Another piece of history gone! Across the Curve notes that Treasury has called the 13.25 of May 2014:
I recall that bond as the last bond to trade at 14 percent. It was issued as a 30 year bond in May 1984. In those days the treasury issued callable long bonds but the call protection was 25 years. Anyway, on the settlement day May 15 1984 the owners threw up all over their shoes and the futures market was down limit. The new bond traded to 14 percent in the cash market. The rest is history as its successor sees nothing but buyers today in the 2.80s.
The New York Fed has endorsed the recent TMPG initiative to charge for fails:
The Federal Reserve Bank of New York endorses the Fails Charge Trading Practice published today by the Treasury Market Practices Group (TMPG) and strongly encourages its adoption by all market participants. The Fails Charge Trading Practice provides a feasible method for market participants to implement the TMPG’s previously announced recommendations for addressing widespread settlement fails in the U.S. Treasury market. The New York Fed is convinced that universal adoption of the trading practice is a crucial step in alleviating the chronic fails problem that currently threatens to constrain Treasury market liquidity and function. The New York Fed will adopt this new trading practice in its own market operations.
Accrued Interest provides some interesting colour on Agencies & MBS, observing:
MBS suffer from a severe negative convexity problem. MBS investors have essentially sold short an interest rate option to the underlying mortgage borrowers. Those borrowers are now almost universally in the money. Many borrowers will have difficulty actually refinancing (more on that below) but regardless, the price for MBS securities will have difficulty rising above $104 or so with an embedded in-the-money option with a $100 strike.
To see what I mean, notice the price spread across the coupon stack (using Fannie Mae 30-year MBS for February settlement):
4.5% Coupon: $101.938
5%: $102.750
5.5%: $103.203
6%: $103.656
6.5%: $104.500
This is the current dollar price for a mortgage security with the indicated coupon.
Tomorrow is the last day of trading of TXPR prior to its rebalancing, which is effective at the opening on Monday 19th. Those with an interest in some of the lower volume issues affected (e.g., ACO.PR.A, NSI.PR.C, NSI.PR.D) may wish to put in stink-bids and stink-offers,as it is possible (possible!) that CPD and other indexers may be willing (or forced!) to trade at a spread to market.
Another day of pretty good volume. PerpetualDiscounts were off again … but having survived 4Q08, I’m decidedly unimpressed by any overall move of less than a point.
| 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 | 7.06 % | 7.78 % | 41,501 | 13.26 | 2 | -0.3875 % | 852.3 |
| FixedFloater | 7.23 % | 6.99 % | 149,575 | 13.80 | 8 | 0.7445 % | 1,416.9 |
| Floater | 5.77 % | 5.62 % | 35,418 | 14.48 | 4 | -0.2117 % | 1,056.6 |
| OpRet | 5.33 % | 4.55 % | 140,262 | 4.07 | 15 | 0.1008 % | 2,015.6 |
| SplitShare | 6.12 % | 8.56 % | 84,924 | 4.16 | 15 | 0.4720 % | 1,818.8 |
| Interest-Bearing | 7.11 % | 9.21 % | 39,977 | 0.92 | 2 | 0.5838 % | 1,989.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3245 % | 1,563.1 |
| Perpetual-Discount | 6.85 % | 6.87 % | 240,613 | 12.71 | 71 | -0.3245 % | 1,439.6 |
| FixedReset | 5.90 % | 4.86 % | 912,682 | 15.31 | 21 | 0.3423 % | 1,832.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRI.PR.B | Floater | -7.17 % | Yes, really; the closing quote was 11.00-30, 9×11, and a significant portion of the trades had a $10 handle … including a big block crossed by Desjardins at $10.00, thirty-two minutes after selling 72,700 to Scotia at 11.75. Ouch! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 5.62 % |
| PPL.PR.A | SplitShare | -3.15 % | Asset coverage of 1.4+:1 as of December 31 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 8.91 Bid-YTW : 8.40 % |
| TCA.PR.Y | Perpetual-Discount | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 43.62 Evaluated at bid price : 44.52 Bid-YTW : 6.30 % |
| RY.PR.W | Perpetual-Discount | -2.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 19.16 Evaluated at bid price : 19.16 Bid-YTW : 6.51 % |
| IAG.PR.A | Perpetual-Discount | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 6.71 % |
| SBN.PR.A | SplitShare | -2.12 % | Asset coverage of 1.7+:1 as of January 8, according to Mulvihill. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 9.25 Bid-YTW : 6.84 % |
| RY.PR.G | Perpetual-Discount | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.61 Evaluated at bid price : 17.61 Bid-YTW : 6.51 % |
| DFN.PR.A | SplitShare | -1.71 % | 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 : 8.61 Bid-YTW : 8.40 % |
| BCE.PR.F | FixedFloater | -1.59 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 25.00 Evaluated at bid price : 15.50 Bid-YTW : 6.45 % |
| BMO.PR.H | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.73 % |
| CM.PR.G | Perpetual-Discount | -1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.84 Evaluated at bid price : 18.84 Bid-YTW : 7.21 % |
| PWF.PR.F | Perpetual-Discount | -1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 7.09 % |
| CM.PR.E | Perpetual-Discount | -1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 7.18 % |
| CM.PR.P | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 7.18 % |
| CM.PR.D | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 20.03 Evaluated at bid price : 20.03 Bid-YTW : 7.22 % |
| BAM.PR.N | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 12.71 Evaluated at bid price : 12.71 Bid-YTW : 9.49 % |
| MFC.PR.B | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.51 % |
| RY.PR.F | Perpetual-Discount | -1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.51 Evaluated at bid price : 17.51 Bid-YTW : 6.48 % |
| BMO.PR.J | Perpetual-Discount | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 16.81 Evaluated at bid price : 16.81 Bid-YTW : 6.82 % |
| NA.PR.L | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.17 Evaluated at bid price : 17.17 Bid-YTW : 7.08 % |
| BNS.PR.M | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 6.58 % |
| NA.PR.K | Perpetual-Discount | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 7.10 % |
| RY.PR.B | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.54 % |
| LBS.PR.A | SplitShare | -1.18 % | 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 : 8.35 Bid-YTW : 9.64 % |
| BNS.PR.O | Perpetual-Discount | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.74 % |
| CM.PR.J | Perpetual-Discount | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 7.10 % |
| RY.PR.C | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.56 % |
| TD.PR.C | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 24.41 Evaluated at bid price : 24.46 Bid-YTW : 4.90 % |
| BNS.PR.N | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 6.66 % |
| CU.PR.B | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 22.56 Evaluated at bid price : 22.76 Bid-YTW : 6.70 % |
| POW.PR.D | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.98 % |
| CL.PR.B | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 22.00 Evaluated at bid price : 22.00 Bid-YTW : 7.19 % |
| GWO.PR.H | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.87 % |
| BNS.PR.P | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 23.07 Evaluated at bid price : 23.15 Bid-YTW : 4.39 % |
| WFS.PR.A | SplitShare | 1.19 % | Asset coverage of 1.2+:1 as of January 8, according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2011-06-30 Maturity Price : 10.00 Evaluated at bid price : 9.32 Bid-YTW : 8.54 % |
| BCE.PR.A | FixedFloater | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 25.00 Evaluated at bid price : 17.46 Bid-YTW : 6.59 % |
| W.PR.H | Perpetual-Discount | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 7.46 % |
| FIG.PR.A | Interest-Bearing | 1.35 % | Asset coverage of 1.1+:1 as of January 9, based on Capital Units NAV of 2.23 and 0.53 Capital Units per preferred. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-31 Maturity Price : 10.00 Evaluated at bid price : 7.51 Bid-YTW : 12.45 % |
| CM.PR.R | OpRet | 1.59 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-04-29 Maturity Price : 25.15 Evaluated at bid price : 25.50 Bid-YTW : 4.55 % |
| BNA.PR.B | SplitShare | 1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2016-03-25 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 8.42 % |
| LFE.PR.A | SplitShare | 1.72 % | Asset coverage of 1.5-:1 as of December 31, according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-12-01 Maturity Price : 10.00 Evaluated at bid price : 9.44 Bid-YTW : 7.02 % |
| PWF.PR.I | Perpetual-Discount | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 6.87 % |
| TD.PR.A | FixedReset | 1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 22.98 Evaluated at bid price : 23.02 Bid-YTW : 4.39 % |
| BCE.PR.R | FixedFloater | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 25.00 Evaluated at bid price : 16.10 Bid-YTW : 7.01 % |
| PWF.PR.G | Perpetual-Discount | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 7.00 % |
| CM.PR.K | FixedReset | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 22.25 Evaluated at bid price : 23.00 Bid-YTW : 4.70 % |
| BNA.PR.C | SplitShare | 2.38 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 10.76 Bid-YTW : 16.25 % |
| POW.PR.B | Perpetual-Discount | 2.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 7.10 % |
| FFN.PR.A | SplitShare | 3.22 % | 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 : 8.01 Bid-YTW : 9.93 % |
| POW.PR.C | Perpetual-Discount | 3.80 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 6.87 % |
| BCE.PR.Z | FixedFloater | 3.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 25.00 Evaluated at bid price : 16.02 Bid-YTW : 7.09 % |
| DF.PR.A | SplitShare | 5.88 % | Asset coverage of 1.4:1 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 : 9.01 Bid-YTW : 7.46 % |
| BAM.PR.K | Floater | 8.35 % | Still priced way below the comparable TRI.PR.B, but narrowing the gap quite impressively today! YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 8.95 Evaluated at bid price : 8.95 Bid-YTW : 6.92 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.P | FixedReset | 248,392 | New issue settled yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : 5.96 % |
| SBC.PR.A | SplitShare | 207,900 | Asset coverage of 1.5+:1 as of January 8, according to Brompton Group. Desjardins crossed three blocks: 50,000 at 8.23, then 101,900 and 50,000 at 8.25. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2012-11-30 Maturity Price : 10.00 Evaluated at bid price : 8.25 Bid-YTW : 11.00 % |
| TD.PR.E | FixedReset | 203,254 | New issue settled yesterday. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 6.02 % |
| TRI.PR.B | Floater | 190,900 | Scotia bought two blocks from Desjardins, 10,000 at 11.85 and 72,700 at 11.75. Desjardins then crossed 71,300 at 10.00 … presumably leaving Scotia with an irate client. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 11.00 Evaluated at bid price : 11.00 Bid-YTW : 5.62 % |
| NA.PR.O | FixedReset | 159,546 | New issue settled yesterday. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-01-15 Maturity Price : 24.95 Evaluated at bid price : 25.00 Bid-YTW : 6.49 % |
| MFC.PR.A | OpRet | 77,405 | Nesbitt crossed 50,000 at 24.45. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 24.51 Bid-YTW : 4.51 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||