{"id":22772,"date":"2013-08-13T21:20:56","date_gmt":"2013-08-14T01:20:56","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=22772"},"modified":"2013-08-13T21:20:56","modified_gmt":"2013-08-14T01:20:56","slug":"august-13-2013","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=22772","title":{"rendered":"August 13, 2013"},"content":{"rendered":"

Everything is Morgan Stanley’s fault<\/a>!<\/p>\n

Institutional investors\u2019 allocations to dollar-denominated bonds have dropped to the lowest level since 2007 as strategists at Morgan Stanley and JPMorgan Chase & Co. see a shift away from the debt that may fuel higher borrowing costs.<\/p>\n

Holdings by investors from pensions to endowments fell to 26.2 percent of assets in the second quarter, from 30.1 percent in the corresponding period of 2012, according to the Wilshire Trust Universe Comparison Service, which tracks plans that oversee $3.46 trillion. Morgan Stanley\u2019s $1.8 trillion wealth management unit has been advising clients to cut bond allocations to the lowest in more than five years, Chief Investment Strategist David Darst said.
…<\/b>
Institutional investors such as corporate and public pensions have reduced their median allocation to U.S. bonds from 32 percent of their assets in the last three months of 2011, according to data compiled by Wilshire Associates Inc., whose Trust Universe Comparison Service tracks more than 1,700 plans.
\nThe current proportion of dollar-denominated debt holdings is the least since the fourth quarter of 2007, Kim Shepherd, a spokeswoman for the firm, said in an e-mail.<\/p>\n

\u201cThere is movement by institutional investors out of investment-grade bonds,\u201d said Eileen Neill, a managing director in the consulting division of Wilshire, a Santa Monica, California-based financial advisory firm. \u201cIt\u2019s not out of fear of bonds, it\u2019s out of necessity because of the low yields. They\u2019re moving to higher yielding bonds and emerging markets debt.\u201d<\/p>\n

Individual investors have been shifting to stocks from bonds as well. The gap between flows into bond mutual funds and exchange-traded funds and those focused on equities widened to $70 billion in June, the most ever, according to JPMorgan analysts led by Nikolaos Panigirtzoglou in London.<\/p><\/blockquote>\n

The bank-owned Toronto Stock Exchange is up to its usual tricks today. It sold me very expensive data indicating that the “last” quote for CIU.PR.C was 6.83-23.99. When I went to their website<\/a> to check the last few trades, I was informed that the “last” quote was 24.41-23.99 … bid bigger than the ask. Not even the most cursory editor … so in despair, I have put it into HIMIPref™ as 22.99-23.99.<\/p>\n

Wonder of wonders, it was mixed day for the Canadian preferred share market, with PerpetualDiscounts off 12bp, FixedResets down 16bp and DeemedRetractibles gaining 9bp. Lots of volatility, with FixedResets prominent on the down side. Volume was high.<\/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-0.0485 %<\/td>\n2,641.7<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.37 %<\/td>\n3.66 %<\/td>\n31,134<\/td>\n18.05<\/td>\n1<\/td>\n-0.6396 %<\/td>\n3,801.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.55 %<\/td>\n2.83 %<\/td>\n72,842<\/td>\n20.12<\/td>\n5<\/td>\n-0.0485 %<\/td>\n2,852.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.64 %<\/td>\n3.92 %<\/td>\n75,956<\/td>\n2.80<\/td>\n3<\/td>\n1.0027 %<\/td>\n2,599.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.69 %<\/td>\n4.69 %<\/td>\n54,839<\/td>\n4.13<\/td>\n6<\/td>\n-0.1224 %<\/td>\n2,956.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.0027 %<\/td>\n2,376.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.73 %<\/td>\n5.80 %<\/td>\n92,724<\/td>\n14.16<\/td>\n12<\/td>\n0.0847 %<\/td>\n2,262.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.63 %<\/td>\n5.70 %<\/td>\n155,300<\/td>\n14.30<\/td>\n25<\/td>\n-0.1208 %<\/td>\n2,290.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.05 %<\/td>\n3.93 %<\/td>\n235,890<\/td>\n4.64<\/td>\n85<\/td>\n-0.1641 %<\/td>\n2,417.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.23 %<\/td>\n5.25 %<\/td>\n185,752<\/td>\n6.95<\/td>\n43<\/td>\n0.0875 %<\/td>\n2,314.8<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
CIU.PR.C<\/td>\nFixedReset<\/td>\n-4.41 %<\/td>\nProbably not entirely real – I guessed at the bid price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.46
\nEvaluated at bid price : 22.99
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
GWO.PR.N<\/td>\nFixedReset<\/td>\n-3.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.72
\nBid-YTW : 4.79 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n-3.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 3.93 %<\/td>\n<\/tr>\n
FTS.PR.J<\/td>\nPerpetual-Discount<\/td>\n-2.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.09
\nEvaluated at bid price : 22.40
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n-2.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 20.55
\nEvaluated at bid price : 20.55
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
IFC.PR.A<\/td>\nFixedReset<\/td>\n-2.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.18
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n-1.68 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.85
\nBid-YTW : 4.43 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 21.91
\nEvaluated at bid price : 22.25
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.75
\nBid-YTW : 4.57 %<\/td>\n<\/tr>\n
CU.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 20.44
\nEvaluated at bid price : 20.44
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 20.26
\nEvaluated at bid price : 20.26
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n-1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 23.49
\nEvaluated at bid price : 25.25
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
CU.PR.C<\/td>\nFixedReset<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 23.09
\nEvaluated at bid price : 24.51
\nBid-YTW : 4.13 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n-1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.85
\nBid-YTW : 6.48 %<\/td>\n<\/tr>\n
ENB.PR.Y<\/td>\nFixedReset<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.28
\nEvaluated at bid price : 23.09
\nBid-YTW : 4.40 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.46 %<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nDeemed-Retractible<\/td>\n-1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 5.40 %<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nDeemed-Retractible<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nDeemed-Retractible<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.26
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 24.64
\nEvaluated at bid price : 24.90
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 21.83
\nEvaluated at bid price : 22.20
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.56
\nEvaluated at bid price : 23.47
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nDeemed-Retractible<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n2.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.12
\nEvaluated at bid price : 22.39
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.02
\nEvaluated at bid price : 22.29
\nBid-YTW : 3.87 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n3.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 4.57 %<\/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.L<\/td>\nFixedReset<\/td>\n90,895<\/td>\nRBC bought 20,000 from CIBC at 25.55, then crossed 40,000 at 25.59.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 3.35 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n67,741<\/td>\nRBC crossed 50,000 at 24.79.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.73
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nDeemed-Retractible<\/td>\n43,990<\/td>\nRBC crossed 39,000 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.96 %<\/td>\n<\/tr>\n
CU.PR.G<\/td>\nPerpetual-Discount<\/td>\n38,850<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 20.26
\nEvaluated at bid price : 20.26
\nBid-YTW : 5.57 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n36,820<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.56
\nBid-YTW : 3.29 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n34,135<\/td>\nTD crossed 13,800 at 24.21.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.36
\nBid-YTW : 4.88 %<\/td>\n<\/tr>\n
There were 56 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
CIU.PR.C<\/td>\nFixedReset<\/td>\nQuote: 22.99 – 23.99
\nSpot Rate : 1.0000
\nAverage : 0.6394<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.46
\nEvaluated at bid price : 22.99
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n

BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 21.75 – 22.63
\nSpot Rate : 0.8800
\nAverage : 0.6347<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2043-08-13
\nMaturity Price : 22.27
\nEvaluated at bid price : 21.75
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n

HSB.PR.D<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.00 – 25.50
\nSpot Rate : 0.5000
\nAverage : 0.3067<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.12 %<\/td>\n<\/tr>\n

FTS.PR.E<\/td>\nOpRet<\/td>\nQuote: 25.96 – 26.52
\nSpot Rate : 0.5600
\nAverage : 0.3992<\/p>\n

YTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2016-08-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.96
\nBid-YTW : 3.92 %<\/td>\n<\/tr>\n

CIU.PR.B<\/td>\nFixedReset<\/td>\nQuote: 25.21 – 25.71
\nSpot Rate : 0.5000
\nAverage : 0.3582<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n

ABK.PR.C<\/td>\nSplitShare<\/td>\nQuote: 31.67 – 32.19
\nSpot Rate : 0.5200
\nAverage : 0.3812<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2018-03-09
\nMaturity Price : 31.64
\nEvaluated at bid price : 31.67
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Everything is Morgan Stanley’s fault! Institutional investors\u2019 allocations to dollar-denominated bonds have dropped to the lowest level since 2007 as strategists at Morgan Stanley and JPMorgan Chase & Co. see a shift away from the …<\/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-22772","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22772","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=22772"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/22772\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=22772"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=22772"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=22772"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}