{"id":5270,"date":"2009-01-31T01:27:04","date_gmt":"2009-01-31T05:27:04","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5270"},"modified":"2009-01-31T01:27:04","modified_gmt":"2009-01-31T05:27:04","slug":"january-30-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5270","title":{"rendered":"January 30, 2009"},"content":{"rendered":"

I’m very annoyed with DBRS<\/a>. I had been hoping they would come to some resolution of their mass reviews of Split Corporations (two of them: October<\/a> and December<\/a>), but here we are at month-end and … nothing.<\/p>\n

So we’ll go through February with, for instance, FBS.PR.B sporting an asset coverage just a hair over 1.0:1<\/a> and still rated Pfd-2(low)<\/a>. As a portfolio manager, of course, I couldn’t be happier – such a grossly mis-rated issue in the universe increases my chance to outperform – but as an index calculator, it’s very annoying. It will be in the Split-Share sub-index for at least another month.<\/p>\n

The concept of incentive is under continued attack<\/a>:<\/p>\n

NYSE Euronext Chief Executive Officer Duncan Niederauer said today in Davos that \u201csome compensation models need to be completely overhauled.\u201d He added that this would be difficult to legislate and companies will have to take the lead.<\/p>\n

\u201cWhile a number of people clearly do create wealth by brain power, by use of the company\u2019s balance sheet and by other resources, other people have been receiving incentives for basically turning up,\u201d Barclays Plc Chairman Marcus Agius said at the World Economic Forum. \u201cThat I don\u2019t think is very smart. An incentive system properly designed and fairly calibrated is absolutely fundamental.\u201d <\/p><\/blockquote>\n

Interesting charge\/countercharge in the Money Market Fund world<\/a>:<\/p>\n

James \u201cJes\u201d Staley, head of JPMorgan Chase & Co.\u2019s investment unit, said the $4 trillion money-market fund industry is the \u201cgreatest systemic risk\u201d to the financial system that hasn\u2019t been adequately addressed.
…<\/b>
JPMorgan\u2019s Staley blamed money funds for Lehman\u2019s collapse and the near bankruptcy of Bear Stearns Cos. last year. The funds, which typically hold highly rated, short-term debt instruments, were forced to pull their money from the firms when they saw signs of trouble, he said.<\/p>\n

\u201cThe people who brought down Lehman and almost Bear Stearns weren\u2019t the banks, they were the money funds,\u201d Staley said.<\/p>\n

David Glocke, head of taxable money-market investments at Valley Forge, Pennsylvania-based Vanguard Group defended the industry.<\/p>\n

\u201cI\u2019m aware there are those who want to blame the money- market industry for taking away the punch bowl,\u201d he said. \u201cBut issuers need to maintain diverse sources of funding.\u201d<\/p><\/blockquote>\n

The G-30 report on MMFs has been discussed on PrefBlog<\/a>. The interesting thing about Mr. Glocke’s remark is that – taken at face value – it appears to accept that MMFs are a portfolio management monoculture; it would be highly surprising is the same thing were to be said, for instance, about an equity issue … but, of course, equities only go down due to short selling, so the short-seller can get one of them bonus thingies, right?<\/p>\n

PerpetualDiscounts closed the month with a marginal loss, closing to yield 6.85%, equivalent to 9.59% at the standard 1.4x equivalency factor. Long corporates now yield about 7.6%<\/a>, so the pre-tax interest-equivalent spread is now at about 200bp.<\/p>\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>\n6.81 %<\/td>\n7.58 %<\/td>\n21,648<\/td>\n13.63<\/td>\n2<\/td>\n0.3929 %<\/td>\n851.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.47 %<\/td>\n6.96 %<\/td>\n158,550<\/td>\n13.86<\/td>\n8<\/td>\n-0.7003 %<\/td>\n1,384.7<\/td>\n<\/tr>\n
Floater<\/td>\n5.57 %<\/td>\n4.75 %<\/td>\n32,615<\/td>\n15.98<\/td>\n4<\/td>\n-4.1413 %<\/td>\n944.4<\/td>\n<\/tr>\n
OpRet<\/td>\n5.31 %<\/td>\n4.92 %<\/td>\n163,621<\/td>\n4.03<\/td>\n15<\/td>\n0.0279 %<\/td>\n2,023.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.23 %<\/td>\n9.05 %<\/td>\n76,364<\/td>\n4.10<\/td>\n15<\/td>\n-0.7373 %<\/td>\n1,789.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n7.06 %<\/td>\n8.21 %<\/td>\n35,974<\/td>\n0.88<\/td>\n2<\/td>\n0.4049 %<\/td>\n2,004.7<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0185 %<\/td>\n1,559.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.87 %<\/td>\n6.85 %<\/td>\n223,347<\/td>\n12.72<\/td>\n71<\/td>\n-0.0185 %<\/td>\n1,436.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n6.10 %<\/td>\n5.44 %<\/td>\n761,417<\/td>\n14.33<\/td>\n26<\/td>\n0.2212 %<\/td>\n1,789.8<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n-7.91 %<\/td>\nFive hundred shares trading in the last 15 minutes took out the bid and the closing quote was 11.06-14.98 (!) 1×1, trading a total of 4,910 shares in a range of 11.06-12.06.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 11.06
\nEvaluated at bid price : 11.06
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-5.03 %<\/td>\nClosed at 7.36-79, 3×9 after trading 10,221 shares in a range of 7.75-79. YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 7.36
\nEvaluated at bid price : 7.36
\nBid-YTW : 7.24 %<\/td>\n<\/tr>\n
DF.PR.A<\/td>\nSplitShare<\/td>\n-3.72 %<\/td>\nAsset coverage of 1.4-:1 as of January 15, according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.79
\nBid-YTW : 7.94 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-3.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 7.56
\nEvaluated at bid price : 7.56
\nBid-YTW : 7.05 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n-3.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 18.36
\nEvaluated at bid price : 18.36
\nBid-YTW : 6.59 %<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n-3.19 %<\/td>\nAsset coverage of 1.5-:1 as of January 15 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2012-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 9.11
\nBid-YTW : 8.04 %<\/td>\n<\/tr>\n
PPL.PR.A<\/td>\nSplitShare<\/td>\n-2.75 %<\/td>\nAsset coverage of 1.4+:1 as of January 15 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2012-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.85
\nBid-YTW : 8.56 %<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixedFloater<\/td>\n-2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 16.48
\nBid-YTW : 6.72 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetual-Discount<\/td>\n-2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 17.74
\nEvaluated at bid price : 17.74
\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixedFloater<\/td>\n-1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.21
\nBid-YTW : 7.14 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 18.31
\nEvaluated at bid price : 18.31
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixedFloater<\/td>\n-1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.51
\nBid-YTW : 6.96 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 17.65
\nEvaluated at bid price : 17.65
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.60
\nBid-YTW : 10.70 %<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 21.92
\nEvaluated at bid price : 22.26
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 21.02
\nEvaluated at bid price : 21.02
\nBid-YTW : 6.74 %<\/td>\n<\/tr>\n
FIG.PR.A<\/td>\nInterest-Bearing<\/td>\n1.21 %<\/td>\nAsset coverage of 1.1-:1 as of January 19, based on Capital Units NAV of 1.46<\/a> as of January 29 and 0.53 Capital Units per preferred<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 10.00
\nEvaluated at bid price : 7.52
\nBid-YTW : 12.53 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 15.58
\nEvaluated at bid price : 15.58
\nBid-YTW : 7.25 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 6.85 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 11.31
\nBid-YTW : 9.63 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 16.96
\nEvaluated at bid price : 16.96
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n2.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 21.71
\nEvaluated at bid price : 21.75
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n3.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 22.17
\nEvaluated at bid price : 22.21
\nBid-YTW : 4.41 %<\/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.G<\/td>\nFixedReset<\/td>\n611,420<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 24.80
\nEvaluated at bid price : 24.85
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n496,219<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 24.85
\nEvaluated at bid price : 24.90
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n214,946<\/td>\nNew issue settled yesterday<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 6.34 %<\/td>\n<\/tr>\n
NA.PR.P<\/td>\nFixedReset<\/td>\n172,668<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 24.86
\nEvaluated at bid price : 24.91
\nBid-YTW : 6.68 %<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n120,800<\/td>\nScotia crossed 120,000 at 25.65.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.08 %<\/td>\n<\/tr>\n
BNS.PR.T<\/td>\nFixedReset<\/td>\n94,731<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-01-30
\nMaturity Price : 24.75
\nEvaluated at bid price : 24.80
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
There were 32 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

I’m very annoyed with DBRS. I had been hoping they would come to some resolution of their mass reviews of Split Corporations (two of them: October and December), but here we are at month-end and …<\/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-5270","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5270","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=5270"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5270\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5270"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5270"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5270"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}