Equities caught a break today:
U.S. stocks rebounded from a violent selloff to post the biggest rally in 15 months as investors poured back into some of the most beaten-down sectors.
Technology, materials and consumer shares paced a 1.7 percent gain in the S&P 500 Index, while DowDuPont and Home Depot led a 567 point surge in the Dow Jones Industrial Average, the biggest gain in two years. The ride wasn’t straight up, though. The Dow plunged more than 500 points at the open, adding to anxiety after Monday’s rout — the worst in almost seven years. Stocks swung between gains and losses no fewer than a dozen times before a late-session rally.
…
The yield on 10-year Treasuries climbed nine basis points to 2.80 percent.
The carnage has consumed some of the more esoteric bets:
Credit Suisse said it will buy back the VelocityShares Daily Inverse VIX Short-Term ETN, which it issued and is known by its trading symbol XIV. The fund’s market value topped $2 billion in late January; it was down 93 percent as of 4 p.m. Tuesday after being halted for most of the morning. The bank said it’s redeeming early because the indicative value on Feb. 5 was equal to or less than 20 percent of the prior day’s closing indicative value.
The ProShares Short VIX Short-Term Futures ETF, a similar short-vol product, opened just before noon after a prolonged halt. It plunged 83 percent, wiping out more than $1 billion in market value. Another dozen exchange-traded products tied to the VIX triggered limit up/limit down rules that stopped trading as the volatility gauge spiked above 50 only to then tumble to 30 as the S&P 500 capped its best day since November 2016.
Horizons ETFs Management Canada Inc. halted trading and temporarily suspended redemptions of its ETF that bets against VIX futures earlier Tuesday. The fund fell 84 percent after it resumed trading and redemptions. Nomura Europe Finance meanwhile announced the early redemption of its Next Notes S&P 500 VIX Short-Term Futures Inverse Daily Excess Return Index ETN, which had 32.4 billion yen ($297 million) in assets.
And, the article continues, there may be knock-on effects:
But Barclays Plc says the turmoil will spur a wave of deleveraging among volatility-targeting funds that’s set to unleash $225 billion of equity sales in the coming days. Some $500 billion of assets are tied to funds that target a given level of volatility — two-thirds of which are traded by algorithms that look poised to divest after Monday’s eruption of turbulence, according to the British bank.
Bloomberg has a good article by Matthew Campbell regarding the German attitude towards cash:
For Germans, more than for the citizens of virtually any other Western economy, “money” still means, above all, physical cash. The average German wallet contains 103 physical euros, the European Central Bank estimated in November, more than three times the figure in France. Cash is still the means of payment in some 80 percent of point-of-sale transactions, compared with only 45 percent—and falling fast—next door in the Netherlands. Using cash is a habit deeply resistant to regulatory intervention; mild suggestions in 2016 that it might be restricted in certain circumstances in Germany ignited passionate protest from almost every point on the political spectrum.
…
Yet for many Germans, the convenience of electronic payment is beside the point. Rather, the use of cash has, to a surprising extent, become a proxy for profound concerns about trust, privacy, and the role of the state. Whereas in most countries the choice of how to organize purchases is basically a question of utility, in Germany it’s freighted with much deeper connotations. “Cash, to me, is an important public good by which you measure the transparency and legal order of a society, and also the respect for the individual and the private sphere,” says Max Otte, an economist in Cologne who leads Save Our Cash, a national campaign that opposes measures to restrict the use of physical currency. “ ‘Why do Germans like cash?’ is the wrong question,” he adds. Instead, Otte asks, “Why have others shifted to a cashless society so quickly?”
…
[Former ECB Chief Economist Otmar] Issing … accounts for this demand by making reference to an oft-repeated German maxim: “Cash is printed freedom”—offering the ability to transact with autonomy and anonymity in a country with good historical reasons to value both.
I’ve been highly amused of late by the huffing and puffing about Turquoise Hill:
Between 2010 and 2016, Turquoise Hill ran the finances for its massive Oyu Tolgoi mine in Mongolia through shell companies in Netherlands and Luxembourg, The arrangement allowed it to avoid paying $559 million (U.S.) in Canadian corporate income tax, worth $694 million Canadian at current exchange rates, according to a report put out by the Dutch NGO SOMO this week.
“There does seem to be a contradiction there,” said Karyn Keenan, director of Above Ground, an Ottawa-based NGO that advocates for corporate accountability.
“Should EDC be providing over a billion dollars of financing to a company that’s engaging in tax avoidance?” she asked. “EDC is a public institution. It’s an arm of the state. It should operate in a way that’s coherent with the policies and the stated aims of the government.”
So all of you unpatriotic – perhaps even treacherous – readers out there who employ sophisticated tax avoidance strategies such as TFSAs, RRSPs and pensions, watch out! Karyn Keenan will soon be around to protest your leaching of government programmes intended to benefit red-blooded and Karyn Keenan-supporting Canadians, such as municipal water supplies!
She should, of course, be lobbying the politicians to change the tax-law, but then her group would be considered political and would almost certainly lose its non-taxable funding from Tides Canada. I’m not sure how much that is … oddly, I can’t seem to find Above Ground’s financial statements on their website.
It was a highly unpleasant day for preferreds … my suspicion is that a few, or perhaps even just one, big players are selling indiscriminately in order to invest the proceeds into all the common stock that’s currently on sale … but that’s just a guess!
| 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 | -0.1417 % | 2,899.1 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1417 % | 5,319.7 |
| Floater | 3.43 % | 3.61 % | 57,304 | 18.25 | 4 | -0.1417 % | 3,065.8 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1554 % | 3,150.4 |
| SplitShare | 4.66 % | 4.27 % | 65,087 | 4.12 | 5 | -0.1554 % | 3,762.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1554 % | 2,935.5 |
| Perpetual-Premium | 5.41 % | 4.92 % | 64,889 | 5.89 | 20 | -0.2948 % | 2,846.0 |
| Perpetual-Discount | 5.35 % | 5.37 % | 67,948 | 14.86 | 14 | -0.7993 % | 2,960.4 |
| FixedReset | 4.24 % | 4.62 % | 150,339 | 4.24 | 101 | -0.6531 % | 2,518.6 |
| Deemed-Retractible | 5.13 % | 5.73 % | 92,604 | 5.77 | 28 | -0.5978 % | 2,913.5 |
| FloatingReset | 3.04 % | 2.95 % | 43,758 | 3.75 | 10 | -0.4671 % | 2,766.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.E | FixedReset | -2.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.19 Evaluated at bid price : 23.57 Bid-YTW : 4.73 % |
| BAM.PR.T | FixedReset | -2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 21.06 Evaluated at bid price : 21.06 Bid-YTW : 5.06 % |
| SLF.PR.D | Deemed-Retractible | -1.84 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.30 Bid-YTW : 7.32 % |
| MFC.PR.L | FixedReset | -1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.36 Bid-YTW : 5.47 % |
| CU.PR.G | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.33 % |
| BAM.PR.R | FixedReset | -1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 20.78 Evaluated at bid price : 20.78 Bid-YTW : 5.05 % |
| MFC.PR.M | FixedReset | -1.69 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.84 Bid-YTW : 5.24 % |
| SLF.PR.C | Deemed-Retractible | -1.62 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.31 Bid-YTW : 7.31 % |
| TRP.PR.C | FixedReset | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.78 % |
| TRP.PR.H | FloatingReset | -1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 3.61 % |
| HSE.PR.A | FixedReset | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 17.83 Evaluated at bid price : 17.83 Bid-YTW : 5.10 % |
| SLF.PR.B | Deemed-Retractible | -1.47 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.77 Bid-YTW : 6.54 % |
| BAM.PF.G | FixedReset | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.27 Evaluated at bid price : 24.44 Bid-YTW : 5.00 % |
| TRP.PR.G | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 22.99 Evaluated at bid price : 23.97 Bid-YTW : 5.11 % |
| POW.PR.D | Perpetual-Discount | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.26 Evaluated at bid price : 23.56 Bid-YTW : 5.35 % |
| MFC.PR.N | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.72 Bid-YTW : 5.22 % |
| BAM.PR.X | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 5.06 % |
| TRP.PR.A | FixedReset | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.77 % |
| TRP.PR.D | FixedReset | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 22.98 Evaluated at bid price : 23.47 Bid-YTW : 4.76 % |
| SLF.PR.E | Deemed-Retractible | -1.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.46 Bid-YTW : 7.24 % |
| GWO.PR.S | Deemed-Retractible | -1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.61 Bid-YTW : 5.65 % |
| SLF.PR.G | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.26 Bid-YTW : 7.40 % |
| PWF.PR.P | FixedReset | -1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 4.56 % |
| BAM.PF.F | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.52 Evaluated at bid price : 24.60 Bid-YTW : 5.02 % |
| SLF.PR.A | Deemed-Retractible | -1.32 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 6.72 % |
| CU.PR.E | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.25 Evaluated at bid price : 23.62 Bid-YTW : 5.26 % |
| BAM.PF.B | FixedReset | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.44 Evaluated at bid price : 23.94 Bid-YTW : 4.96 % |
| MFC.PR.H | FixedReset | -1.26 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 5.40 % |
| GWO.PR.H | Deemed-Retractible | -1.22 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 6.63 % |
| TRP.PR.F | FloatingReset | -1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 3.72 % |
| BIP.PR.C | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.94 % |
| PWF.PR.T | FixedReset | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 24.29 Evaluated at bid price : 24.71 Bid-YTW : 4.53 % |
| PWF.PR.S | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 22.13 Evaluated at bid price : 22.46 Bid-YTW : 5.36 % |
| MFC.PR.K | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.42 Bid-YTW : 5.52 % |
| POW.PR.G | Perpetual-Premium | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 24.87 Evaluated at bid price : 25.21 Bid-YTW : 5.60 % |
| TRP.PR.J | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 4.42 % |
| BAM.PF.E | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.47 Evaluated at bid price : 23.78 Bid-YTW : 4.92 % |
| TD.PF.D | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.33 Bid-YTW : 4.81 % |
| BMO.PR.Q | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.40 Bid-YTW : 4.87 % |
| MFC.PR.C | Deemed-Retractible | -1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.50 Bid-YTW : 7.24 % |
| MFC.PR.O | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.48 Bid-YTW : 3.98 % |
| RY.PR.Z | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.08 Evaluated at bid price : 23.56 Bid-YTW : 4.55 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.Z | FloatingReset | 101,900 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.78 Bid-YTW : 2.95 % |
| BAM.PF.H | FixedReset | 91,520 | YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 3.67 % |
| CM.PR.S | FixedReset | 81,745 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-02-06 Maturity Price : 23.06 Evaluated at bid price : 24.70 Bid-YTW : 4.54 % |
| CM.PR.R | FixedReset | 64,249 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.27 % |
| BNS.PR.A | FloatingReset | 54,483 | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-04-25 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 0.75 % |
| NA.PR.C | FixedReset | 52,630 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.09 Bid-YTW : 4.37 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.T | FixedReset | Quote: 21.06 – 21.89 Spot Rate : 0.8300 Average : 0.5183 YTW SCENARIO |
| BAM.PF.B | FixedReset | Quote: 23.94 – 24.50 Spot Rate : 0.5600 Average : 0.3699 YTW SCENARIO |
| BAM.PF.G | FixedReset | Quote: 24.44 – 24.85 Spot Rate : 0.4100 Average : 0.2647 YTW SCENARIO |
| TRP.PR.E | FixedReset | Quote: 23.57 – 24.00 Spot Rate : 0.4300 Average : 0.2855 YTW SCENARIO |
| BMO.PR.Y | FixedReset | Quote: 24.50 – 24.87 Spot Rate : 0.3700 Average : 0.2285 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 18.16 – 18.60 Spot Rate : 0.4400 Average : 0.2986 YTW SCENARIO |