{"id":25908,"date":"2014-07-24T19:17:35","date_gmt":"2014-07-25T00:17:35","guid":{"rendered":"http:\/\/prefblog.com\/?p=25908"},"modified":"2014-07-24T19:17:35","modified_gmt":"2014-07-25T00:17:35","slug":"july-24-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=25908","title":{"rendered":"July 24, 2014"},"content":{"rendered":"

A paper by Nicholas Labelle, Varya Taylor titled Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment<\/a> is interesting:<\/p>\n

A default in the Automated Clearing Settlement System (ACSS) occurs when a Direct Clearer is unable to settle its final obligation. In August 2012, the Canadian Payments Association amended the ACSS by-law and rules to repeal the unwinding provisions from the ACSS default framework. Without unwinding, payment items are no longer returned by the defaulter to the other participants as a means of reducing the defaulter\u2019s final obligation. Instead, the other Direct Clearers (survivors) pay only additional settlement obligations to cover the defaulter\u2019s shortfall. To assess the potential exposures of an ACSS default without unwinding, we use simulations to estimate the value of additional settlement obligations for each survivor and compare these exposures to their capital and liquid assets. Results indicate that these exposures are indeed manageable by survivors and, therefore, that the ACSS does not pose systemic risk.<\/p><\/blockquote>\n

The global economy still looks lousy<\/a>:<\/p>\n

Today\u2019s report from the IMF highlights, in particular, the struggles of the euro zone and the still-uneven recovery in the United States after a brutal winter, as well as the troubles in emerging markets.<\/p>\n

In the update to its earlier world economic outlook, released in Mexico City, the IMF now forecasts that Canada\u2019s economy will grow by 2.2 per cent this year, down marginally from its April forecast of 2.3 per cent. It held its 2015 outlook for Canada steady at 2.4 per cent.<\/p>\n

Despite the trim, Canada\u2019s economy will be outpaced this year among the G7 nations only by Britain, at 3.2 per cent. Next year, according to the forecast both Britain and the United States will outstrip Canada, at 2.7 per cent and 3 per cent, respectively.<\/p>\n

The IMF forecast puts the spotlight on the euro zone, where Germany\u2019s economy is projected to grow by 1.9 per cent this and 1.7 per cent in 2015, France by 0.7 per cent and 1.4 per cent, and Italy, by 0.3 per cent and 1.1 per cent.<\/p>\n

Japan will also lag, at 1.6 per cent and 1.1 per cent.<\/p><\/blockquote>\n

Well, it looks like we have a winner for Quote of the Day!<\/p>\n

\"BAMPRG_140724\"<\/a>
Click for Big<\/i><\/div>\n

Yes, that’s right, BAM.PR.G is quoted at 22.81-500.00, 1×9. Timestamped details are not yet available from the Toronto Stock Exchange, so it’s not clear whether this is due to a moronic market-maker, or to the TMX’s moronic practice of reporting the ‘last’ quote rather than the closing quote<\/a>. I have followed my usual practice in such cases and reset the ask price used by HIMIPref™ to $1 above the bid.<\/p>\n

Update:<\/b> I’ve checked it out, buying all ‘Trades and Quotes’ between 3:55pm and 4:00pm. The only entry in the file is a quote timestamped 15:59:45, 22.81-500.00, 1×1. So what we have here, people, is a lackadaisical market-maker<\/i><\/p>\n

It was a modestly negative day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets down 8bp and DeemedRetractibles off 3bp. Volatility was negligible. Volume was average.<\/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>\n19,802<\/td>\n19.49<\/td>\n1<\/td>\n-0.4098 %<\/td>\n2,574.3<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.16 %<\/td>\n3.40 %<\/td>\n29,083<\/td>\n18.65<\/td>\n1<\/td>\n0.4846 %<\/td>\n4,165.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.86 %<\/td>\n2.95 %<\/td>\n46,302<\/td>\n19.85<\/td>\n4<\/td>\n-0.3118 %<\/td>\n2,776.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.02 %<\/td>\n-2.74 %<\/td>\n79,535<\/td>\n0.08<\/td>\n1<\/td>\n-0.5462 %<\/td>\n2,719.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.25 %<\/td>\n3.86 %<\/td>\n52,079<\/td>\n4.01<\/td>\n6<\/td>\n0.0398 %<\/td>\n3,121.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.5462 %<\/td>\n2,486.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.52 %<\/td>\n-5.27 %<\/td>\n82,840<\/td>\n0.09<\/td>\n17<\/td>\n0.0878 %<\/td>\n2,432.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.23 %<\/td>\n5.09 %<\/td>\n109,492<\/td>\n15.24<\/td>\n20<\/td>\n0.0000 %<\/td>\n2,584.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.40 %<\/td>\n3.59 %<\/td>\n199,507<\/td>\n8.60<\/td>\n77<\/td>\n-0.0843 %<\/td>\n2,557.4<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.98 %<\/td>\n0.08 %<\/td>\n122,672<\/td>\n0.09<\/td>\n43<\/td>\n-0.0333 %<\/td>\n2,553.4<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.66 %<\/td>\n2.13 %<\/td>\n94,093<\/td>\n3.82<\/td>\n6<\/td>\n-0.0787 %<\/td>\n2,518.8<\/td>\n<\/tr>\n<\/table>\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.PF.A<\/td>\nFixedReset<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.53
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
BMO.PR.S<\/td>\nFixedReset<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-24
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.41
\nBid-YTW : 3.70 %<\/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
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n303,100<\/td>\nScotia crossed 298,800 at 24.95.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nFixedReset<\/td>\n268,050<\/td>\nNesbitt crossed 153,100 and two blocks of 50,000 each, all at 25.26.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-24
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
ELF.PR.H<\/td>\nPerpetual-Discount<\/td>\n202,900<\/td>\nNesbitt crossed 200,000 at 24.85.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-24
\nMaturity Price : 24.38
\nEvaluated at bid price : 24.81
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
GWO.PR.P<\/td>\nDeemed-Retractible<\/td>\n199,660<\/td>\nTD crossed blocks of 75,000 shares, 35,000 and 85,000, all at 25.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2020-03-31
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.80
\nBid-YTW : 5.01 %<\/td>\n<\/tr>\n
BAM.PF.F<\/td>\nFixedReset<\/td>\n136,300<\/td>\nNesbitt crossed 125,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-24
\nMaturity Price : 23.29
\nEvaluated at bid price : 25.45
\nBid-YTW : 4.21 %<\/td>\n<\/tr>\n
GWO.PR.S<\/td>\nDeemed-Retractible<\/td>\n90,600<\/td>\nRBC crossed 84,700 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\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: 22.89 – 23.30
\nSpot Rate : 0.4100
\nAverage : 0.2493<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.89
\nBid-YTW : 5.66 %<\/td>\n<\/tr>\n

BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 22.81 – 23.81
\nSpot Rate : 1.0000
\nAverage : 0.8542<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-07-24
\nMaturity Price : 22.86
\nEvaluated at bid price : 22.81
\nBid-YTW : 3.40 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.20 – 23.68
\nSpot Rate : 0.4800
\nAverage : 0.3518<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.20
\nBid-YTW : 5.58 %<\/td>\n<\/tr>\n

BNS.PR.B<\/td>\nFloatingReset<\/td>\nQuote: 25.37 – 25.62
\nSpot Rate : 0.2500
\nAverage : 0.1463<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-10-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.37
\nBid-YTW : 2.13 %<\/td>\n<\/tr>\n

VNR.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.33 – 25.68
\nSpot Rate : 0.3500
\nAverage : 0.2571<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-10-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.33
\nBid-YTW : 3.97 %<\/td>\n<\/tr>\n

MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.40 – 23.70
\nSpot Rate : 0.3000
\nAverage : 0.2073<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.40
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

A paper by Nicholas Labelle, Varya Taylor titled Removal of the Unwinding Provisions in the Automated Clearing Settlement System: A Risk Assessment is interesting: A default in the Automated Clearing Settlement System (ACSS) occurs when …<\/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-25908","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25908","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=25908"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/25908\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=25908"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=25908"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=25908"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}