Banks have returned to dominance in credit market trading:
The average difference to buy and sell the 10 most actively-traded U.S. corporate credit-default swaps contracts ballooned to 24.2 basis points in the nine months after Lehman’s bankruptcy, from an average 4.5 basis points in the two years before the collapse, according to data compiled by Bloomberg and London-based CMA. That means a trader after the crisis could have earned an extra $19,700 on a $10 million trade.
“They made hay while the sun shined,” Lewis said. “The total compensation was great at the boutiques when the larger banks couldn’t compete.”
Those margins collapsed as the U.S. government and the Federal Reserve spent, lent or committed $12.8 trillion to unlock capital markets and bail out banks. The average gap between prices to buy and sell credit-default swaps narrowed to an average 7 basis points in 2010, CMA data show.
It was a day of mixed results on heavy volume for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp and FixedResets losing 9bp.
| 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 | -0.1462 % | 2,334.0 |
| FixedFloater | 4.77 % | 3.45 % | 26,807 | 19.20 | 1 | -0.3930 % | 3,570.3 |
| Floater | 2.56 % | 2.33 % | 44,377 | 21.36 | 4 | -0.1462 % | 2,520.1 |
| OpRet | 4.81 % | 3.25 % | 66,553 | 2.29 | 8 | -0.0818 % | 2,391.7 |
| SplitShare | 5.31 % | 1.69 % | 472,783 | 0.88 | 4 | -0.1150 % | 2,462.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0818 % | 2,187.0 |
| Perpetual-Premium | 5.64 % | 5.10 % | 140,005 | 5.18 | 20 | 0.1158 % | 2,033.5 |
| Perpetual-Discount | 5.31 % | 5.29 % | 258,372 | 14.90 | 57 | 0.0341 % | 2,083.2 |
| FixedReset | 5.23 % | 3.45 % | 288,639 | 3.05 | 52 | -0.0864 % | 2,274.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | Perpetual-Discount | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 23.72 Evaluated at bid price : 24.01 Bid-YTW : 5.46 % |
| GWO.PR.I | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 22.29 Evaluated at bid price : 22.44 Bid-YTW : 5.05 % |
| IAG.PR.C | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.89 Bid-YTW : 3.66 % |
| BAM.PR.J | OpRet | -1.08 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 4.47 % |
| MFC.PR.C | Perpetual-Discount | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 21.54 Evaluated at bid price : 21.54 Bid-YTW : 5.29 % |
| GWO.PR.F | Perpetual-Premium | 1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2011-10-30 Maturity Price : 25.25 Evaluated at bid price : 25.55 Bid-YTW : 4.72 % |
| ELF.PR.F | Perpetual-Discount | 5.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 6.07 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.I | Perpetual-Discount | 106,394 | Nesbitt crossed 49,000 at 23.25; RBC crossed 12,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 23.03 Evaluated at bid price : 23.23 Bid-YTW : 5.07 % |
| SLF.PR.E | Perpetual-Discount | 48,879 | Nesbitt crossed 26,800 at 21.70 and bought 10,000 from RBC at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 21.37 Evaluated at bid price : 21.65 Bid-YTW : 5.23 % |
| GWO.PR.N | FixedReset | 46,420 | RBC crossed 36,000 at 24.81. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 24.80 Evaluated at bid price : 24.85 Bid-YTW : 3.86 % |
| BAM.PR.J | OpRet | 44,943 | RBC crossed 38,700 at 26.80. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 4.47 % |
| PWF.PR.F | Perpetual-Discount | 43,350 | Nesbitt crossed 15,800 at 24.00; RBC crosse 19,000 at 24.05. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.48 % |
| RY.PR.F | Perpetual-Discount | 43,200 | CIBC sold 29,400 to anonymous at 23.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-01-20 Maturity Price : 22.82 Evaluated at bid price : 23.00 Bid-YTW : 4.90 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||