January 13, 2009

BMO is buying AIG’s Canadian life insurance business. Nice to see the balance sheet of a Canadian bank being put to work.

Professor Axel Leijonhufvud has written a two part series on Vox (commencing yesterday) in which he concludes in part:

Two elements of a reconstructed system of regulatory control may be suggested.

First, re-impose effective reserve requirements on deposit-taking banks and extend them to all types of institutions that carry demand liabilities (e.g. money market funds).

Assiduous Readers will remember that I have called for bank-sponsored money market funds to be consolidated in their sponsors’ balance sheets for risk measurement purposes.

The ABCP soap-opera appears to be finally grinding to a resolution as the restructuring has received final approval. Investor Advocates will be pleased to learn that regulators now have judicial imprimatur to restrict investments even further:

Judge Campbell urged regulators to be more watchful about complicated products such as ABCP in the future.

He questioned whether investors and investment advisers “truly understood” what they were selling, and he went on to “urge regulators to sort out what investments should be available to whom.”

Soon only mutual funds will be legal for retail because, you know, you’re just not smart enough for anything else. The government says so, and they’re here to help you.

PerpetualDiscounts returned to their winning ways today.

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 6.98 % 7.60 % 27,778 13.44 2 -2.5076 % 867.1
FixedFloater 7.31 % 6.99 % 152,508 13.76 8 0.4653 % 1,402.1
Floater 5.43 % 5.15 % 35,822 15.27 4 0.2444 % 1,123.6
OpRet 5.33 % 4.76 % 130,809 4.08 15 0.1401 % 2,014.2
SplitShare 6.16 % 9.85 % 81,384 4.16 15 0.1221 % 1,805.0
Interest-Bearing 7.19 % 9.27 % 42,872 0.92 2 0.2353 % 1,967.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6360 % 1,577.6
Perpetual-Discount 6.78 % 6.83 % 246,616 12.75 71 0.6360 % 1,453.0
FixedReset 5.84 % 4.85 % 710,319 15.33 18 0.3165 % 1,827.7
Performance Highlights
Issue Index Change Notes
BCE.PR.Y Ratchet -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 14.12
Bid-YTW : 7.89 %
LBS.PR.A SplitShare -2.38 % Asset coverage of 1.5-:1 as of January 8 according to Brompton Group.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2013-11-29
Maturity Price : 10.00
Evaluated at bid price : 8.20
Bid-YTW : 10.08 %
BCE.PR.S Ratchet -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 14.65
Bid-YTW : 7.60 %
ALB.PR.A SplitShare -2.30 % Asset coverage of 1.3-:1 as of January 8 according to Scotia Managed Companies.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-02-28
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 14.09 %
BAM.PR.G FixedFloater -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 10.50
Bid-YTW : 10.61 %
FFN.PR.A SplitShare -2.00 % Asset coverage of 1.2+:1 as of December 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 7.85
Bid-YTW : 10.34 %
BNA.PR.C SplitShare -1.66 % Asset coverage of 1.8+:1 as of December 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 10.69
Bid-YTW : 16.34 %
BCE.PR.Z FixedFloater -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 15.26
Bid-YTW : 7.48 %
BCE.PR.F FixedFloater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 15.52
Bid-YTW : 6.44 %
BMO.PR.H Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.75 %
SLF.PR.C Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 7.17 %
GWO.PR.J FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 24.31
Evaluated at bid price : 24.36
Bid-YTW : 5.36 %
DFN.PR.A SplitShare -1.14 % Asset coverage of 1.7-:1 as of December 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2014-12-01
Maturity Price : 10.00
Evaluated at bid price : 8.65
Bid-YTW : 8.30 %
BCE.PR.I FixedFloater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 16.48
Bid-YTW : 6.85 %
PWF.PR.K Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.96 %
TD.PR.S FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 23.76
Evaluated at bid price : 23.82
Bid-YTW : 3.90 %
MFC.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 6.67 %
BNS.PR.O Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 6.52 %
TD.PR.O Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.35 %
MFC.PR.B Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 6.46 %
PWF.PR.E Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.76 %
PWF.PR.H Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.01 %
BAM.PR.J OpRet 1.46 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 10.80 %
POW.PR.A Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.97 %
BNS.PR.K Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.39 %
PWF.PR.L Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.00 %
BCE.PR.C FixedFloater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 16.21
Bid-YTW : 7.13 %
TD.PR.A FixedReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 22.96
Evaluated at bid price : 23.00
Bid-YTW : 4.40 %
BCE.PR.A FixedFloater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 17.19
Bid-YTW : 6.73 %
FBS.PR.B SplitShare 1.93 % Asset coverage of 1.2-:1 as of January 8 according to TD Securities.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 8.46
Bid-YTW : 11.32 %
POW.PR.D Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.87 %
BAM.PR.N Perpetual-Discount 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.24 %
W.PR.H Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.56 %
POW.PR.C Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 6.87 %
BNS.PR.R FixedReset 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 22.46
Evaluated at bid price : 22.50
Bid-YTW : 4.43 %
BNA.PR.A SplitShare 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 13.50 %
NA.PR.K Perpetual-Discount 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.99 %
NA.PR.M Perpetual-Discount 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 21.78
Evaluated at bid price : 21.86
Bid-YTW : 6.87 %
TD.PR.Q Perpetual-Discount 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 21.88
Evaluated at bid price : 21.96
Bid-YTW : 6.40 %
ELF.PR.G Perpetual-Discount 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.99 %
BCE.PR.R FixedFloater 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 25.00
Evaluated at bid price : 16.04
Bid-YTW : 7.06 %
SBC.PR.A SplitShare 5.72 % Asset coverage of 1.5+:1 as of January 8 according to Brompton Group.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-11-30
Maturity Price : 10.00
Evaluated at bid price : 8.50
Bid-YTW : 10.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
IGM.PR.A OpRet 168,991 Scotia crossed 80,000 at 25.15; RBC bought 75,000 at 25.05 from anonymous.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-06-29
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.78 %
GWO.PR.G Perpetual-Discount 124,550 TD crossed 45,000 at 18.50, then another 58,700 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.14 %
BMO.PR.J Perpetual-Discount 64,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.74 %
CM.PR.J Perpetual-Discount 46,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-01-13
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 6.98 %
PPL.PR.A SplitShare 45,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 9.00
Bid-YTW : 8.08 %
BAM.PR.O OpRet 33,027 National crossed 14,500 at 17.98.
YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 13.87 %
There were 36 other index-included issues trading in excess of 10,000 shares.

3 Responses to “January 13, 2009”

  1. prefhound says:

    “Soon only mutual funds will be legal for retail because, you know, you’re just not smart enough for anything else”

    And of course, those mutual funds are offered by, you guessed it, the friendly banks who want 2-4% MER. They get it mostly because they get the government to increase the barriers to entry through “regulations”, the net effect of which is to protect their profits more than the hapless investor returns.

  2. jiHymas says:

    Sadly, the necessity of complying with regulations compels the banks to spend some of these profits hiring knowledgable and dedicated ex-regulators.

  3. […] I have no information as yet regarding quotations on these instruments. I suspect that these notes will not be available to retail because, you know, you’re just not smart enough. […]

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