{"id":21104,"date":"2013-02-12T23:37:51","date_gmt":"2013-02-13T03:37:51","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=21104"},"modified":"2013-02-12T23:37:51","modified_gmt":"2013-02-13T03:37:51","slug":"february-12-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=21104","title":{"rendered":"February 12, 2013"},"content":{"rendered":"

The Federal Reserve bank presidents have written a comment letter on MMF reform<\/a>:<\/p>\n

As support for the Council\u2019s proposed determination and to set the context for identifying the essential elements of reform, we briefly discuss some of the risks associated with MMFs\u2019 activities and practices in Section I. Section II focuses on issues that should be addressed as part of any prime MMF reform proposal \u2013 most notably, suggestions for the enhancement of the accuracy of market-based net asset values (\u201cNAVs\u201d and each, a \u201cNAV\u201d), particularly in the context of Alternative 1, the Floating NAV. Section III then presents observations concerning each of the three reform alternatives included in the Proposal. Section IV briefly discusses standby liquidity fees and redemption gates and explains why these mechanisms, as proposed by some industry participants, do not meet reform requirements. Finally, we conclude by concurring with the Council\u2019s view that more than one MMF reform alternative could address the financial stability concerns posed by MMFs, in which case fund complexes could be permitted to choose from among multiple alternatives. For example, a complex could offer both a floating NAV fund and separately a stable NAV fund with a capital buffer (and possibly coupled with a Minimum Balance at Risk (\u201cMBR\u201d)), from which investors could choose.<\/p><\/blockquote>\n

I don’t like the “Minimum Balance at Risk” proposal (discussed on August 14, 2012<\/a>), but the capital buffer idea is long overdue. I am not terribly enthusiastic about their idea that a floating NAV obviates the need for a capital buffer: MMFs are banks and should be regulated that way, as I have often argued in the past<\/a>.<\/p>\n

It was a mildly positive day for the Canadian preferred share market, with PerpetualPremiums gaining 4bp, FixedResets winning 8bp and DeemedRetractibles up 7bp. Volatility was minimal. Volume was average.<\/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>\n0.4820 %<\/td>\n2,586.2<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.19 %<\/td>\n3.51 %<\/td>\n24,750<\/td>\n18.30<\/td>\n1<\/td>\n0.1324 %<\/td>\n3,882.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.57 %<\/td>\n2.89 %<\/td>\n70,708<\/td>\n19.96<\/td>\n5<\/td>\n0.4820 %<\/td>\n2,792.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.77 %<\/td>\n1.86 %<\/td>\n38,768<\/td>\n0.30<\/td>\n5<\/td>\n-0.2082 %<\/td>\n2,607.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.55 %<\/td>\n4.23 %<\/td>\n36,389<\/td>\n4.26<\/td>\n2<\/td>\n-0.0593 %<\/td>\n2,928.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2082 %<\/td>\n2,384.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.24 %<\/td>\n-0.77 %<\/td>\n84,722<\/td>\n0.12<\/td>\n29<\/td>\n0.0423 %<\/td>\n2,357.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.85 %<\/td>\n4.89 %<\/td>\n138,848<\/td>\n15.63<\/td>\n4<\/td>\n-0.0304 %<\/td>\n2,648.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.89 %<\/td>\n2.66 %<\/td>\n273,218<\/td>\n3.36<\/td>\n78<\/td>\n0.0826 %<\/td>\n2,497.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.87 %<\/td>\n2.10 %<\/td>\n148,006<\/td>\n0.28<\/td>\n45<\/td>\n0.0681 %<\/td>\n2,435.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n1.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-12
\nMaturity Price : 24.05
\nEvaluated at bid price : 24.30
\nBid-YTW : 2.15 %<\/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
GWO.PR.N<\/td>\nFixedReset<\/td>\n82,978<\/td>\nNational crossed blocks of 50,000 and 25,000 at 24.60.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.56
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n80,606<\/td>\nDesjardins crossed 55,000 at 25.87; TD crossed 19,700 at 25.89.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-27
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.90
\nBid-YTW : 3.43 %<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nDeemed-Retractible<\/td>\n63,190<\/td>\nDesjardins crossed 54,000 at 25.63.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.60
\nBid-YTW : 2.10 %<\/td>\n<\/tr>\n
RY.PR.X<\/td>\nFixedReset<\/td>\n54,695<\/td>\nRBC crossed blocks of 25,400 and 25,000, both at 26.51.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.52
\nBid-YTW : 2.09 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Premium<\/td>\n53,147<\/td>\nNesbitt crossed two blocks of 17,000 each, both at 25.88.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.83
\nBid-YTW : 4.29 %<\/td>\n<\/tr>\n
SLF.PR.I<\/td>\nFixedReset<\/td>\n47,335<\/td>\nDesjardins crossed blocks of 20,200 and 15,000, both at 26.18.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 3.03 %<\/td>\n<\/tr>\n
There were 35 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
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.52 – 26.80
\nSpot Rate : 0.2800
\nAverage : 0.2052<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.52
\nBid-YTW : -3.71 %<\/td>\n<\/tr>\n

CU.PR.D<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.40 – 26.60
\nSpot Rate : 0.2000
\nAverage : 0.1281<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.40
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n

CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 24.75 – 25.00
\nSpot Rate : 0.2500
\nAverage : 0.1814<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-02-12
\nMaturity Price : 23.25
\nEvaluated at bid price : 24.75
\nBid-YTW : 2.83 %<\/td>\n<\/tr>\n

ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.15 – 26.40
\nSpot Rate : 0.2500
\nAverage : 0.1839<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-03-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.15
\nBid-YTW : -32.94 %<\/td>\n<\/tr>\n

HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.63 – 25.86
\nSpot Rate : 0.2300
\nAverage : 0.1665<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.63
\nBid-YTW : 2.64 %<\/td>\n<\/tr>\n

MFC.PR.J<\/td>\nFixedReset<\/td>\nQuote: 26.17 – 26.38
\nSpot Rate : 0.2100
\nAverage : 0.1474<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.17
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Federal Reserve bank presidents have written a comment letter on MMF reform: As support for the Council\u2019s proposed determination and to set the context for identifying the essential elements of reform, we briefly discuss …<\/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-21104","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21104","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=21104"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21104\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21104"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=21104"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=21104"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}