PrefBlog’s influence over global capital markets is proved yet again as Temasek is setting up an in-house investment firm:
Temasek Holdings Pte, Singapore’s state investment firm, is setting up a wholly owned multibillion dollar investment company with its own money, three people with knowledge of the matter said.
Seatown Holdings International will employ a multistrategy to invest in assets from stocks to bonds, targeting absolute returns, the people said, asking not to be identified because the information is private.
In-house is the only way to go for outfits that are big enough. Hire the best people, hold them accountable for results, let all layers of management concentrate on returns … you’ll do fine.
This is completely off-topic, but Toronto Distric School Board trustee Josh Matlow is in trouble again:
The showdown began last week when trustee Josh Matlow, the outspoken rogue of the TDSB, accused the board of going on a “drunken spending binge.”
The TDSB’s new sheriff, chair Bruce Davis, promptly demanded an apology and attached a deadline, Monday at 4 p.m., leaving Mr. Matlow the weekend to contemplate his fate.
Bruce Davis should take a civics course – he doesn’t appear to understand that cabinet solidarity only applies if one is in cabinet. However, I’m sure his responsibilities in ensuring seven-year olds are properly punished if they should, for instance, throw a snowball against a wall preclude any useful or intelligent use of time.
Today’s Treasury auction didn’t go all that well:
Treasuries tumbled after the U.S. sold a record-tying $25 billion of 10-year securities, the second of three note and bond auctions this week totaling $81 billion, and as investors weighed the prospects of European aid for Greece.
…
The yield on the current 10-year note climbed six basis points, or 0.06 percentage point, to 3.71 percent at 1:30 p.m. in New York, according to BGCantor Market Data. It increased as much as nine basis points yesterday, the most this year. The 30- year bond yield rose six basis points to 4.65 percent.
A marginally good day for Canadian preferred shares today, in constrast to all the recent marginally bad ones. PerpetualDiscounts gained 6bp and FixedResets gained 11bp, taking the yield on the latter down to 3.58%. The market was well-behaved as volume moderated, with only four performance highlights – three of them BAM issues in the Floating Rate class. The best of these, BAM.PR.K, also made it to the volume highlights.
PerpetualDiscounts now yield 5.87%, equivalent to 8.22% interest at the standard equivalency factor of 1.4x. Long Corporates continue to yield about 5.8%, so the pre-tax interest-equivalent spread has now widened to about 240bp, a slight widening from the 235bp reported February 3.
| 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 | 3.02 % | 3.65 % | 29,768 | 20.23 | 1 | 1.4054 % | 1,831.3 |
| FixedFloater | 5.72 % | 3.79 % | 33,888 | 19.23 | 1 | -0.3667 % | 2,765.2 |
| Floater | 2.04 % | 1.76 % | 39,238 | 23.12 | 4 | 1.2615 % | 2,249.3 |
| OpRet | 4.84 % | -3.56 % | 105,077 | 0.09 | 13 | 0.0236 % | 2,323.1 |
| SplitShare | 6.32 % | 6.00 % | 141,377 | 0.08 | 2 | -0.1959 % | 2,124.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0236 % | 2,124.3 |
| Perpetual-Premium | 5.77 % | 4.50 % | 88,217 | 0.78 | 7 | 0.2286 % | 1,896.5 |
| Perpetual-Discount | 5.83 % | 5.87 % | 168,968 | 14.06 | 69 | 0.0632 % | 1,808.4 |
| FixedReset | 5.42 % | 3.58 % | 318,190 | 3.78 | 42 | 0.1136 % | 2,183.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.A | Perpetual-Premium | 1.05 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-03-12 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.51 % |
| BAM.PR.E | Ratchet | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-02-10 Maturity Price : 25.00 Evaluated at bid price : 18.76 Bid-YTW : 3.65 % |
| BAM.PR.B | Floater | 2.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-02-10 Maturity Price : 16.33 Evaluated at bid price : 16.33 Bid-YTW : 2.43 % |
| BAM.PR.K | Floater | 2.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-02-10 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 2.45 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.E | FixedReset | 127,605 | Nesbitt crossed 50,000 at 28.00; TD crossed 35,000 at the same price; then Nesbitt bought 11,000 from National at 27.94. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.94 Bid-YTW : 3.38 % |
| RY.PR.W | Perpetual-Discount | 102,730 | TD crossed 100,000 at 21.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-02-10 Maturity Price : 21.69 Evaluated at bid price : 21.69 Bid-YTW : 5.67 % |
| BAM.PR.K | Floater | 81,060 | Nesbitt crossed blocks of 50,000 and 20,000, both at 15.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-02-10 Maturity Price : 16.17 Evaluated at bid price : 16.17 Bid-YTW : 2.45 % |
| TD.PR.G | FixedReset | 79,133 | RBC crossed 59,900 at 27.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.93 Bid-YTW : 3.39 % |
| GWO.PR.E | OpRet | 77,842 | Nesbitt crossed 75,000 at 25.67. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-04-30 Maturity Price : 25.25 Evaluated at bid price : 25.65 Bid-YTW : -0.23 % |
| CM.PR.L | FixedReset | 72,883 | RBC crossed 60,000 at 27.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.80 Bid-YTW : 3.75 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
In the Performance Highlights section for Feb 10th, are the Notes for ENB.PR.A correct?
It looks odd, but that’s what gets spit out by the math!
2010-03-12 FINAL DIVIDEND 0.04 0.997148 0.04
2010-03-12 MATURITY 25.00 0.997148 24.93
Total Cash Flows 25.0414
Total Present Value 24.9700
Discounting Rate 3.5073 % (Annual rate compounded semi-annually)
The reason is that the dividend has now been earned, but the pay date is 3/1; the company is assumed to consider the actual earn date as 3/1. Thus, the issue now includes what may be thought of as a negative accrued dividend. A holder who buys the issue 2/10 will earn zero dividend for 19 days (until March 1) and then resume earning it for the twelve days until the call.
With respect to the Earn date: the issue commenced trading 1998-12-1. The first dividend went ex on 1999-2-10, but the full quarterly dividend of $0.34375 was paid on 1999-3-1. Ain’t preferreds fun?
Thanks James,
I admit I didn’t check the prospectus on that and so missed the 30 day ‘prior notice provision’ in the redemption. It’s funny how jumpy the YTW gets in this type of situation when the price gets near the PAR redemption price.
Interesting that $24.97 results in a poor looking YTW of 3.51%, yet a small move down to $24.93 offers a YTW greater than the current yield… The math is darn twitchy around PAR.