/tr>\n

    IFC.PR.C<\/td>\nFixedReset<\/td>\nQuote: 25.93 – 26.24
    \nSpot Rate : 0.3100
    \nAverage : 0.2189<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2016-09-30
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.93
    \nBid-YTW : 2.49 %<\/td>\n<\/tr>\n

    HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 22.78 – 23.05
    \nSpot Rate : 0.2700
    \nAverage : 0.1993<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2044-06-25
    \nMaturity Price : 22.43
    \nEvaluated at bid price : 22.78
    \nBid-YTW : 3.78 %<\/td>\n<\/tr>\n

    TD.PR.Z<\/td>\nFloatingReset<\/td>\nQuote: 25.15 – 25.33
    \nSpot Rate : 0.1800
    \nAverage : 0.1132<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Call
    \nMaturity Date\t: 2018-10-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.15
    \nBid-YTW : 2.58 %<\/td>\n<\/tr>\n

    TD.PR.S<\/td>\nFixedReset<\/td>\nQuote: 25.15 – 25.34
    \nSpot Rate : 0.1900
    \nAverage : 0.1262<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2022-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.15
    \nBid-YTW : 3.31 %<\/td>\n<\/tr>\n

    GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.41 – 25.62
    \nSpot Rate : 0.2100
    \nAverage : 0.1496<\/p>\n

    YTW SCENARIO
    \nMaturity Type : Hard Maturity
    \nMaturity Date\t: 2025-01-31
    \nMaturity Price : 25.00
    \nEvaluated at bid price : 25.41
    \nBid-YTW : 5.22 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

    The first quarter in the US was worse than we thought: The U.S. economy contracted in the first quarter by the most since the depths of the last recession as consumer spending cooled. Gross domestic …<\/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-25653","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25653","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=25653"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25653\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=25653"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=25653"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=25653"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}