{"id":25871,"date":"2014-07-21T19:35:41","date_gmt":"2014-07-22T00:35:41","guid":{"rendered":"http:\/\/prefblog.com\/?p=25871"},"modified":"2014-07-21T19:35:41","modified_gmt":"2014-07-22T00:35:41","slug":"july-21-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=25871","title":{"rendered":"July 21, 2014"},"content":{"rendered":"

Matt Levine of Bloomberg has some sensible things to say about institutions victimized by evil derivatives<\/a>:<\/p>\n

This is a general rule to keep in mind when reading about governments and companies that were victimized by swaps that they didn’t understand: Governments and companies don’t understand anything. Governments and companies don’t have brains. Governments and companies do have human agents, and those human agents have brains, and they are capable of understanding many things. Different agents might or might not be capable of understanding the particular formulas at issue here. But most agents are capable of understanding (1) that getting a low low teaser rate now probably means paying a high high rate later, (2) that there are ways of saying that that don’t sound like that, (3) that their interests and the interests of the government or company they work for are not perfectly aligned, and (4) that those interests are likely to drift further apart over time.<\/p><\/blockquote>\n

A story about an incomprehensible tax dodge<\/a> is noteworthy for two things:<\/p>\n

Executives from Renaissance, founded by billionaire mathematician James Simons, are scheduled to testify about the transactions tomorrow in Washington, as are representatives of Barclays and Deutsche Bank.
…<\/b>
Renaissance, based in East Setauket, New York, compiled one of the best records in investing history by using advanced mathematics and computer algorithms to identify mispriced securities. Its Medallion fund, open almost exclusively to Renaissance employees, returned more than 35 percent annualized over more than two decades.<\/p><\/blockquote>\n

“billionaire mathematician”. You don’t hear those two words together very often! The other point is that they’ve been able to do so well – outperformance is entirely possible for those who know what they’re doing.<\/p>\n

It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets gaining 5bp and DeemedRetractibles winning 10bp. Volatility was almost non-existent. Volume was extremely low.<\/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>\n3.09 %<\/td>\n3.07 %<\/td>\n20,709<\/td>\n19.50<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,574.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.17 %<\/td>\n3.40 %<\/td>\n28,801<\/td>\n18.65<\/td>\n1<\/td>\n-0.0876 %<\/td>\n4,163.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.84 %<\/td>\n2.92 %<\/td>\n45,010<\/td>\n19.92<\/td>\n4<\/td>\n-0.2162 %<\/td>\n2,783.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.02 %<\/td>\n-4.07 %<\/td>\n78,744<\/td>\n0.08<\/td>\n1<\/td>\n-0.0783 %<\/td>\n2,721.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.26 %<\/td>\n3.95 %<\/td>\n44,048<\/td>\n4.02<\/td>\n6<\/td>\n0.3336 %<\/td>\n3,116.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0783 %<\/td>\n2,488.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.52 %<\/td>\n-5.34 %<\/td>\n82,168<\/td>\n0.09<\/td>\n17<\/td>\n0.0300 %<\/td>\n2,430.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.23 %<\/td>\n5.13 %<\/td>\n111,916<\/td>\n15.24<\/td>\n20<\/td>\n0.0703 %<\/td>\n2,582.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.38 %<\/td>\n3.54 %<\/td>\n200,305<\/td>\n6.57<\/td>\n77<\/td>\n0.0522 %<\/td>\n2,563.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.97 %<\/td>\n0.36 %<\/td>\n123,261<\/td>\n0.10<\/td>\n43<\/td>\n0.1027 %<\/td>\n2,553.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.65 %<\/td>\n0.72 %<\/td>\n98,280<\/td>\n0.16<\/td>\n6<\/td>\n0.0131 %<\/td>\n2,528.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PVS.PR.B<\/td>\nSplitShare<\/td>\n1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 4.60 %<\/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
TD.PR.K<\/td>\nFixedReset<\/td>\n203,248<\/td>\nCalled for redemption July 31<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
ENB.PF.E<\/td>\nFixedReset<\/td>\n104,420<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 23.10
\nEvaluated at bid price : 24.95
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n84,556<\/td>\nNesbitt crossed 25,000 at 25.76; RBC bought 10,000 from Scotia at 25.79.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.73
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n
TD.PF.A<\/td>\nFixedReset<\/td>\n74,550<\/td>\nDesjardins crossed 58,600 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.56 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n65,000<\/td>\nCalled for redemption July 31<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.98
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset<\/td>\n54,685<\/td>\nTD crossed 10,000 at 25.12.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 23.17
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.09 %<\/td>\n<\/tr>\n
There were 16 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
CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 21.80 – 22.51
\nSpot Rate : 0.7100
\nAverage : 0.5664<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.80
\nBid-YTW : 3.35 %<\/td>\n<\/tr>\n

IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.02 – 26.41
\nSpot Rate : 0.3900
\nAverage : 0.2665<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 26.02
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n

BAM.PR.E<\/td>\nRatchet<\/td>\nQuote: 24.30 – 24.60
\nSpot Rate : 0.3000
\nAverage : 0.2191<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 23.86
\nEvaluated at bid price : 24.30
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 20.00 – 20.30
\nSpot Rate : 0.3000
\nAverage : 0.2266<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 20.00
\nEvaluated at bid price : 20.00
\nBid-YTW : 2.65 %<\/td>\n<\/tr>\n

BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\nQuote: 21.36 – 21.51
\nSpot Rate : 0.1500
\nAverage : 0.0903<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-21
\nMaturity Price : 21.36
\nEvaluated at bid price : 21.36
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.14 – 23.47
\nSpot Rate : 0.3300
\nAverage : 0.2736<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.14
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Matt Levine of Bloomberg has some sensible things to say about institutions victimized by evil derivatives: This is a general rule to keep in mind when reading about governments and companies that were victimized by …<\/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-25871","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25871","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=25871"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25871\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=25871"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=25871"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=25871"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}