Plans for a Greek debt restructuring are moving along;
European officials preparing Greece’s second bailout in two years may offer bondholders incentives to roll over maturing debt without triggering a credit-rating downgrade that would roil Europe’s banking system, two people with knowledge of the talks said.
Investors may be given preferred status, higher coupon payments or collateral as inducements to buy bonds replacing Greek debt maturing between 2012 and 2014, said the people, who declined to be identified because the talks are in progress.
…
“We are also examining the feasibility of voluntarily rescheduling, which would not create a credit event,” European Union Economic and Monetary Commissioner Olli Rehn said in an interview yesterday in New York. “Debt restructuring is not on the table, it’s not in the cards, it will not be part of our agenda.”
DBRS has placed some Master Asset Vehicle notes under Review-Positive. The MAV notes are repackaged, term-extended ABCP.
Wow, the Boston Fed gets its fingers into a lot of pies! A working paper by Mary A. Burke and Frank W. Heiland is titled Explaining Gender-Specific Racial Differences in Obesity Using Biased Self-Reports of Food Intake:
Policymakers have an interest in identifying the differences in behavior patterns—namely, habitual caloric intake and physical activity levels—that contribute to demographic variation in body mass index (BMI) and obesity risk. While disparities in mean BMI and obesity rates between whites (non-Hispanic) and African-Americans (non-Hispanic) are well-documented, the behavioral differences that underlie these gaps have not been carefully identified. Moreover, the female-specificity of the black-white obesity gap has received relatively little attention. In the National Health and Nutrition Examination Surveys (NHANES) data, we initially observe a very weak relationship between self-reported measures of caloric intake and physical activity and either BMI or obesity risk, and these behaviors appear to explain only a small fraction of the black-white BMI gap (or obesity gap) among women. These unadjusted estimates echo previous findings from large survey datasets such as the NHANES. Using an innovative method to mitigate the widely recognized problem of measurement error in self-reported behaviors—proxying for measurement errors using the ratio of reported caloric intake to estimated true caloric needs—we obtain much stronger relationships between behaviors and BMI (or obesity risk). Behaviors can in fact account for a significant share of the BMI gap (and the obesity gap) between black women and white women and are consistent with the presence of much smaller gaps between black men and white men. The analysis also shows that the effects smoking has on BMI and obesity risk are small-to-negligible when measurement error is properly controlled.
Jule Dickson highlighted fraud as a problem for the P&C industry in a speech to the 2011 Property and Casualty Insurance Industry Forum:
Rate increases, together with progress in curtailing fraudulent claims, are required if the industry is to continue to provide the services it offers Ontario drivers.
While recent measures to curtail fraud are encouraging, there is no short-term solution to deal with the escalating losses residing in the GTA. Individuals, institutions, the government and the police must continue to be vigilant in curtailing fraud if they want to ensure the Ontario auto line returns to profitability.
I’m thinking of producing a movie: “I am volatile – yellow”, starring a young female preferred share investor.
| YLO Issues, 2011-6-1 | |||||
| Ticker | Quote 5/31 |
Quote 6/1 |
Bid YTW 6/1 |
YTW Scenario 6/1 |
Performance 6/1 (bid/bid) |
| YLO.PR.A | 23.10-23 | 23.01-10 | 10.38% | Soft Maturity 2012-12-30 |
-0.39% |
| YLO.PR.B | 16.57-59 | 16.52-74 | 13.69% | Soft Maturity 2017-06-29 |
-030% |
| YLO.PR.C | 16.89-01 | 17.55-70 | 9.50% | Limit Maturity | +3.91% |
| YLO.PR.D | 17.59-70 | 18.12-50 | 9.38% | Limit Maturity | +3.01% |
It was a good start to the month for the Canadian preferred share market, with PerpetualDiscounts leaping 28bp, FixedResets gaining 17bp and DeemedRetractibles up 6bp. Volatility was good. Volume was elevated.
PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long Corporates now yield a little under 5.3% (!) so the pre-tax interest-equivalent spread is now about 185bp, a wee bit tighter than the 190bp reported on May 26, as the PerpetualDiscounts play catch-up.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1400 % | 2,462.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1400 % | 3,703.3 |
| Floater | 2.45 % | 2.24 % | 41,433 | 21.63 | 4 | 0.1400 % | 2,658.6 |
| OpRet | 4.87 % | 3.32 % | 66,297 | 1.11 | 9 | 0.0258 % | 2,422.0 |
| SplitShare | 5.22 % | -2.22 % | 61,917 | 0.54 | 6 | 0.2327 % | 2,512.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0258 % | 2,214.7 |
| Perpetual-Premium | 5.66 % | 5.02 % | 161,134 | 1.43 | 12 | 0.0444 % | 2,075.8 |
| Perpetual-Discount | 5.43 % | 5.50 % | 129,634 | 14.59 | 18 | 0.2802 % | 2,185.1 |
| FixedReset | 5.15 % | 3.20 % | 198,912 | 2.84 | 57 | 0.1695 % | 2,313.9 |
| Deemed-Retractible | 5.08 % | 4.89 % | 299,061 | 8.16 | 47 | 0.0637 % | 2,152.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.I | Deemed-Retractible | -1.11 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.19 Bid-YTW : 5.92 % |
| TRP.PR.A | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 3.32 % |
| MFC.PR.D | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.40 Bid-YTW : 3.28 % |
| POW.PR.D | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-01 Maturity Price : 23.73 Evaluated at bid price : 24.00 Bid-YTW : 5.27 % |
| BAM.PR.N | Perpetual-Discount | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-01 Maturity Price : 22.07 Evaluated at bid price : 22.20 Bid-YTW : 5.44 % |
| BAM.PR.M | Perpetual-Discount | 1.73 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-01 Maturity Price : 22.23 Evaluated at bid price : 22.38 Bid-YTW : 5.39 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| SLF.PR.G | FixedReset | 130,431 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 3.77 % |
| BAM.PR.P | FixedReset | 101,376 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 27.52 Bid-YTW : 4.18 % |
| BNS.PR.Q | FixedReset | 93,410 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.16 % |
| BNA.PR.C | SplitShare | 85,950 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 22.13 Bid-YTW : 6.29 % |
| SLF.PR.C | Deemed-Retractible | 62,161 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.52 Bid-YTW : 5.69 % |
| HSE.PR.A | FixedReset | 55,901 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-01 Maturity Price : 25.58 Evaluated at bid price : 25.63 Bid-YTW : 4.04 % |
| There were 39 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.J | OpRet | Quote: 26.50 – 26.98 Spot Rate : 0.4800 Average : 0.3057 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.80 – 27.29 Spot Rate : 0.4900 Average : 0.3584 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 25.35 – 25.70 Spot Rate : 0.3500 Average : 0.2278 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 27.40 – 27.75 Spot Rate : 0.3500 Average : 0.2486 YTW SCENARIO |
| CIU.PR.C | FixedReset | Quote: 25.20 – 25.72 Spot Rate : 0.5200 Average : 0.4258 YTW SCENARIO |
| SLF.PR.D | Deemed-Retractible | Quote: 22.43 – 22.64 Spot Rate : 0.2100 Average : 0.1498 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long Corporates yield about 5.3%, so the pre-tax interest-equivalent spread is now about 185bp, unchanged from June 1. […]