Alea points out that the February 5 H.4.1 Fed release shows that the Fed Balance sheet continues to shrink. “Central Bank Liquidity Swaps” on the asset side and “Deposits – Depository Institutions” on the liability side are down $78-billion and $93-billion respectively.
Unfortunately – and somewhat surprisingly – Commercial Paper holdings increased by about $10.6-billion … but still way down from the peak.
The UK Financial Services Authority has released a consultation paper on Temporary Short-Selling Measures. It appears that they favour continuation of the “Disclosure Obligation” (large short positions must be disclosed), which I don’t have any problem with.
Speaking of disclosure obligations, the SEC has unveiled a raft of NRSRO rules, designed to ensure that future scapegoating will be easier to implement. Lots of disclosures that nobody will ever read, but good practice for the next regulation: a requirement that prices only go up. Surely this ultimate goal is only a few more box-ticks away!
All in all, it was a pretty quiet end to the week. Not much volume, not much movement.
| 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 | 5.33 % | 3.81 % | 24,302 | 17.74 | 2 | 0.4868 % | 859.9 |
| FixedFloater | 7.31 % | 7.01 % | 66,924 | 13.91 | 7 | -0.5962 % | 1,374.0 |
| Floater | 5.39 % | 4.42 % | 28,896 | 16.55 | 4 | -0.2049 % | 974.7 |
| OpRet | 5.27 % | 4.78 % | 155,573 | 4.01 | 15 | 0.3916 % | 2,039.6 |
| SplitShare | 6.21 % | 9.02 % | 70,078 | 4.08 | 15 | 0.4562 % | 1,795.8 |
| Interest-Bearing | 7.05 % | 8.15 % | 34,511 | 0.86 | 2 | 0.4044 % | 2,007.0 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0561 % | 1,556.7 |
| Perpetual-Discount | 6.91 % | 6.97 % | 206,700 | 12.60 | 71 | 0.0561 % | 1,433.7 |
| FixedReset | 6.13 % | 5.86 % | 679,610 | 13.81 | 27 | -0.0078 % | 1,794.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | Perpetual-Discount | -2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 8.56 % |
| BAM.PR.K | Floater | -2.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 7.41 Evaluated at bid price : 7.41 Bid-YTW : 7.20 % |
| BCE.PR.F | FixedFloater | -2.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 25.00 Evaluated at bid price : 14.81 Bid-YTW : 7.16 % |
| PWF.PR.E | Perpetual-Discount | -2.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 7.10 % |
| BCE.PR.G | FixedFloater | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 25.00 Evaluated at bid price : 14.75 Bid-YTW : 7.27 % |
| CM.PR.G | Perpetual-Discount | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 18.61 Evaluated at bid price : 18.61 Bid-YTW : 7.34 % |
| BNS.PR.R | FixedReset | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 21.33 Evaluated at bid price : 21.61 Bid-YTW : 4.92 % |
| GWO.PR.I | Perpetual-Discount | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 15.43 Evaluated at bid price : 15.43 Bid-YTW : 7.42 % |
| TD.PR.A | FixedReset | -1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 21.96 Evaluated at bid price : 22.00 Bid-YTW : 4.92 % |
| BNS.PR.Q | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 21.74 Evaluated at bid price : 21.78 Bid-YTW : 4.72 % |
| NA.PR.L | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 17.64 Evaluated at bid price : 17.64 Bid-YTW : 6.92 % |
| TD.PR.M | OpRet | 1.17 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-10-30 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.95 % |
| SBN.PR.A | SplitShare | 1.19 % | Asset coverage of 1.6+:1 as of January 31 according to Mulvihill. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2014-12-01 Maturity Price : 10.00 Evaluated at bid price : 9.32 Bid-YTW : 6.77 % |
| RY.PR.E | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 17.56 Evaluated at bid price : 17.56 Bid-YTW : 6.44 % |
| IGM.PR.A | OpRet | 1.26 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2013-06-29 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.22 % |
| BMO.PR.J | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 6.77 % |
| BAM.PR.J | OpRet | 1.87 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 9.92 % |
| FTN.PR.A | SplitShare | 2.33 % | Asset coverage of 1.2+:1 as of January 30 according to the company. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2015-12-01 Maturity Price : 10.00 Evaluated at bid price : 7.92 Bid-YTW : 9.57 % |
| POW.PR.B | Perpetual-Discount | 2.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 7.04 % |
| CM.PR.K | FixedReset | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-02-06 Maturity Price : 21.55 Evaluated at bid price : 21.55 Bid-YTW : 5.39 % |
| BAM.PR.O | OpRet | 3.27 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 20.55 Bid-YTW : 10.36 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.R | FixedReset | 99,244 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 6.33 % |
| TD.PR.G | FixedReset | 93,230 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 6.42 % |
| BNS.PR.X | FixedReset | 88,470 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 24.96 Bid-YTW : 6.38 % |
| CM.PR.L | FixedReset | 87,699 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 24.89 Bid-YTW : 6.67 % |
| MFC.PR.A | OpRet | 51,900 | Desjardins crossed 50,000 at 24.72. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 24.60 Bid-YTW : 4.49 % |
| TD.PR.E | FixedReset | 43,475 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 6.31 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||