Money funds are drawing back from Europe:
The biggest U.S. prime money-market funds cut their investments in Deutsche Bank AG (DBK) by $8.1 billion in October, the largest drop among 35 of the largest banks in Europe, the U.S., Japan and Canada, Bloomberg analysis shows.
The amount of Deutsche Bank short-term obligations held by the eight biggest U.S. funds eligible to purchase corporate debt, which included offerings from Fidelity Investments, JPMorgan Chase & Co. (JPM) and BlackRock Inc. (BLK), declined by 56 percent to $6.3 billion from Sept. 30 to Oct. 31, according to monthly portfolio updates compiled by Bloomberg and published in today’s Bloomberg Risk newsletter.
Deutsche Bank Chief Financial Officer Stefan Krause said that money funds aren’t a major source of funding on an Oct. 25 earnings call. Krause estimated that the funds provided 3 percent of the bank’s total funding.
Germany’s largest bank said it increased its discretionary unsecured wholesale funding to 135 billion euros from 113 billion euros between the end of June and the end of September, according to a presentation given by Krause at the time.
TMX DataLinx continues to have problems, so today’s report is again based on Yahoo!
It was a fine day for the Canadian preferred share market, with PerpetualDiscounts up 18bp, FixedResets gaining 13bp and DeemedRetractibles winning 20bp. Volatility was muted. Volume was light, although some nice blocks got crossed, particularly by Desjardins.
| 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 | -0.2583 % | 2,116.7 |
| FixedFloater | 4.80 % | 4.50 % | 26,267 | 17.29 | 1 | 0.4566 % | 3,211.9 |
| Floater | 3.40 % | 3.43 % | 68,928 | 18.66 | 2 | -0.2583 % | 2,285.4 |
| OpRet | 4.96 % | 3.19 % | 54,366 | 1.51 | 7 | -0.0879 % | 2,477.0 |
| SplitShare | 5.76 % | 6.56 % | 59,076 | 5.13 | 3 | 0.0841 % | 2,511.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0879 % | 2,265.0 |
| Perpetual-Premium | 5.58 % | 2.53 % | 102,751 | 0.16 | 13 | -0.0930 % | 2,154.5 |
| Perpetual-Discount | 5.31 % | 5.31 % | 109,077 | 14.79 | 17 | 0.1792 % | 2,294.9 |
| FixedReset | 5.10 % | 2.88 % | 214,432 | 2.51 | 63 | 0.1334 % | 2,348.0 |
| Deemed-Retractible | 5.03 % | 4.37 % | 202,776 | 3.89 | 46 | 0.2048 % | 2,220.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TCA.PR.X | Perpetual-Premium | -1.46 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-15 Maturity Price : 50.00 Evaluated at bid price : 52.00 Bid-YTW : 3.54 % |
| BAM.PR.M | Perpetual-Discount | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-11-11 Maturity Price : 23.02 Evaluated at bid price : 23.46 Bid-YTW : 5.11 % |
| IAG.PR.A | Deemed-Retractible | 2.13 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.04 Bid-YTW : 5.73 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.E | Perpetual-Discount | 757,100 | Block city! All crosses were at 25.00. Desjardins crossed seven blocks:
Nesbitt crossed 50,000 and TD crossed 86,000. |
| SLF.PR.I | FixedReset | 162,992 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.35 % |
| TD.PR.R | Deemed-Retractible | 152,600 | Scotia crossed blocks of 50,000 and 75,000, both at 26.70. TD crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-30 Maturity Price : 26.00 Evaluated at bid price : 26.76 Bid-YTW : 3.44 % |
| BNS.PR.X | FixedReset | 138,700 | Nesbitt crossed blocks of 85,000 and 50,000, both at 27.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-25 Maturity Price : 25.00 Evaluated at bid price : 27.30 Bid-YTW : 2.45 % |
| TD.PR.E | FixedReset | 91,785 | RBC crossed blocks of 49,900 and 10,200, both at 27.30; Scotia crossed 23,900 at the same price.YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.31 Bid-YTW : 2.45 % |
| CM.PR.L | FixedReset | 89,500 | Nesbitt crossed blocks of 23,300 and 47,400, both at 27.59. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.51 Bid-YTW : 2.38 % |
| 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.F | Deemed-Retractible | Quote: 26.00 – 26.90 Spot Rate : 0.9000 Average : 0.5408 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 24.26 – 24.70 Spot Rate : 0.4400 Average : 0.3182 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 26.50 – 26.94 Spot Rate : 0.4400 Average : 0.3301 YTW SCENARIO |
| HSE.PR.A | FixedReset | Quote: 25.75 – 26.20 Spot Rate : 0.4500 Average : 0.3421 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 52.00 – 52.48 Spot Rate : 0.4800 Average : 0.3755 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 23.04 – 23.39 Spot Rate : 0.3500 Average : 0.2504 YTW SCENARIO |