Well, holy smokes:
With more than half the results counted, Britons appear to be choosing to withdraw from the European Union.
Several polls published at the end of a bitter campaign suggested the Remain forces would win and leaders of the Leave campaign initially said there were many signs they had lost.
But with more than 200 of the 382 voting areas reporting, Leave was increasing its lead over Remain — 51.5 per cent to 48.5 per cent. The margin between the two sides was about 500,000 votes at that point.
…
The pound first soared in Asian markets as the polls were announced, then collapsed when Leave took an early lead. The loss of more than 5 per cent was even larger than during the global financial crisis.
Global markets buckled, with stocks plunging from Tokyo to London and Chicago, after early results from Britain’s referendum on membership of the European Union put the “Leave” campaign ahead. The pound fell the most on record, while haven assets jumped.
Sterling tumbled as much as 8.3 percent, the euro retreated from a six-week high and the yen surged. South Africa’s rand led losses among the currencies of commodity-exporting nations, sliding more than 5 percent as oil sank toward $48 a barrel and industrial metals slumped. Gold soared with U.S. Treasuries as investors piled into haven assets. Futures on the FTSE 100 Index plunged with S&P 500 Index contracts as benchmark stock gauges slid across Asia.
and:
The pound is making history as the chances of a Brexit grow.
The U.K. currency is headed for its biggest drop on record as results from Britain’s European Union referendum showed a stronger-than-expected vote for the “Leave” campaign. Volatility accelerated as the results from the referendum filtered through, with sterling trading in a range of more than 13 U.S. cents as an index of betting odds compiled by Oddschecker put the vote to exit the EU at 88 percent, from 23 percent on Thursday.
The 7.8 percent plunge on Friday compares with the 4.1 percent drop on 1992’s Black Wednesday, when the pound was forced out of Europe’s exchange-rate mechanism — the previous worst daily drop on record. The pound’s biggest-ever intraday decline has already been surpassed – a 5.9 percent decline on Oct. 24, 2008 — when stock markets crashed around the world during the Great Financial Crisis.
To date, the most interesting day of my career was fairly early on; September 16, 1992 – when the UK was forced out of the European Exchange Rate Mechanism.
There’s a pretty good chance that tomorrow will be the second most interesting day of my career!
But who knows? Maybe even these shattering events will be Trumped in November!
All this is happening when liquidity in the Canadian preferred share market is getting a little spotty … look at the quotes today, f’rinstance, on AIM.PR.B (10.06-21.50):
Click for Big
and HSE.PR.B (10.65-22.00)
Click for Big
HSE.PR.B was also featured on May 31. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.
| 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 | 0.8914 % | 1,657.5 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.8914 % | 3,027.9 |
| Floater | 4.64 % | 4.64 % | 63,157 | 16.17 | 3 | 0.8914 % | 1,745.0 |
| OpRet | 4.87 % | 0.70 % | 37,896 | 0.08 | 1 | 0.0000 % | 2,832.4 |
| SplitShare | 4.88 % | 4.88 % | 87,818 | 4.64 | 7 | -0.0230 % | 3,340.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0230 % | 2,606.0 |
| Perpetual-Premium | 5.60 % | -10.68 % | 77,645 | 0.09 | 9 | 0.2480 % | 2,636.9 |
| Perpetual-Discount | 5.36 % | 5.42 % | 103,743 | 14.76 | 28 | 0.2650 % | 2,740.7 |
| FixedReset | 5.15 % | 4.62 % | 157,335 | 7.22 | 88 | 0.7379 % | 1,977.4 |
| Deemed-Retractible | 5.12 % | 5.26 % | 122,034 | 4.92 | 33 | 0.3150 % | 2,702.6 |
| FloatingReset | 3.13 % | 5.13 % | 30,405 | 5.20 | 18 | 0.7979 % | 2,109.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.Q | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.46 Bid-YTW : 4.63 % |
| TD.PF.D | FixedReset | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.45 % |
| IAG.PR.G | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.90 Bid-YTW : 7.52 % |
| NA.PR.S | FixedReset | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.92 Evaluated at bid price : 17.92 Bid-YTW : 4.54 % |
| SLF.PR.I | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.57 Bid-YTW : 7.60 % |
| BMO.PR.K | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-07-23 Maturity Price : 25.25 Evaluated at bid price : 25.64 Bid-YTW : -8.30 % |
| BMO.PR.Y | FixedReset | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 4.33 % |
| RY.PR.I | FixedReset | 1.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.12 Bid-YTW : 4.66 % |
| TD.PF.E | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 4.37 % |
| BAM.PF.G | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 4.69 % |
| IFC.PR.A | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.89 Bid-YTW : 9.95 % |
| CM.PR.O | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 4.26 % |
| HSE.PR.A | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 11.60 Evaluated at bid price : 11.60 Bid-YTW : 5.17 % |
| BAM.PF.F | FixedReset | 1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 4.72 % |
| TRP.PR.F | FloatingReset | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 13.45 Evaluated at bid price : 13.45 Bid-YTW : 4.48 % |
| TRP.PR.C | FixedReset | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 12.37 Evaluated at bid price : 12.37 Bid-YTW : 4.53 % |
| MFC.PR.M | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.58 Bid-YTW : 7.58 % |
| MFC.PR.N | FixedReset | 1.42 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.54 Bid-YTW : 7.54 % |
| IFC.PR.C | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.51 Bid-YTW : 8.27 % |
| GWO.PR.N | FixedReset | 1.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.00 Bid-YTW : 9.79 % |
| RY.PR.M | FixedReset | 1.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 4.36 % |
| BAM.PR.Z | FixedReset | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.94 % |
| CM.PR.P | FixedReset | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 4.24 % |
| TRP.PR.D | FixedReset | 1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 4.61 % |
| BAM.PF.E | FixedReset | 1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 18.65 Evaluated at bid price : 18.65 Bid-YTW : 4.66 % |
| PWF.PR.T | FixedReset | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 3.88 % |
| FTS.PR.I | FloatingReset | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 12.20 Evaluated at bid price : 12.20 Bid-YTW : 4.00 % |
| MFC.PR.F | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 13.78 Bid-YTW : 10.09 % |
| SLF.PR.H | FixedReset | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.17 Bid-YTW : 8.78 % |
| BAM.PF.A | FixedReset | 1.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 4.83 % |
| BNS.PR.F | FloatingReset | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.37 Bid-YTW : 7.84 % |
| BAM.PF.B | FixedReset | 1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 4.85 % |
| TRP.PR.H | FloatingReset | 1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 10.14 Evaluated at bid price : 10.14 Bid-YTW : 4.37 % |
| RY.PR.J | FixedReset | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 4.42 % |
| BMO.PR.Q | FixedReset | 2.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.91 Bid-YTW : 6.26 % |
| CU.PR.C | FixedReset | 2.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 4.52 % |
| PWF.PR.P | FixedReset | 2.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 4.30 % |
| TRP.PR.B | FixedReset | 2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 11.70 Evaluated at bid price : 11.70 Bid-YTW : 4.24 % |
| SLF.PR.G | FixedReset | 2.96 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.60 Bid-YTW : 9.33 % |
| MFC.PR.P | FloatingReset | 8.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 12.50 Bid-YTW : 11.09 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| PWF.PR.R | Perpetual-Discount | 105,227 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 24.64 Evaluated at bid price : 25.12 Bid-YTW : 5.54 % |
| RY.PR.K | FloatingReset | 84,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.75 Bid-YTW : 5.10 % |
| BAM.PR.M | Perpetual-Discount | 55,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 21.04 Evaluated at bid price : 21.04 Bid-YTW : 5.68 % |
| TRP.PR.D | FixedReset | 40,954 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 4.61 % |
| EML.PR.A | FixedReset | 39,527 | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.62 Bid-YTW : 5.45 % |
| FTS.PR.G | FixedReset | 33,150 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-06-23 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.27 % |
| There were 46 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| HSE.PR.B | FloatingReset | Quote: 10.65 – 12.65 Spot Rate : 2.0000 Average : 1.3525 YTW SCENARIO |
| RY.PR.K | FloatingReset | Quote: 21.75 – 22.36 Spot Rate : 0.6100 Average : 0.4270 YTW SCENARIO |
| FTS.PR.M | FixedReset | Quote: 18.90 – 19.37 Spot Rate : 0.4700 Average : 0.3215 YTW SCENARIO |
| TRP.PR.G | FixedReset | Quote: 18.47 – 18.82 Spot Rate : 0.3500 Average : 0.2292 YTW SCENARIO |
| NA.PR.Q | FixedReset | Quote: 23.46 – 23.94 Spot Rate : 0.4800 Average : 0.3627 YTW SCENARIO |
| TRP.PR.E | FixedReset | Quote: 17.77 – 18.08 Spot Rate : 0.3100 Average : 0.1958 YTW SCENARIO |
Well James, I have been following your blog with periods of greater assuidity in moments like this one, when we live historic moments, since 2007.
This Brexit is neither Lehman Bros, nor a mega Greexit, nor anything I could take seriously until today as I didn’t, and still doesn’t, understand the Brits’ “leave” rationale. I don’t even uderstand Cameron’s bet to start with.
But now it has happened. They will waste precious time, money and energy just trying to figure out what to do next and nursing re-opened wounds with Scotland and Northern Ireland and risking setting afire politically the remainder of the EU.
… And yeah, there is still Trump lying over our North American’s heads.
Challenging times to say the least.
God help us all…
Obviously the Brexit is the big deal of the day, so hate to skip it, but thought I’d comment on your market liquidity comments. First I will agree that in certain prefs (particularly floaters) we do see pretty low levels of liquidity.
I haven’t seen much of a drop in average quoted liquidity or spread widths overall in quite a while (with the exception of the occasional ‘large move’ days) for resets or perps.
TSX reported closing / last bid – ask is a poor measure (and does not relate to the liquidity and spread goals of the RT). Most reported closing bid – asks are bad (pull closing bid/ask on any North American equity or future via Bloomberg or Reuters and you will see this) – if you are going to worry about this, you need to look at the composite book and probably want to grab the ticks at 3:55 (before algos start backing off for the close).
Coincidentally, I was testing a new order type from my broker on AIM.PR.B (as I figured it wouldn’t trade) and it was ~0.20 wide most of the afternoon (not 11.44 as reported).
For Canadian prefs, the liquidity is spread across many venues, with TSX, Alpha, CHIX, CX2 and Omega ALL actively contributing to the order book. In most cases it would appear that liquidity providers are using CX2, TSX, CHIX and Omega near the top of the book (in that order). Even a large chunk of formal market making (TSX Registered Trader) on prefs is algorithmic (National does a large piece of this – it went automated after they shuttered their discretionary prop divisions). On the newer floaters and thinner issues it is more likely that most liquidity is provided by algos and often will not be on the TSX.
For most readers of this blog, this is nothing to be concerned about – it typically means that there might be more volume and tighter spreads in the market than you are seeing on a retail trading screen – this means price improvement when you put in an aggressive order. It could mean there are orders that will respond to your order or are a head of it if you are posting a passive limit order. Hope this is helpful.