Life has become a little more annoying for ETF investors:
Recently, BlackRock stopped publishing the management expense ratio for its ETFs on the iShares Canada website. Instead, investors are shown the management fee for iShares ETFs.
Management fees are just one component of the costs that investors pay to own ETFs and mutual funds. There are also operating expenses (administrative and legal costs, for example), and taxes.
…
Bank of Montreal and Claymore Investments publish management fee info on their websites. To find out about MERs, you have to look at their semi-annual management reports on fund performance (download them at sedar.com).
The Bank of Canada has released a working paper by Emanuella Enenajor, Alex Sebastian, and Jonathan Witmer titled An Assessment of the Bank of Canada’s
Term PRA Facility:
This paper empirically assesses the effectiveness of the Bank of Canada’s term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. It examines the behaviour of this spread around both term PRA announcement dates and term PRA operation dates, using an event-study methodology to control for developments in other money markets (i.e., using the U.S. LIBOR-OIS spread) as well as proxies for Canadian banking sector credit risk. Overall, there is robust evidence that the term PRA announcements reduced bank funding costs at both 1-month and 3-month terms, whereas we find no evidence of an impact from term PRA operations. However, given the small number of term PRA announcements in our sample, caution should be taken in attributing the reduction in the CDOR-OIS spread solely to the term PRA announcements, since other concurrent events (including other announcements by the Bank of Canada) may have also contributed to a compression in the CDOR-OIS spread.
There’s some speculation that the European stress test actually worked:
The gap between European and U.S. benchmark credit-default swap indexes, used to hedge against losses or speculate on creditworthiness, narrowed to 0.7 basis point today, the lowest since June 4, prices from Markit Group Ltd. show. That premium soared to a record 23 basis points on May 7 on concern that budget deficits in southern Europe would infect credit markets worldwide.
Bond investors are turning their attention to the global economic recovery’s sustainability after European banks and regulators provided a better view into balance sheets of the region’s lenders and Spain sold 3.4 billion euros ($4.42 billion) of debt in an auction. Stress test results released July 23, which showed 84 of 91 banks passing, reassured investors by detailing their sovereign debt holdings.
However, this could just as well be relief over the softening of the Basel III proposals which was disussed yesterday:
Banks worldwide applauded changes to proposed capital and liquidity standards that relaxed aspects of the rules and gave lenders as much as eight years to comply.
Lobbying groups in Europe and the U.S. praised the changes announced July 26 by the Basel Committee on Banking Supervision as steps in the right direction, while firms including Deutsche Bank AG and UBS AG welcomed the softening of rules proposed by the committee in December. European and Japanese bank stocks surged.
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The 54-member Bloomberg Europe Banks and Financial Services Index rose 4.5 percent to 121.14, the biggest gain since European leaders crafted a 750 billion-euro ($973 billion) rescue package on May 10.Sumitomo Mitsui Financial Group Inc., Japan’s second- largest bank by market value, led banks higher in Tokyo. Sumitomo Mitsui rose 2.8 percent to 2,587 yen, the most in more than two weeks. Mitsubishi UFJ Financial Group Inc., the nation’s largest bank, gained 2.5 percent, while Mizuho Financial Group Inc. climbed 2.2 percent.
U.S. bank stocks hardly budged.
The Canadian preferred share market had another good day on moderate volume, with PerpetualDiscounts up 12 bp and FixedResets gaining 1bp. Hardly any volatility.
| 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 | 2.86 % | 2.95 % | 23,801 | 20.14 | 1 | 0.0000 % | 2,073.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0914 % | 3,154.2 |
| Floater | 2.51 % | 2.13 % | 41,136 | 22.02 | 4 | 0.0914 % | 2,248.2 |
| OpRet | 4.89 % | 1.93 % | 95,487 | 0.26 | 11 | -0.0884 % | 2,338.9 |
| SplitShare | 6.25 % | 5.48 % | 71,938 | 0.08 | 2 | 0.2377 % | 2,218.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0884 % | 2,138.7 |
| Perpetual-Premium | 5.90 % | 5.33 % | 106,561 | 1.80 | 4 | 0.1770 % | 1,942.4 |
| Perpetual-Discount | 5.82 % | 5.91 % | 183,256 | 13.98 | 73 | 0.1219 % | 1,860.8 |
| FixedReset | 5.32 % | 3.52 % | 321,653 | 3.44 | 47 | 0.0087 % | 2,223.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSB.PR.D | Perpetual-Discount | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-27 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.94 % |
| POW.PR.D | Perpetual-Discount | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-27 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.90 % |
| BNS.PR.O | Perpetual-Discount | 2.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-27 Maturity Price : 24.61 Evaluated at bid price : 24.84 Bid-YTW : 5.66 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.A | FixedReset | 123,800 | Desjardins bought three blocks from RBC, one of 23,000 and two of 10,000, all at 26.20. Desjardins crossed 50,000, and RBC crossed 25,000, both at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.52 % |
| TD.PR.C | FixedReset | 84,354 | RBC crossed blocks of 50,000 and 25,000, both at 26.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 26.76 Bid-YTW : 3.47 % |
| BNS.PR.P | FixedReset | 44,898 | Desjardins bought two blocks from National, 11,000 at 26.19 and 12,200 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.17 Bid-YTW : 3.22 % |
| MFC.PR.D | FixedReset | 39,334 | TD crossed 27,400 at 27.72. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.72 Bid-YTW : 3.87 % |
| BNS.PR.Y | FixedReset | 35,790 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-27 Maturity Price : 24.57 Evaluated at bid price : 24.62 Bid-YTW : 3.59 % |
| BNS.PR.N | Perpetual-Discount | 28,456 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-07-27 Maturity Price : 23.12 Evaluated at bid price : 23.30 Bid-YTW : 5.66 % |
| There were 31 other index-included issues trading in excess of 10,000 shares. | |||