{"id":17017,"date":"2011-11-11T23:10:50","date_gmt":"2011-11-12T03:10:50","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17017"},"modified":"2011-11-11T23:10:50","modified_gmt":"2011-11-12T03:10:50","slug":"november-11-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17017","title":{"rendered":"November 11, 2011"},"content":{"rendered":"

Money funds are drawing back from Europe<\/a>:<\/p>\n

The biggest U.S. prime money-market funds cut their investments in Deutsche Bank AG (DBK) by $8.1 billion in October, the largest drop among 35 of the largest banks in Europe, the U.S., Japan and Canada, Bloomberg analysis shows.<\/p>\n

The amount of Deutsche Bank short-term obligations held by the eight biggest U.S. funds eligible to purchase corporate debt, which included offerings from Fidelity Investments, JPMorgan Chase & Co. (JPM) and BlackRock Inc. (BLK), declined by 56 percent to $6.3 billion from Sept. 30 to Oct. 31, according to monthly portfolio updates compiled by Bloomberg and published in today\u2019s Bloomberg Risk newsletter.<\/p>\n

Deutsche Bank Chief Financial Officer Stefan Krause said that money funds aren\u2019t a major source of funding on an Oct. 25 earnings call. Krause estimated that the funds provided 3 percent of the bank\u2019s total funding.<\/p>\n

Germany\u2019s largest bank said it increased its discretionary unsecured wholesale funding to 135 billion euros from 113 billion euros between the end of June and the end of September, according to a presentation given by Krause at the time.<\/p><\/blockquote>\n

TMX DataLinx continues to have problems, so today’s report is again based on Yahoo!<\/p>\n

It was a fine day for the Canadian preferred share market, with PerpetualDiscounts up 18bp, FixedResets gaining 13bp and DeemedRetractibles winning 20bp. Volatility was muted. Volume was light, although some nice blocks got crossed, particularly by Desjardins.<\/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-0.2583 %<\/td>\n2,116.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.80 %<\/td>\n4.50 %<\/td>\n26,267<\/td>\n17.29<\/td>\n1<\/td>\n0.4566 %<\/td>\n3,211.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.40 %<\/td>\n3.43 %<\/td>\n68,928<\/td>\n18.66<\/td>\n2<\/td>\n-0.2583 %<\/td>\n2,285.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.96 %<\/td>\n3.19 %<\/td>\n54,366<\/td>\n1.51<\/td>\n7<\/td>\n-0.0879 %<\/td>\n2,477.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.76 %<\/td>\n6.56 %<\/td>\n59,076<\/td>\n5.13<\/td>\n3<\/td>\n0.0841 %<\/td>\n2,511.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0879 %<\/td>\n2,265.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.58 %<\/td>\n2.53 %<\/td>\n102,751<\/td>\n0.16<\/td>\n13<\/td>\n-0.0930 %<\/td>\n2,154.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.31 %<\/td>\n5.31 %<\/td>\n109,077<\/td>\n14.79<\/td>\n17<\/td>\n0.1792 %<\/td>\n2,294.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.10 %<\/td>\n2.88 %<\/td>\n214,432<\/td>\n2.51<\/td>\n63<\/td>\n0.1334 %<\/td>\n2,348.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.03 %<\/td>\n4.37 %<\/td>\n202,776<\/td>\n3.89<\/td>\n46<\/td>\n0.2048 %<\/td>\n2,220.8<\/td>\n<\/tr>\n<\/table>\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
TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\n-1.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.00
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-11
\nMaturity Price : 23.02
\nEvaluated at bid price : 23.46
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n2.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.04
\nBid-YTW : 5.73 %<\/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
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n757,100<\/td>\nBlock city! All crosses were at 25.00. Desjardins crossed seven blocks:<\/p>\n
    \n
  • two of 100,000 each\n
  • 50,000\n
  • 15,000\n
  • two of 10,000 each\n
  • 200,000<\/ul>\n

    Nesbitt crossed 50,000 and TD crossed 86,000.
    \nYTW SCENARIO
    \nMaturity Type : Limit Maturity
    \nMaturity Date\t: 2041-11-11
    \nMaturity Price : 24.72
    \nEvaluated at bid price : 25.03
    \nBid-YTW : 5.63 %<\/td>\n<\/tr>\n

SLF.PR.I<\/td>\nFixedReset<\/td>\n162,992<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.70
\nBid-YTW : 4.35 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\n152,600<\/td>\nScotia crossed blocks of 50,000 and 75,000, both at 26.70. TD crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.76
\nBid-YTW : 3.44 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n138,700<\/td>\nNesbitt crossed blocks of 85,000 and 50,000, both at 27.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.30
\nBid-YTW : 2.45 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n91,785<\/td>\nRBC crossed blocks of 49,900 and 10,200, both at 27.30; Scotia crossed 23,900 at the same price.YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.31
\nBid-YTW : 2.45 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n89,500<\/td>\nNesbitt crossed blocks of 23,300 and 47,400, both at 27.59.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.51
\nBid-YTW : 2.38 %<\/td>\n<\/tr>\n
There were 17 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.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.00 – 26.90
\nSpot Rate : 0.9000
\nAverage : 0.5408<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n

POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.26 – 24.70
\nSpot Rate : 0.4400
\nAverage : 0.3182<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-11
\nMaturity Price : 23.82
\nEvaluated at bid price : 24.26
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n

IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.50 – 26.94
\nSpot Rate : 0.4400
\nAverage : 0.3301<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n

HSE.PR.A<\/td>\nFixedReset<\/td>\nQuote: 25.75 – 26.20
\nSpot Rate : 0.4500
\nAverage : 0.3421<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-11-11
\nMaturity Price : 23.44
\nEvaluated at bid price : 25.75
\nBid-YTW : 3.15 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.00 – 52.48
\nSpot Rate : 0.4800
\nAverage : 0.3755<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.00
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.04 – 23.39
\nSpot Rate : 0.3500
\nAverage : 0.2504<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.04
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Money funds are drawing back from Europe: The biggest U.S. prime money-market funds cut their investments in Deutsche Bank AG (DBK) by $8.1 billion in October, the largest drop among 35 of the largest banks …<\/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-17017","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17017","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=17017"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17017\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17017"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17017"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17017"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}