Interesting commentary from Fitch about possible changes in the money market:
In particular, we believe further MMF reform will likely lead managers to expand their product offerings beyond MMFs, possibly resulting in one unintended consequence. A potential decrease in information transparency for short-term market participants and regulators could occur, should more cash be moved from highly regulated and transparent MMFs into other parts of the financial system.
For example, corporate investors may shift liquid funds into separately managed cash accounts (SPA) as an alternative to MMFs. SPAs are one way a corporate treasurer could choose to diversify cash management activities without relying on MMFs. SPAs are managed in line with customized investment strategies that are designed to meet the investment objectives of a specific client. Importantly, SPAs are generally designed to provide liquidity from maturing securities with only minimum reliance on secondary market liquidity, which could be could be constrained during times of market stress. In contrast to MMFs which offer same-day liquidity, SPAs require corporate treasurers to have a high degree of confidence in their cash needs and cash flow forecasts.
This comes after revelations that the Fed is offering investment advice:
The Federal Reserve has warned U.S. money market funds to cut their investments in Europe, a top official says.
“The Fed and regulators have tried to stress to money market funds to reduce their exposure to European financial institutions,” Charles Plosser, the president of the Reserve Bank of Philadelphia, told the Wall Street Journal.
However, the Fed has not yet begun to centrally micromanage the economy:
Federal Labour Minister Lisa Raitt tabled a back-to-work bill on Monday, ordering an end to the strike within days at Canadian Pacific Railway Ltd. …
Ms. Raitt’s move comes as the economic impact mounts from the six-day strike by 4,800 members of the Teamsters Canada Rail Conference.
It was a negative day for the Canadian preferred share market, with PerpetualDiscounts flat, FixedResets off 5bp and DeemedRetractibles losing 17bp. SLF DeemedRetractibles performed shockingly badly, with all of them down far more than would have been predicted from knowing that they went ex-Dividend today; otherwise the Performance Highlights table shows fair volatility. Volume was light; no surprise given that it was a US holiday.
| 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 | 0.3347 % | 2,473.6 |
| FixedFloater | 4.50 % | 3.86 % | 29,726 | 17.56 | 1 | -1.3551 % | 3,503.1 |
| Floater | 2.92 % | 2.94 % | 67,892 | 19.82 | 3 | 0.3347 % | 2,670.8 |
| OpRet | 4.80 % | 2.57 % | 42,764 | 1.05 | 5 | -0.0155 % | 2,500.8 |
| SplitShare | 5.26 % | -4.64 % | 51,029 | 0.55 | 4 | 0.1243 % | 2,712.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0155 % | 2,286.7 |
| Perpetual-Premium | 5.46 % | 2.39 % | 71,500 | 0.62 | 25 | -0.0016 % | 2,227.3 |
| Perpetual-Discount | 5.10 % | 5.19 % | 81,823 | 15.06 | 8 | 0.4776 % | 2,434.4 |
| FixedReset | 5.06 % | 3.18 % | 192,541 | 4.25 | 69 | -0.0458 % | 2,392.2 |
| Deemed-Retractible | 4.99 % | 3.69 % | 164,892 | 2.72 | 45 | -0.1733 % | 2,312.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.C | Deemed-Retractible | -1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 6.08 % |
| SLF.PR.D | Deemed-Retractible | -1.54 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.98 % |
| SLF.PR.B | Deemed-Retractible | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 5.75 % |
| SLF.PR.E | Deemed-Retractible | -1.40 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.53 Bid-YTW : 5.99 % |
| SLF.PR.A | Deemed-Retractible | -1.39 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.41 Bid-YTW : 5.75 % |
| BAM.PR.G | FixedFloater | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 21.83 Evaluated at bid price : 21.11 Bid-YTW : 3.86 % |
| IAG.PR.E | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.60 Bid-YTW : 5.58 % |
| CIU.PR.A | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 24.55 Evaluated at bid price : 24.85 Bid-YTW : 4.63 % |
| BAM.PR.N | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 22.76 Evaluated at bid price : 23.16 Bid-YTW : 5.19 % |
| BAM.PR.M | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-05-28 Maturity Price : 22.72 Evaluated at bid price : 23.15 Bid-YTW : 5.19 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.X | FixedReset | 116,303 | National crossed 90,800 at 26.63. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.62 Bid-YTW : 3.02 % |
| CIU.PR.B | FixedReset | 95,500 | RBC crossed blocks of 70,000 and 15,500, both at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.18 % |
| CM.PR.L | FixedReset | 95,334 | National crossed 76,000 at 26.76; RBC crossed 10,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 2.99 % |
| CU.PR.C | FixedReset | 77,317 | National crossed 35,000 at 25.95 and 33,000 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.30 % |
| GWO.PR.G | Deemed-Retractible | 66,064 | Desjardins crossed 60,000 at 25.01. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 5.37 % |
| MFC.PR.I | FixedReset | 57,840 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 4.46 % |
| There were 17 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IAG.PR.E | Deemed-Retractible | Quote: 25.60 – 26.30 Spot Rate : 0.7000 Average : 0.5416 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 51.66 – 52.37 Spot Rate : 0.7100 Average : 0.5600 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 26.21 – 26.74 Spot Rate : 0.5300 Average : 0.3841 YTW SCENARIO |
| RY.PR.B | Deemed-Retractible | Quote: 25.66 – 26.00 Spot Rate : 0.3400 Average : 0.2153 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 17.91 – 18.34 Spot Rate : 0.4300 Average : 0.3176 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 25.90 – 26.18 Spot Rate : 0.2800 Average : 0.2029 YTW SCENARIO |