Those contemplating reverse mortgages would do well to incorporate the new OSFI advisory into their planning … the rules for qualification for optimal capital treatment will indubitably influence the packages offered by banks, notably:
- initial loan-to-value of less than 40%
- Ongoing loan-to-value of less than 60%
I regret that it is not possible for me to prepare the market report. There is a difficulty recovering prices from the TSX.
Update, 2009-5-16: Well, it took a little while, but eventually the TSX’s little computer that could spit out the data: Volume was down sharply in pre-holiday trading (which is always something of a mystery to me) but PerpetualDiscounts had a good up-day while FixedResets were flattish.
| 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 | 1.8220 % | 1,087.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.8220 % | 1,757.9 |
| Floater | 3.47 % | 4.31 % | 82,081 | 16.75 | 3 | 1.8220 % | 1,358.0 |
| OpRet | 5.05 % | 4.17 % | 131,130 | 2.60 | 15 | 0.1594 % | 2,152.5 |
| SplitShare | 5.94 % | 6.58 % | 52,551 | 4.26 | 3 | 0.2968 % | 1,808.5 |
| Interest-Bearing | 6.00 % | 6.85 % | 29,428 | 0.61 | 1 | -0.4975 % | 1,987.2 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2010 % | 1,695.0 |
| Perpetual-Discount | 6.45 % | 6.53 % | 156,319 | 13.16 | 71 | 0.2010 % | 1,561.0 |
| FixedReset | 5.75 % | 4.91 % | 493,807 | 4.48 | 36 | -0.0210 % | 1,973.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| HSB.PR.C | Perpetual-Discount | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 6.65 % |
| MFC.PR.B | Perpetual-Discount | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 6.40 % |
| BMO.PR.O | FixedReset | -1.00 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 26.63 Bid-YTW : 5.29 % |
| ELF.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 16.02 Evaluated at bid price : 16.02 Bid-YTW : 7.53 % |
| GWO.PR.I | Perpetual-Discount | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 6.78 % |
| CM.PR.P | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.58 % |
| PWF.PR.L | Perpetual-Discount | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 18.91 Evaluated at bid price : 18.91 Bid-YTW : 6.82 % |
| CM.PR.D | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 21.57 Evaluated at bid price : 21.57 Bid-YTW : 6.74 % |
| PWF.PR.F | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 20.15 Evaluated at bid price : 20.15 Bid-YTW : 6.59 % |
| PWF.PR.H | Perpetual-Discount | 1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.81 % |
| BAM.PR.J | OpRet | 1.40 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 21.70 Bid-YTW : 7.63 % |
| IAG.PR.C | FixedReset | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 23.48 Evaluated at bid price : 26.01 Bid-YTW : 5.21 % |
| TRI.PR.B | Floater | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 15.75 Evaluated at bid price : 15.75 Bid-YTW : 2.52 % |
| BAM.PR.B | Floater | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 9.11 Evaluated at bid price : 9.11 Bid-YTW : 4.37 % |
| BAM.PR.K | Floater | 2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 9.23 Evaluated at bid price : 9.23 Bid-YTW : 4.31 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.N | FixedReset | 159,150 | Scotia crossed 150,000 at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-27 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 4.91 % |
| CM.PR.A | OpRet | 44,950 | Nesbitt bought 28,200 from Desjardins at 25.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2009-06-14 Maturity Price : 25.50 Evaluated at bid price : 25.85 Bid-YTW : -8.64 % |
| RY.PR.Y | FixedReset | 31,871 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 26.09 Bid-YTW : 5.28 % |
| CM.PR.G | Perpetual-Discount | 20,542 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 6.87 % |
| RY.PR.G | Perpetual-Discount | 18,700 | RBC bought 11,000 from CIBC at 18.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-15 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.25 % |
| MFC.PR.D | FixedReset | 18,175 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.40 Bid-YTW : 5.25 % |
| There were 21 other index-included issues trading in excess of 10,000 shares. | |||
Thank you for the additional comments on the Trace corporate bond quote system. I now have a greater appreciation of some of the issues. Some questions remain, such as:
1. Although corporate bond trading volume was low prior to Trace, did it actually increase afterward? The different notions of liquidity are nice, but total trading volume is a comprehensive aggregate measure.
2. The article seems to blame the rise of CDS on Trace without noting that CDS did not have a capital requirement, which seems to be a greater incentive to switch from bonds to derivatives.
3. If one views debt as part of a continuous spectrum in investments from government debt, secured corporate debt, unsecured debt, pref shares, common shares, options, futures etc. then where should transparency and open markets with visible bid-ask spreads start and end? And why?
In a complex environment where financial services make up 40% of GDP it should not be too surprising that it will take lots of experiments (not all of which will work) to reduce systemic frictions/costs to enable economic growth.