{"id":13969,"date":"2011-02-03T23:32:01","date_gmt":"2011-02-04T03:32:01","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=13969"},"modified":"2011-02-03T23:32:01","modified_gmt":"2011-02-04T03:32:01","slug":"february-3-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=13969","title":{"rendered":"February 3, 2011"},"content":{"rendered":"

There was rather an alarming headline, but a story in the Globe<\/i> made some important points about junk<\/a>:<\/p>\n

Still, demand for these [junk bond] deals has quickly escalated after a decade of inactivity, and 13 new Canadian offerings worth over $3-billion ultimately hit the market in 2010.
…<\/b>
In theory, [Barry Allan, who runs Marret Asset Management] said, 100 per cent of the volatility in the price of a government bond stems from interest rate movements. (Though, sovereign risk is now toying with that assumption.) Investment-grade bonds fluctuate in a similar fashion, with 80 per cent of price movements related to interest rates.<\/p>\n

In contrast, only 20 per cent of movements in the prices of high-yield debt are tied to interest rates.
…<\/b>
The sector is hot in Canada because income trusts have all but disappeared, said Greg Woynarski, co-head of fixed income at Scotia Capital, which now has five people dedicated to high-yield products. \u201cDebt is becoming the new equity.\u201d<\/p>\n

Back when trusts yielded 5 to 8 per cent in annual distributions, they effectively served the same function for income-seeking investors that high-yield debt does today.<\/p><\/blockquote>\n

It was a day of average volume on the Canadian preferred share market, with PerpetualDiscounts gaining 14bp and FixedResets won 6bp. As a result the Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) has gone negative – not necessarily a death knell for my conjecture that retail evaluates the relative attractiveness of these classes by comparing Current Yields, but it does make it more complex: the indices will have to be disaggregated to make it work (i.e., compare RY-RY, or TD-TD, not index-index).<\/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-0.2730 %<\/td>\n2,396.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.77 %<\/td>\n3.47 %<\/td>\n22,982<\/td>\n19.13<\/td>\n1<\/td>\n0.2198 %<\/td>\n3,568.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.50 %<\/td>\n2.29 %<\/td>\n45,988<\/td>\n21.53<\/td>\n4<\/td>\n-0.2730 %<\/td>\n2,587.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.82 %<\/td>\n3.53 %<\/td>\n66,423<\/td>\n2.25<\/td>\n8<\/td>\n0.0386 %<\/td>\n2,387.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.29 %<\/td>\n1.54 %<\/td>\n337,461<\/td>\n0.84<\/td>\n4<\/td>\n-0.1693 %<\/td>\n2,471.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0386 %<\/td>\n2,182.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n5.20 %<\/td>\n146,858<\/td>\n5.14<\/td>\n26<\/td>\n0.1145 %<\/td>\n2,040.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.25 %<\/td>\n5.25 %<\/td>\n272,756<\/td>\n15.00<\/td>\n51<\/td>\n0.1388 %<\/td>\n2,096.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.26 %<\/td>\n3.55 %<\/td>\n290,535<\/td>\n3.01<\/td>\n52<\/td>\n0.0571 %<\/td>\n2,270.6<\/td>\n<\/tr>\n<\/table>\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
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-03
\nMaturity Price : 22.35
\nEvaluated at bid price : 22.50
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
BNS.PR.Y<\/td>\nFixedReset<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-03
\nMaturity Price : 24.97
\nEvaluated at bid price : 25.02
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-03
\nMaturity Price : 21.67
\nEvaluated at bid price : 22.00
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetual-Premium<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-03-05
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.83
\nBid-YTW : -9.18 %<\/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
TD.PR.S<\/td>\nFixedReset<\/td>\n72,500<\/td>\nDesjardins crossed blocks of 40,000 and 26,800, both at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.84
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\n59,700<\/td>\nDesjardins crossed blocks of 27,800 and 26,700, both at 27.23.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.22
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n48,803<\/td>\nNational crossed 18,000 at 23.80.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-02-03
\nMaturity Price : 23.49
\nEvaluated at bid price : 23.71
\nBid-YTW : 4.98 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n42,101<\/td>\nRBC crossed 25,000 at 26.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.76
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n32,700<\/td>\nDesjardins crossed 25,000 at 25.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n30,482<\/td>\nNesbitt bought 12,200 from anonymous at 27.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.41
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n
There were 30 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 25.50 – 26.50
\nSpot Rate : 1.0000
\nAverage : 0.6707\n<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\nQuote: 25.35 – 25.95
\nSpot Rate : 0.6000
\nAverage : 0.3825\n<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.90 – 27.35
\nSpot Rate : 0.4500
\nAverage : 0.2867\n<\/td>\n<\/tr>\n
TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 50.50 – 50.95
\nSpot Rate : 0.4500
\nAverage : 0.2981\n<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.16 – 22.50
\nSpot Rate : 0.3400
\nAverage : 0.2349\n<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.46 – 22.75
\nSpot Rate : 0.2900
\nAverage : 0.2024\n<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There was rather an alarming headline, but a story in the Globe made some important points about junk: Still, demand for these [junk bond] deals has quickly escalated after a decade of inactivity, and 13 …<\/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-13969","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13969","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=13969"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/13969\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=13969"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=13969"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=13969"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}