February 6, 2009

Alea points out that the February 5 H.4.1 Fed release shows that the Fed Balance sheet continues to shrink. “Central Bank Liquidity Swaps” on the asset side and “Deposits – Depository Institutions” on the liability side are down $78-billion and $93-billion respectively.

Unfortunately – and somewhat surprisingly – Commercial Paper holdings increased by about $10.6-billion … but still way down from the peak.

The UK Financial Services Authority has released a consultation paper on Temporary Short-Selling Measures. It appears that they favour continuation of the “Disclosure Obligation” (large short positions must be disclosed), which I don’t have any problem with.

Speaking of disclosure obligations, the SEC has unveiled a raft of NRSRO rules, designed to ensure that future scapegoating will be easier to implement. Lots of disclosures that nobody will ever read, but good practice for the next regulation: a requirement that prices only go up. Surely this ultimate goal is only a few more box-ticks away!

All in all, it was a pretty quiet end to the week. Not much volume, not much movement.

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 5.33 % 3.81 % 24,302 17.74 2 0.4868 % 859.9
FixedFloater 7.31 % 7.01 % 66,924 13.91 7 -0.5962 % 1,374.0
Floater 5.39 % 4.42 % 28,896 16.55 4 -0.2049 % 974.7
OpRet 5.27 % 4.78 % 155,573 4.01 15 0.3916 % 2,039.6
SplitShare 6.21 % 9.02 % 70,078 4.08 15 0.4562 % 1,795.8
Interest-Bearing 7.05 % 8.15 % 34,511 0.86 2 0.4044 % 2,007.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0561 % 1,556.7
Perpetual-Discount 6.91 % 6.97 % 206,700 12.60 71 0.0561 % 1,433.7
FixedReset 6.13 % 5.86 % 679,610 13.81 27 -0.0078 % 1,794.0
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 8.56 %
BAM.PR.K Floater -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 7.41
Evaluated at bid price : 7.41
Bid-YTW : 7.20 %
BCE.PR.F FixedFloater -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 25.00
Evaluated at bid price : 14.81
Bid-YTW : 7.16 %
PWF.PR.E Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.10 %
BCE.PR.G FixedFloater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 7.27 %
CM.PR.G Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.34 %
BNS.PR.R FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 21.33
Evaluated at bid price : 21.61
Bid-YTW : 4.92 %
GWO.PR.I Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 7.42 %
TD.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 21.96
Evaluated at bid price : 22.00
Bid-YTW : 4.92 %
BNS.PR.Q FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 21.74
Evaluated at bid price : 21.78
Bid-YTW : 4.72 %
NA.PR.L Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.92 %
TD.PR.M OpRet 1.17 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.95 %
SBN.PR.A SplitShare 1.19 % Asset coverage of 1.6+:1 as of January 31 according to Mulvihill.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 9.32
Bid-YTW : 6.77 %
RY.PR.E Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.44 %
IGM.PR.A OpRet 1.26 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-06-29
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.22 %
BMO.PR.J Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 6.77 %
BAM.PR.J OpRet 1.87 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 9.92 %
FTN.PR.A SplitShare 2.33 % Asset coverage of 1.2+:1 as of January 30 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2015-12-01
Maturity Price : 10.00
Evaluated at bid price : 7.92
Bid-YTW : 9.57 %
POW.PR.B Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.04 %
CM.PR.K FixedReset 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-02-06
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.39 %
BAM.PR.O OpRet 3.27 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 10.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 99,244 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 6.33 %
TD.PR.G FixedReset 93,230 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 6.42 %
BNS.PR.X FixedReset 88,470 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 6.38 %
CM.PR.L FixedReset 87,699 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 6.67 %
MFC.PR.A OpRet 51,900 Desjardins crossed 50,000 at 24.72.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.49 %
TD.PR.E FixedReset 43,475 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 6.31 %
There were 27 other index-included issues trading in excess of 10,000 shares.

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