{"id":21952,"date":"2013-05-10T21:21:30","date_gmt":"2013-05-11T01:21:30","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=21952"},"modified":"2013-05-10T21:21:30","modified_gmt":"2013-05-11T01:21:30","slug":"may-10-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=21952","title":{"rendered":"May 10, 2013"},"content":{"rendered":"

Bernanke gave a speech of note<\/a> titled Monitoring the Financial System<\/a>:<\/p>\n

A fair summary is that, while the shadow banking sector is smaller today than before the crisis and some of its least stable components have either disappeared or been reformed, regulators and the private sector need to address remaining vulnerabilities. For example, although money market funds were strengthened by reforms undertaken by the Securities and Exchange Commission (SEC) in 2010, the possibility of a run on these funds remains–for instance, if a fund should \u201cbreak the buck,\u201d or report a net asset value below 99.5 cents, as the Reserve Primary Fund did in 2008. The risk is increased by the fact that the Treasury no longer has the power to guarantee investors\u2019 holdings in money funds, an authority that was critical for stopping the 2008 run. In November 2012, the FSOC proposed for public comment some alternative approaches for the reform of money funds. The SEC is currently considering these and other possible steps.
…<\/b>
In light of the current low interest rate environment, we are watching particularly closely for instances of \u201creaching for yield\u201d and other forms of excessive risk-taking, which may affect asset prices and their relationships with fundamentals. It is worth emphasizing that looking for historically unusual patterns or relationships in asset prices can be useful even if you believe that asset markets are generally efficient in setting prices. For the purpose of safeguarding financial stability, we are less concerned about whether a given asset price is justified in some average sense than in the possibility of a sharp move. Asset prices that are far from historically normal levels would seem to be more susceptible to such destabilizing moves.<\/p>\n

From a financial stability perspective, however, the assessment of asset valuations is only the first step of the analysis. Also to be considered are factors such as the leverage and degree of maturity mismatch being used by the holders of the asset, the liquidity of the asset, and the sensitivity of the asset\u2019s value to changes in broad financial conditions. Differences in these factors help explain why the correction in equity markets in 2000 and 2001 did not induce widespread systemic disruptions, while the collapse in house prices and in the quality of mortgage credit during the 2007-09 crisis had much more far-reaching effects: The losses from the stock market declines in 2000 and 2001 were widely diffused, while mortgage losses were concentrated–and, through various financial instruments, amplified–in critical parts of the financial system, resulting ultimately in panic, asset fire sales, and the collapse of credit markets.<\/p><\/blockquote>\n

It was a mildly negative day for the Canadian preferred share market, with PerpetualPremiums down 5bp, FixedResets off 2bp and DeemedRetractibles flat. Volatility was ho-hum. Volume was low.<\/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-0.3711 %<\/td>\n2,580.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n3.91 %<\/td>\n3.14 %<\/td>\n33,480<\/td>\n18.81<\/td>\n1<\/td>\n-0.6953 %<\/td>\n4,199.1<\/td>\n<\/tr>\n
Floater<\/td>\n2.70 %<\/td>\n2.92 %<\/td>\n83,424<\/td>\n19.91<\/td>\n4<\/td>\n-0.3711 %<\/td>\n2,785.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n-1.07 %<\/td>\n66,310<\/td>\n0.14<\/td>\n5<\/td>\n-0.0106 %<\/td>\n2,612.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.79 %<\/td>\n4.25 %<\/td>\n109,762<\/td>\n4.07<\/td>\n5<\/td>\n0.2492 %<\/td>\n2,969.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0106 %<\/td>\n2,389.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.21 %<\/td>\n2.25 %<\/td>\n92,420<\/td>\n0.43<\/td>\n31<\/td>\n-0.0469 %<\/td>\n2,380.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.86 %<\/td>\n4.89 %<\/td>\n198,272<\/td>\n15.61<\/td>\n4<\/td>\n-0.1016 %<\/td>\n2,679.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.87 %<\/td>\n2.60 %<\/td>\n255,045<\/td>\n3.37<\/td>\n81<\/td>\n-0.0237 %<\/td>\n2,522.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.87 %<\/td>\n3.29 %<\/td>\n134,443<\/td>\n0.94<\/td>\n44<\/td>\n0.0046 %<\/td>\n2,460.8<\/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
CU.PR.E<\/td>\nPerpetual-Premium<\/td>\n-1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.55
\nBid-YTW : 2.34 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.63
\nBid-YTW : 4.71 %<\/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.K<\/td>\nFixedReset<\/td>\n52,627<\/td>\nRBC crossed 40,000 at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 2.09 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n50,133<\/td>\nScotia crossed 25,000 at 26.18.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.09
\nBid-YTW : 3.30 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n42,181<\/td>\nRBC crossed 30.000 at 25.30.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.28
\nBid-YTW : 2.86 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n40,220<\/td>\nRBC crossed 30,000 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 2.76 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n38,891<\/td>\nRBC crossed 25,000 at 26.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.01
\nBid-YTW : 2.20 %<\/td>\n<\/tr>\n
BAM.PR.T<\/td>\nFixedReset<\/td>\n34,208<\/td>\nScotia crossed 24,800 at 25.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-05-10
\nMaturity Price : 23.54
\nEvaluated at bid price : 25.92
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
There were 21 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
TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 51.01 – 51.50
\nSpot Rate : 0.4900
\nAverage : 0.3486<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 51.01
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n

MFC.PR.A<\/td>\nOpRet<\/td>\nQuote: 25.53 – 25.87
\nSpot Rate : 0.3400
\nAverage : 0.2163<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-19
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.53
\nBid-YTW : -1.07 %<\/td>\n<\/tr>\n

MFC.PR.F<\/td>\nFixedReset<\/td>\nQuote: 25.10 – 25.48
\nSpot Rate : 0.3800
\nAverage : 0.2634<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n

TD.PR.Q<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.60 – 26.84
\nSpot Rate : 0.2400
\nAverage : 0.1411<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-09
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.60
\nBid-YTW : -19.60 %<\/td>\n<\/tr>\n

BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.50 – 24.75
\nSpot Rate : 0.2500
\nAverage : 0.1538<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-05-10
\nMaturity Price : 24.21
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.89 %<\/td>\n<\/tr>\n

NA.PR.Q<\/td>\nFixedReset<\/td>\nQuote: 26.55 – 26.80
\nSpot Rate : 0.2500
\nAverage : 0.1717<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.55
\nBid-YTW : 2.34 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Bernanke gave a speech of note titled Monitoring the Financial System: A fair summary is that, while the shadow banking sector is smaller today than before the crisis and some of its least stable components …<\/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-21952","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21952","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=21952"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/21952\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=21952"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=21952"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=21952"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}