{"id":26008,"date":"2014-08-06T23:02:42","date_gmt":"2014-08-07T04:02:42","guid":{"rendered":"http:\/\/prefblog.com\/?p=26008"},"modified":"2014-08-06T23:02:42","modified_gmt":"2014-08-07T04:02:42","slug":"august-6-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=26008","title":{"rendered":"August 6, 2014"},"content":{"rendered":"

There is perplexity about the recent fall of junk<\/a>:<\/p>\n

There\u2019s no obvious explanation for the 1.5 percent decline in U.S. high-yield securities in the past month, or the $9.9 billion of cash pulled from mutual funds that buy the debt. The most likely reason is that investors are increasingly uncomfortable hanging onto bonds that are expensive by historical measures.<\/p>\n

Chalk this one up to a collective bout of angst that looks quite different from the 3.2 percent drop in speculative-grade bonds in May and June of last year. That rout was triggered by the prospect of less Federal Reserve stimulus and, while a withdrawal of easy-money policies still weighs on investors\u2019 minds, that\u2019s not the full story now.
…<\/b>
Some evidence that high-yield bonds aren\u2019t falling because of rising-rate concerns can be found in investment-grade debt. Investors plowed $10.4 billion into funds focused on those securities, which are more sensitive to moves in benchmark yields, according to an Aug. 4 Wells Fargo & Co. (WFC) report.
…<\/b>
Yields on junk bonds are still close to the lowest ever, and some investors are getting out while they can relatively easily — before everyone exiting at once tests a market where Wall Street is using less capital to facilitate trading.<\/p>\n

The 6.2 percent yield on junk bonds is 2.7 percentage points below their decade-long average, yet 3.2 percentage points more than investment-grade securities, about the most since October, according to Bank of America Merrill Lynch index data.<\/p><\/blockquote>\n

I suggest that limits on dealer capital are key; and we’d better get used to increased volatility on everything until a new class of hedge fund – one that acts as a bond dealer – pops up.<\/p>\n

Geez, banks are irritating. I toddled off to the bank today, complete with voided cheque to do a wire transfer. Disaster. They don’t just need the information on the cheque, they need all kinds of other things as well. So … there’s enough information on a cheque to take money out of an account. But there is insufficient information to put money in. I don’t know whether it’s bank policy or regulations – and there’s no point in trying to find out, because nobody who knows will talk to me and nobody who talks to me will have a clue, so they’ll just make something up, I’ve been down that road before – but it makes no sense to me. Judging by what they charge for a wire transfer, maybe it’s just that they don’t want to do the business; I learnt about twenty years ago that their internal bookkeeping and exception reporting in real time for wire transfers was virtually non-existent; I learnt about ten years ago that the same applies on an end-of-day basis.<\/p>\n

It was a lacklustre day for the Canadian preferred share market, with PerpetualDiscounts and DeemedRetractibles both gaining 1bp and FixedResets off 3bp. Volatility was minimal. Volume was extremely low.<\/p>\n

PerpetualDiscounts now yield 5.20%, equivalent to 6.76% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield a little under 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 255bp, a slight (and perhaps spurious) widening from the 250bp reported July 30<\/a>.<\/p>\n\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>\n0.3755 %<\/td>\n2,635.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.17 %<\/td>\n3.40 %<\/td>\n26,895<\/td>\n18.61<\/td>\n1<\/td>\n0.0000 %<\/td>\n4,163.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.91 %<\/td>\n3.04 %<\/td>\n45,219<\/td>\n19.61<\/td>\n4<\/td>\n0.3755 %<\/td>\n2,725.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.02 %<\/td>\n-1.01 %<\/td>\n76,731<\/td>\n0.08<\/td>\n1<\/td>\n0.1178 %<\/td>\n2,719.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.25 %<\/td>\n3.83 %<\/td>\n59,261<\/td>\n3.98<\/td>\n6<\/td>\n0.2002 %<\/td>\n3,123.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1178 %<\/td>\n2,486.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.49 %<\/td>\n-3.38 %<\/td>\n85,570<\/td>\n0.08<\/td>\n19<\/td>\n-0.0248 %<\/td>\n2,435.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.23 %<\/td>\n5.20 %<\/td>\n117,080<\/td>\n15.14<\/td>\n17<\/td>\n0.0075 %<\/td>\n2,585.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.29 %<\/td>\n3.57 %<\/td>\n195,843<\/td>\n8.56<\/td>\n75<\/td>\n-0.0280 %<\/td>\n2,558.0<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.00 %<\/td>\n0.81 %<\/td>\n114,527<\/td>\n0.24<\/td>\n42<\/td>\n0.0105 %<\/td>\n2,548.9<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.68 %<\/td>\n2.24 %<\/td>\n80,094<\/td>\n3.84<\/td>\n6<\/td>\n0.1845 %<\/td>\n2,517.3<\/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
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.66
\nBid-YTW : 5.81 %<\/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.PF.B<\/td>\nFixedReset<\/td>\n139,436<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-06
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.05
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
BMO.PR.W<\/td>\nFixedReset<\/td>\n118,340<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-06
\nMaturity Price : 23.13
\nEvaluated at bid price : 24.95
\nBid-YTW : 3.61 %<\/td>\n<\/tr>\n
CGI.PR.D<\/td>\nSplitShare<\/td>\n78,700<\/td>\nScotia crossed blocks of 44,400 and 15,000, both at 25.10.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2023-06-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.09
\nBid-YTW : 3.79 %<\/td>\n<\/tr>\n
ENB.PF.C<\/td>\nFixedReset<\/td>\n55,688<\/td>\nNesbitt crossed 40,000 at 25.12.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-06
\nMaturity Price : 23.16
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.12 %<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\n52,796<\/td>\nScotia crossed 42,800 at 23.78.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.58
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n52,654<\/td>\nNesbitt crossed 38,700 at 24.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-06
\nMaturity Price : 23.20
\nEvaluated at bid price : 24.80
\nBid-YTW : 3.96 %<\/td>\n<\/tr>\n
There were 11 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
PVS.PR.C<\/td>\nSplitShare<\/td>\nQuote: 26.01 – 26.50
\nSpot Rate : 0.4900
\nAverage : 0.3802<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.01
\nBid-YTW : 3.83 %<\/td>\n<\/tr>\n

TD.PR.Y<\/td>\nFixedReset<\/td>\nQuote: 25.41 – 25.72
\nSpot Rate : 0.3100
\nAverage : 0.2205<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.41
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n

SLF.PR.G<\/td>\nFixedReset<\/td>\nQuote: 22.26 – 22.49
\nSpot Rate : 0.2300
\nAverage : 0.1597<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.26
\nBid-YTW : 4.38 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.23 – 23.67
\nSpot Rate : 0.4400
\nAverage : 0.3747<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.23
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n

FTS.PR.K<\/td>\nFixedReset<\/td>\nQuote: 24.95 – 25.14
\nSpot Rate : 0.1900
\nAverage : 0.1253<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-08-06
\nMaturity Price : 23.18
\nEvaluated at bid price : 24.95
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n

PWF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.42 – 25.60
\nSpot Rate : 0.1800
\nAverage : 0.1214<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-05
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.42
\nBid-YTW : -12.96 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There is perplexity about the recent fall of junk: There\u2019s no obvious explanation for the 1.5 percent decline in U.S. high-yield securities in the past month, or the $9.9 billion of cash pulled from mutual …<\/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-26008","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26008","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=26008"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/26008\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=26008"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=26008"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=26008"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}