{"id":15894,"date":"2011-08-04T23:18:05","date_gmt":"2011-08-05T03:18:05","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15894"},"modified":"2011-08-04T23:18:05","modified_gmt":"2011-08-05T03:18:05","slug":"august-4-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15894","title":{"rendered":"August 4, 2011"},"content":{"rendered":"

Here’s a sign of the times<\/a>:<\/p>\n

Bank of New York Mellon Corp., the world\u2019s largest custody bank, said it will charge clients a 13 basis point fee for \u201cextraordinarily high\u201d cash deposits.<\/p>\n

\u201cWe have seen a growing level of deposits on our balance sheet from clients seeking a safe haven in light of the global interest rate and credit environment,\u201d the company said today in an e-mailed statement.<\/p><\/blockquote>\n

It’s not clear whether this means the net yield to clients will be negative. But negative yields are quite fashionable<\/a>:<\/p>\n

Money market rates, which surged during the debate to raise the federal borrowing cap, dropped below zero percent as Europe\u2019s sovereign-debt crisis bolstered U.S. government securities\u2019 appeal as the world\u2019s safest assets.<\/p>\n

Demand for short-term government debt instruments is rising as Treasury bills are expected to remain in short supply after the U.S. signaled yesterday it won\u2019t increase sales of the securities even following lawmakers\u2019 agreement to raise the debt ceiling.
…<\/b>
European Central Bank President Jean-Claude Trichet said today the ECB has resumed bond purchases and will offer banks more cash to stop the region\u2019s sovereign-debt crisis from engulfing Italy and Spain.<\/p>\n

One-month Treasury bill rates traded at zero percent today after earlier falling to negative 0.0102 percent. They closed yesterday at 0.0051 percent yesterday and reached 0.1825 percent on July 29, the highest since February 2009.<\/p><\/blockquote>\n

Equities were interesting today<\/a>:<\/p>\n

A global rout in equities drove the Standard & Poor\u2019s 500 Index to its worst slump since February 2009, while two-year Treasury yields plunged to a record low amid concern the economy is weakening. The yen pared losses, recovering from the biggest drop versus the dollar since 2008 that was triggered by Japan selling its currency.<\/p>\n

The S&P 500 tumbled 4.8 percent to 1,200.07 at 4 p.m. in New York with futures on the gauge slipping 0.2 percent as of 6:17 p.m. The S&P 500 has dropped 11 percent since July 22, the biggest loss over the same amount of time since March 2009. The MSCI All-Country World Index slid 4.1 percent as Brazil\u2019s stocks slumped to a two-year low and Switzerland\u2019s entered a bear market. Two-year yields declined as low as 0.25 percent. The yen sank 4.1 percent against the dollar before trimming its loss almost in half. Oil sank 5.8 percent to help the Thomson Reuters\/Jefferies CRB Index of materials erase its 2011 gain.<\/p><\/blockquote>\n

The Canadian preferred share market was also affected, but not to nearly the same degree (unless you own YLO preferreds<\/a>), as PerpetualDiscounts lost 17bp, FixedResets were down 10bp and DeemedRetractibles were off 10bp. Volatility was high, comprised entirely of losers. Volume was good.<\/p>\n

PerpetualDiscounts now yield 5.44%, equivalent to 7.07% interest at the standard equivalency factor of 1.3x. Long Corporates<\/a> now yield about 4.9% (!), so the pre-tax interest equivalent spread is now about 215bp, a sharp increase from the 185bp reported on July 29<\/a> as PerpetualDiscounts have remained stable while long corporate yields plummetted.<\/p>\n\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-0.8263 %<\/td>\n2,390.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.8263 %<\/td>\n3,595.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.54 %<\/td>\n2.33 %<\/td>\n33,703<\/td>\n21.46<\/td>\n4<\/td>\n-0.8263 %<\/td>\n2,581.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n2.76 %<\/td>\n55,090<\/td>\n0.15<\/td>\n9<\/td>\n-0.2688 %<\/td>\n2,449.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.27 %<\/td>\n3.13 %<\/td>\n66,428<\/td>\n0.56<\/td>\n4<\/td>\n-0.1219 %<\/td>\n2,512.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2688 %<\/td>\n2,239.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.67 %<\/td>\n5.14 %<\/td>\n140,500<\/td>\n0.79<\/td>\n14<\/td>\n-0.0733 %<\/td>\n2,098.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.38 %<\/td>\n5.44 %<\/td>\n116,037<\/td>\n14.71<\/td>\n16<\/td>\n-0.1681 %<\/td>\n2,215.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.13 %<\/td>\n212,983<\/td>\n2.61<\/td>\n58<\/td>\n-0.1031 %<\/td>\n2,326.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.06 %<\/td>\n4.69 %<\/td>\n273,623<\/td>\n8.01<\/td>\n46<\/td>\n-0.0988 %<\/td>\n2,180.0<\/td>\n<\/tr>\n<\/table>\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
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n-2.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.00
\nEvaluated at bid price : 23.26
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 18.65
\nEvaluated at bid price : 18.65
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n-1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.37
\nEvaluated at bid price : 25.58
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.69
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.52
\nBid-YTW : 4.73 %<\/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
BNS.PR.Q<\/td>\nFixedReset<\/td>\n266,064<\/td>\nDesjardins crossed 50,000 at 26.10; RBC crossed 200,000 at 26.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n259,690<\/td>\nDesjardins crossed 55,700 at 27.20; RBC crossed 200,000 at 27.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.20
\nBid-YTW : 2.92 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n43,125<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.52
\nBid-YTW : 4.73 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nDeemed-Retractible<\/td>\n41,038<\/td>\nAnonymous crossed (?) 16,500 at 24.80.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.66
\nBid-YTW : 4.66 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\n40,960<\/td>\nDesjardins crossed 27,600 at 22.70.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.61
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nDeemed-Retractible<\/td>\n38,754<\/td>\nRBC crossed 20,000 at 24.62.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.52
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
There were 39 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
IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 27.30 – 30.78
\nSpot Rate : 3.4800
\nAverage : 1.8930<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.30
\nBid-YTW : 2.51 %<\/td>\n<\/tr>\n

PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.26 – 23.75
\nSpot Rate : 0.4900
\nAverage : 0.2893<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.00
\nEvaluated at bid price : 23.26
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.58 – 26.05
\nSpot Rate : 0.4700
\nAverage : 0.3097<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.37
\nEvaluated at bid price : 25.58
\nBid-YTW : 3.50 %<\/td>\n<\/tr>\n

PWF.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.10 – 26.67
\nSpot Rate : 0.5700
\nAverage : 0.4224<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.52
\nEvaluated at bid price : 26.10
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.69 – 26.22
\nSpot Rate : 0.5300
\nAverage : 0.3971<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.69
\nBid-YTW : 3.77 %<\/td>\n<\/tr>\n

TRP.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.82 – 26.20
\nSpot Rate : 0.3800
\nAverage : 0.2480<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-08-04
\nMaturity Price : 23.57
\nEvaluated at bid price : 25.82
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Here’s a sign of the times: Bank of New York Mellon Corp., the world\u2019s largest custody bank, said it will charge clients a 13 basis point fee for \u201cextraordinarily high\u201d cash deposits. \u201cWe have seen …<\/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-15894","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15894","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=15894"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15894\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15894"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15894"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15894"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}