{"id":13802,"date":"2011-01-21T09:51:39","date_gmt":"2011-01-21T13:51:39","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=13802"},"modified":"2011-01-21T09:51:39","modified_gmt":"2011-01-21T13:51:39","slug":"january-20-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=13802","title":{"rendered":"January 20, 2011"},"content":{"rendered":"

Banks have returned to dominance<\/a> in credit market trading:<\/p>\n

The average difference to buy and sell the 10 most actively-traded U.S. corporate credit-default swaps contracts ballooned to 24.2 basis points in the nine months after Lehman\u2019s bankruptcy, from an average 4.5 basis points in the two years before the collapse, according to data compiled by Bloomberg and London-based CMA. That means a trader after the crisis could have earned an extra $19,700 on a $10 million trade.<\/p>\n

\u201cThey made hay while the sun shined,\u201d Lewis said. \u201cThe total compensation was great at the boutiques when the larger banks couldn\u2019t compete.\u201d<\/p>\n

Those margins collapsed as the U.S. government and the Federal Reserve spent, lent or committed $12.8 trillion to unlock capital markets and bail out banks. The average gap between prices to buy and sell credit-default swaps narrowed to an average 7 basis points in 2010, CMA data show.<\/p><\/blockquote>\n

It was a day of mixed results on heavy volume for the Canadian preferred share market, with PerpetualDiscounts gaining 3bp and FixedResets losing 9bp.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1462 %<\/td>\n2,334.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.77 %<\/td>\n3.45 %<\/td>\n26,807<\/td>\n19.20<\/td>\n1<\/td>\n-0.3930 %<\/td>\n3,570.3<\/td>\n<\/tr>\n
Floater<\/td>\n2.56 %<\/td>\n2.33 %<\/td>\n44,377<\/td>\n21.36<\/td>\n4<\/td>\n-0.1462 %<\/td>\n2,520.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n3.25 %<\/td>\n66,553<\/td>\n2.29<\/td>\n8<\/td>\n-0.0818 %<\/td>\n2,391.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.31 %<\/td>\n1.69 %<\/td>\n472,783<\/td>\n0.88<\/td>\n4<\/td>\n-0.1150 %<\/td>\n2,462.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0818 %<\/td>\n2,187.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.64 %<\/td>\n5.10 %<\/td>\n140,005<\/td>\n5.18<\/td>\n20<\/td>\n0.1158 %<\/td>\n2,033.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.31 %<\/td>\n5.29 %<\/td>\n258,372<\/td>\n14.90<\/td>\n57<\/td>\n0.0341 %<\/td>\n2,083.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.23 %<\/td>\n3.45 %<\/td>\n288,639<\/td>\n3.05<\/td>\n52<\/td>\n-0.0864 %<\/td>\n2,274.0<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 23.72
\nEvaluated at bid price : 24.01
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 22.29
\nEvaluated at bid price : 22.44
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.89
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 21.54
\nEvaluated at bid price : 21.54
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Premium<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-10-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n5.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n106,394<\/td>\nNesbitt crossed 49,000 at 23.25; RBC crossed 12,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 23.03
\nEvaluated at bid price : 23.23
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n48,879<\/td>\nNesbitt crossed 26,800 at 21.70 and bought 10,000 from RBC at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 21.37
\nEvaluated at bid price : 21.65
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n46,420<\/td>\nRBC crossed 36,000 at 24.81.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 24.80
\nEvaluated at bid price : 24.85
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n44,943<\/td>\nRBC crossed 38,700 at 26.80.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 4.47 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n43,350<\/td>\nNesbitt crossed 15,800 at 24.00; RBC crosse 19,000 at 24.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 23.69
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetual-Discount<\/td>\n43,200<\/td>\nCIBC sold 29,400 to anonymous at 23.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-01-20
\nMaturity Price : 22.82
\nEvaluated at bid price : 23.00
\nBid-YTW : 4.90 %<\/td>\n<\/tr>\n
There were 56 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Banks have returned to dominance in credit market trading: The average difference to buy and sell the 10 most actively-traded U.S. corporate credit-default swaps contracts ballooned to 24.2 basis points in the nine months after …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-13802","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13802","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=13802"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13802\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=13802"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=13802"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=13802"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}