Nothing happened today, although I was recently gratified to learn I’m not the only one in the world who is worried about central clearing houses:
IF THEY failed, there would be “mayhem”, says Paul Tucker of the Bank of England. Ben Bernanke, the chairman of the Federal Reserve, quotes a Mark Twain character, Pudd’nhead Wilson, to get the same point across: “If you put all your eggs in one basket, you better watch that basket.” Another regulator privately describes them as “too big to fail, on steroids”.
Central Clearing Houses are probably the single dumbest idea to come out of post-Credit Crunch reregulation. Who – other than a politician or a regulator – really thinks that a system susceptible to single-point failure is more stable than a network?
The Canadian preferred share market enjoyed a good uptick today, with PerpetualPremiums up 2bp, FixedResets gaining 14bp and DeemedRetractibles winning 21bp. Volatility was dominated by BAM, evenly split between winners and losers. Volume was light.
| 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 | -0.8762 % | 2,333.7 |
| FixedFloater | 4.35 % | 3.70 % | 36,324 | 17.97 | 1 | 1.1574 % | 3,625.9 |
| Floater | 3.09 % | 3.10 % | 47,156 | 19.49 | 3 | -0.8762 % | 2,519.8 |
| OpRet | 4.75 % | 3.05 % | 46,618 | 1.15 | 5 | 0.0919 % | 2,508.6 |
| SplitShare | 5.26 % | -4.97 % | 81,284 | 0.68 | 4 | 0.0993 % | 2,689.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0919 % | 2,293.9 |
| Perpetual-Premium | 5.48 % | -2.35 % | 87,239 | 0.13 | 23 | 0.0238 % | 2,219.3 |
| Perpetual-Discount | 5.15 % | 5.09 % | 131,595 | 15.35 | 10 | 0.2848 % | 2,422.8 |
| FixedReset | 5.01 % | 2.97 % | 182,716 | 2.19 | 67 | 0.1416 % | 2,396.0 |
| Deemed-Retractible | 4.96 % | 3.83 % | 208,918 | 2.88 | 46 | 0.2101 % | 2,307.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | -1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-04-12 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 3.12 % |
| BAM.PR.M | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-04-12 Maturity Price : 23.24 Evaluated at bid price : 23.50 Bid-YTW : 5.08 % |
| BAM.PR.G | FixedFloater | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-04-12 Maturity Price : 22.55 Evaluated at bid price : 21.85 Bid-YTW : 3.70 % |
| BAM.PR.N | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-04-12 Maturity Price : 23.07 Evaluated at bid price : 23.51 Bid-YTW : 5.07 % |
| MFC.PR.C | Deemed-Retractible | 1.75 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.26 Bid-YTW : 5.50 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 203,376 | Nesbitt crossed 200,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 3.08 % |
| SLF.PR.F | FixedReset | 102,310 | Nesbitt crossed 100,000 at 26.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.39 Bid-YTW : 3.48 % |
| GWO.PR.G | Deemed-Retractible | 76,373 | RBC crossed blocks of 11,600 shares, 12,300 and 39,900, all at 25.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.25 % |
| BNS.PR.Z | FixedReset | 63,240 | Desjardins crossed 46,000 at 25.13. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 3.19 % |
| ENB.PR.H | FixedReset | 62,670 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-04-12 Maturity Price : 23.16 Evaluated at bid price : 25.20 Bid-YTW : 3.64 % |
| NA.PR.K | Deemed-Retractible | 61,537 | Desjardins crossed 50,000 at 25.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-05-15 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : -15.21 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.C | Floater | Quote: 16.91 – 17.57 Spot Rate : 0.6600 Average : 0.4498 YTW SCENARIO |
| ENB.PR.A | Perpetual-Premium | Quote: 25.91 – 26.24 Spot Rate : 0.3300 Average : 0.2124 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.30 – 26.69 Spot Rate : 0.3900 Average : 0.2776 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.40 – 25.88 Spot Rate : 0.4800 Average : 0.3705 YTW SCENARIO |
| POW.PR.C | Perpetual-Premium | Quote: 25.32 – 25.57 Spot Rate : 0.2500 Average : 0.1749 YTW SCENARIO |
| TD.PR.R | Deemed-Retractible | Quote: 26.88 – 27.08 Spot Rate : 0.2000 Average : 0.1278 YTW SCENARIO |