May 13, 2009

Former SEC Chairman Arthur Levitt, who has been sharply criticized on PrefBlog, has said something sensible:

Arthur Levitt warned the Obama administration and U.S. regulators against attempting to change the way executives at financial firms are compensated.

“Government can jawbone but for government to regulate I think is overkill and very mistaken because you don’t know where it’s going to end,” Levitt said in an interview with Bloomberg Television today. Efforts by the Obama administration to change Wall Street pay practices are “totally wrongheaded,” he said.

Government attempting to regulate executive pay “has never worked and it cannot work,” Levitt said. “You just can’t micromanage in that way.”

Undismayed by fears of micromanagement, Geithner is pushing for OTC Derivative transparency:

The U.S. Treasury will tell banks to increase transparency in the over-the-counter derivatives market by making prices available on centralized computer platforms, according to people familiar with the plan.

Treasury Secretary Timothy Geithner may announce the decision as soon as today, said the people, who declined to be identified because they weren’t authorized to speak publicly.

Electronic execution of trades including interest-rate and credit-default swaps would allow users of the financial instruments to get greater price transparency and make processing trades easier. Transactions in the $684 trillion over-the-counter derivatives market are now typically conducted over the phone between banks and customers.

“Anything that will bring transparency to this market will help the market, but the dealers who broker the deals would make less money,” said Paul Zubulake, a senior analyst with Boston- based Aite Group. “More transparency for the buy-side is less profit for the sell-side.”

Zubulake said any mandated changes “are not good for business in general.”

There’s an interesting piece on VoxEU today by Adrian R. Bell, Chris Brooks & Tony Moore: The credit crunch of 1294: Causes, consequences and the aftermath. Plus ca change, plus ca meme chose! The direct parallels to the current crunch drawn by the authors seem to me to be a little contrived, but nevertheless all knowledge is good knowledge.

Volume eased off a bit today, but remains above average levels. Price action was flattish, but with a fair amount of dispersion.

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 0.0299 % 1,066.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0299 % 1,724.9
Floater 3.53 % 4.41 % 79,107 16.55 3 0.0299 % 1,332.5
OpRet 5.07 % 4.34 % 134,492 1.86 15 -0.0053 % 2,145.9
SplitShare 5.99 % 7.78 % 48,621 4.26 3 -0.2822 % 1,791.6
Interest-Bearing 5.99 % 6.63 % 27,907 0.62 1 0.0000 % 1,989.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1509 % 1,687.1
Perpetual-Discount 6.48 % 6.57 % 157,937 13.07 71 -0.1509 % 1,553.8
FixedReset 5.75 % 4.86 % 507,166 4.49 36 0.0462 % 1,972.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 9.02
Evaluated at bid price : 9.02
Bid-YTW : 4.41 %
RY.PR.H Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 22.69
Evaluated at bid price : 22.82
Bid-YTW : 6.22 %
SLF.PR.D Perpetual-Discount -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.84 %
BAM.PR.B Floater -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 8.92
Evaluated at bid price : 8.92
Bid-YTW : 4.46 %
MFC.PR.B Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.54 %
GWO.PR.I Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 6.85 %
BMO.PR.H Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 6.19 %
MFC.PR.C Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.38 %
PWF.PR.H Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.92 %
PWF.PR.L Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.82 %
BMO.PR.K Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.30 %
SLF.PR.E Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 6.78 %
POW.PR.D Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 6.90 %
BNA.PR.C SplitShare -1.30 % Asset coverage of 1.8-:1 as of April 30 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 12.13 %
SLF.PR.B Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.71 %
NA.PR.K Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 22.64
Evaluated at bid price : 22.85
Bid-YTW : 6.44 %
TD.PR.Y FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 24.25
Evaluated at bid price : 24.30
Bid-YTW : 4.04 %
BAM.PR.J OpRet 1.19 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 7.90 %
CU.PR.B Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 24.01
Evaluated at bid price : 24.30
Bid-YTW : 6.18 %
GWO.PR.G Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.78 %
PWF.PR.I Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 22.68
Evaluated at bid price : 22.90
Bid-YTW : 6.61 %
CL.PR.B Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 23.35
Evaluated at bid price : 23.63
Bid-YTW : 6.71 %
POW.PR.C Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 6.82 %
TRI.PR.B Floater 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 2.55 %
ELF.PR.G Perpetual-Discount 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 7.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.P FixedReset 112,152 Nesbitt crossed 100,000 at 24.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 24.79
Evaluated at bid price : 24.85
Bid-YTW : 4.17 %
RY.PR.T FixedReset 83,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 5.34 %
BAM.PR.H OpRet 71,990 RBC bought 14,000 from Nesbitt at 24.25; Nesbitt crossed 18,000 at the same price.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 7.23 %
TD.PR.I FixedReset 71,490 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 5.16 %
RY.PR.L FixedReset 40,850 TD crossed 25,000 at 25.75, then another 11,300 at 25.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-05-13
Maturity Price : 25.55
Evaluated at bid price : 25.60
Bid-YTW : 4.71 %
RY.PR.Y FixedReset 36,675 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 5.31 %
There were 40 other index-included issues trading in excess of 10,000 shares.

One Response to “May 13, 2009”

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