{"id":18364,"date":"2012-04-12T22:39:58","date_gmt":"2012-04-13T02:39:58","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=18364"},"modified":"2012-04-12T22:39:58","modified_gmt":"2012-04-13T02:39:58","slug":"april-12-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=18364","title":{"rendered":"April 12, 2012"},"content":{"rendered":"

Nothing happened today, although I was recently gratified to learn I’m not the only one in the world who is worried about central clearing houses<\/a>:<\/p>\n

IF THEY failed, there would be \u201cmayhem\u201d, says Paul Tucker of the Bank of England. Ben Bernanke, the chairman of the Federal Reserve, quotes a Mark Twain character, Pudd\u2019nhead Wilson, to get the same point across: \u201cIf you put all your eggs in one basket, you better watch that basket.\u201d Another regulator privately describes them as \u201ctoo big to fail, on steroids\u201d.<\/p><\/blockquote>\n

Central Clearing Houses are probably the single dumbest idea to come out of post-Credit Crunch reregulation. Who – other than a politician or a regulator – really thinks that a system susceptible to single-point failure is more stable than a network?<\/p>\n

The Canadian preferred share market enjoyed a good uptick today, with PerpetualPremiums up 2bp, FixedResets gaining 14bp and DeemedRetractibles winning 21bp. Volatility was dominated by BAM, evenly split between winners and losers. Volume was light.<\/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-0.8762 %<\/td>\n2,333.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.35 %<\/td>\n3.70 %<\/td>\n36,324<\/td>\n17.97<\/td>\n1<\/td>\n1.1574 %<\/td>\n3,625.9<\/td>\n<\/tr>\n
Floater<\/td>\n3.09 %<\/td>\n3.10 %<\/td>\n47,156<\/td>\n19.49<\/td>\n3<\/td>\n-0.8762 %<\/td>\n2,519.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.75 %<\/td>\n3.05 %<\/td>\n46,618<\/td>\n1.15<\/td>\n5<\/td>\n0.0919 %<\/td>\n2,508.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.26 %<\/td>\n-4.97 %<\/td>\n81,284<\/td>\n0.68<\/td>\n4<\/td>\n0.0993 %<\/td>\n2,689.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0919 %<\/td>\n2,293.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.48 %<\/td>\n-2.35 %<\/td>\n87,239<\/td>\n0.13<\/td>\n23<\/td>\n0.0238 %<\/td>\n2,219.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.15 %<\/td>\n5.09 %<\/td>\n131,595<\/td>\n15.35<\/td>\n10<\/td>\n0.2848 %<\/td>\n2,422.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.01 %<\/td>\n2.97 %<\/td>\n182,716<\/td>\n2.19<\/td>\n67<\/td>\n0.1416 %<\/td>\n2,396.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.96 %<\/td>\n3.83 %<\/td>\n208,918<\/td>\n2.88<\/td>\n46<\/td>\n0.2101 %<\/td>\n2,307.0<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.C<\/td>\nFloater<\/td>\n-1.97 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 23.24
\nEvaluated at bid price : 23.50
\nBid-YTW : 5.08 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 22.55
\nEvaluated at bid price : 21.85
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 23.07
\nEvaluated at bid price : 23.51
\nBid-YTW : 5.07 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.26
\nBid-YTW : 5.50 %<\/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
TRP.PR.A<\/td>\nFixedReset<\/td>\n203,376<\/td>\nNesbitt crossed 200,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.03
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n102,310<\/td>\nNesbitt crossed 100,000 at 26.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.39
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n76,373<\/td>\nRBC crossed blocks of 11,600 shares, 12,300 and 39,900, all at 25.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.01
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n63,240<\/td>\nDesjardins crossed 46,000 at 25.13.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 3.19 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n62,670<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 23.16
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.64 %<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nDeemed-Retractible<\/td>\n61,537<\/td>\nDesjardins crossed 50,000 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.36
\nBid-YTW : -15.21 %<\/td>\n<\/tr>\n
There were 20 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
BAM.PR.C<\/td>\nFloater<\/td>\nQuote: 16.91 – 17.57
\nSpot Rate : 0.6600
\nAverage : 0.4498<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n

ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.91 – 26.24
\nSpot Rate : 0.3300
\nAverage : 0.2124<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-12
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.91
\nBid-YTW : -28.20 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.30 – 26.69
\nSpot Rate : 0.3900
\nAverage : 0.2776<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 2.90 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.40 – 25.88
\nSpot Rate : 0.4800
\nAverage : 0.3705<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-12
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n

POW.PR.C<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.32 – 25.57
\nSpot Rate : 0.2500
\nAverage : 0.1749<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-12
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : -10.02 %<\/td>\n<\/tr>\n

TD.PR.R<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.88 – 27.08
\nSpot Rate : 0.2000
\nAverage : 0.1278<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-30
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.88
\nBid-YTW : 1.85 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Nothing happened today, although I was recently gratified to learn I’m not the only one in the world who is worried about central clearing houses: IF THEY failed, there would be \u201cmayhem\u201d, says Paul Tucker …<\/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-18364","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18364","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=18364"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18364\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=18364"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=18364"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=18364"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}