Sheila Bair criticized the size of banks’ prop trading books in her Crisis Committee testimony. Comrade Peace Prize is going one step further:
President Barack Obama will offer proposals to limit financial institutions’ size and trading activities as a way to reduce risk-taking, an administration official said.
Obama will announce the rules today after meeting with former Federal Reserve Chairman Paul Volcker at the White House. The proposals will be part of an overhaul of regulations and will specifically address firms’ proprietary trading, the official said yesterday on the condition of anonymity.
Hedge funds here we come! The above was written last night when the first news came out; I devoted a post to the actual announcement.
The Bank for International Settlements has released a massive collection of papers titled Monetary Policy and the Measurement of Inflation, Prices, Wages and Expectations.
The Bank of Canada has released the January 2010 Monetary Policy Report.
PerpetualDiscounts got slapped down today, losing 33bp, while FixedResets kept on trucking with a gain of 3bp. Heavy volume!
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.1553 % | 1,707.7 |
| FixedFloater | 5.66 % | 3.75 % | 34,381 | 19.34 | 1 | 2.1277 % | 2,791.3 |
| Floater | 2.30 % | 2.63 % | 109,730 | 20.68 | 3 | -0.1553 % | 2,133.5 |
| OpRet | 4.86 % | -2.73 % | 112,233 | 0.09 | 13 | -0.0207 % | 2,312.2 |
| SplitShare | 6.36 % | -1.28 % | 171,093 | 0.08 | 2 | -0.1969 % | 2,113.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0207 % | 2,114.3 |
| Perpetual-Premium | 5.82 % | 5.79 % | 151,576 | 6.92 | 12 | -0.1327 % | 1,885.5 |
| Perpetual-Discount | 5.76 % | 5.80 % | 178,072 | 14.19 | 63 | -0.3324 % | 1,824.5 |
| FixedReset | 5.40 % | 3.57 % | 344,996 | 3.83 | 42 | 0.0279 % | 2,181.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TD.PR.P | Perpetual-Discount | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 23.43 Evaluated at bid price : 23.62 Bid-YTW : 5.58 % |
| MFC.PR.B | Perpetual-Discount | -1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 5.82 % |
| PWF.PR.K | Perpetual-Discount | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.87 % |
| BNS.PR.T | FixedReset | -1.43 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.65 Bid-YTW : 3.61 % |
| POW.PR.B | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 21.87 Evaluated at bid price : 22.20 Bid-YTW : 6.06 % |
| IAG.PR.C | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.15 Bid-YTW : 3.97 % |
| BAM.PR.G | FixedFloater | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 3.75 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.I | FixedReset | 192,310 | Scotia crossed 10,000 at 27.61, then another 10,000 at 27.65. Nesbitt crossed 30,000 at 27.75. Scotia crossed 20,000 at 27.75. RBC crossed blocks of 49,600 and 28,400, both at 27.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.72 Bid-YTW : 3.67 % |
| TRP.PR.A | FixedReset | 172,087 | Nesbitt bought 10,000 from TD at 26.30, then crossed blocks of 75,000 and 36,000 at 26.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.79 % |
| W.PR.J | Perpetual-Discount | 84,750 | Nesbitt crossed 15,000 at 23.00, then sold 20,000 to RBC at 23.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 6.11 % |
| IGM.PR.B | Perpetual-Discount | 72,000 | Nesbitt crossed 30,000 at 24.90. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-01-21 Maturity Price : 24.62 Evaluated at bid price : 24.83 Bid-YTW : 6.03 % |
| NA.PR.N | FixedReset | 66,500 | Nesbitt crossed blocks of 10,000 and 20,000 at 26.35, then crossed 15,000 at 26.37. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 3.65 % |
| MFC.PR.A | OpRet | 61,221 | RBC crossed 52,000 at 26.70. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 3.18 % |
| There were 62 other index-included issues trading in excess of 10,000 shares. | |||