{"id":5387,"date":"2009-02-06T22:12:02","date_gmt":"2009-02-07T02:12:02","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5387"},"modified":"2009-02-06T22:12:02","modified_gmt":"2009-02-07T02:12:02","slug":"february-6-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5387","title":{"rendered":"February 6, 2009"},"content":{"rendered":"

Alea<\/i> points out<\/a> that the February 5 H.4.1 Fed release<\/a> shows that the Fed Balance sheet continues to shrink. “Central Bank Liquidity Swaps” on the asset side and “Deposits – Depository Institutions” on the liability side are down $78-billion and $93-billion respectively.<\/p>\n

Unfortunately – and somewhat surprisingly – Commercial Paper holdings increased by about $10.6-billion … but still way down from the peak<\/a>.<\/p>\n

The UK Financial Services Authority has released<\/a> a consultation paper on Temporary Short-Selling Measures<\/a>. It appears that they favour continuation of the “Disclosure Obligation” (large short positions must be disclosed), which I don’t have any problem with.<\/p>\n

Speaking of disclosure obligations, the SEC has unveiled a raft of NRSRO rules<\/a>, designed to ensure that future scapegoating will be easier to implement. Lots of disclosures that nobody will ever read, but good practice for the next regulation: a requirement that prices only go up. Surely this ultimate goal is only a few more box-ticks away!<\/p>\n

All in all, it was a pretty quiet end to the week. Not much volume, not much movement.<\/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>\n5.33 %<\/td>\n3.81 %<\/td>\n24,302<\/td>\n17.74<\/td>\n2<\/td>\n0.4868 %<\/td>\n859.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.31 %<\/td>\n7.01 %<\/td>\n66,924<\/td>\n13.91<\/td>\n7<\/td>\n-0.5962 %<\/td>\n1,374.0<\/td>\n<\/tr>\n
Floater<\/td>\n5.39 %<\/td>\n4.42 %<\/td>\n28,896<\/td>\n16.55<\/td>\n4<\/td>\n-0.2049 %<\/td>\n974.7<\/td>\n<\/tr>\n
OpRet<\/td>\n5.27 %<\/td>\n4.78 %<\/td>\n155,573<\/td>\n4.01<\/td>\n15<\/td>\n0.3916 %<\/td>\n2,039.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.21 %<\/td>\n9.02 %<\/td>\n70,078<\/td>\n4.08<\/td>\n15<\/td>\n0.4562 %<\/td>\n1,795.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n7.05 %<\/td>\n8.15 %<\/td>\n34,511<\/td>\n0.86<\/td>\n2<\/td>\n0.4044 %<\/td>\n2,007.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0561 %<\/td>\n1,556.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.91 %<\/td>\n6.97 %<\/td>\n206,700<\/td>\n12.60<\/td>\n71<\/td>\n0.0561 %<\/td>\n1,433.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n6.13 %<\/td>\n5.86 %<\/td>\n679,610<\/td>\n13.81<\/td>\n27<\/td>\n-0.0078 %<\/td>\n1,794.0<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-2.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 14.10
\nEvaluated at bid price : 14.10
\nBid-YTW : 8.56 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-2.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 7.41
\nEvaluated at bid price : 7.41
\nBid-YTW : 7.20 %<\/td>\n<\/tr>\n
BCE.PR.F<\/td>\nFixedFloater<\/td>\n-2.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.81
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n-2.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 19.56
\nEvaluated at bid price : 19.56
\nBid-YTW : 7.10 %<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixedFloater<\/td>\n-1.67 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.75
\nBid-YTW : 7.27 %<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 18.61
\nEvaluated at bid price : 18.61
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 21.33
\nEvaluated at bid price : 21.61
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 15.43
\nEvaluated at bid price : 15.43
\nBid-YTW : 7.42 %<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 21.74
\nEvaluated at bid price : 21.78
\nBid-YTW : 4.72 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 17.64
\nEvaluated at bid price : 17.64
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.85
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
SBN.PR.A<\/td>\nSplitShare<\/td>\n1.19 %<\/td>\nAsset coverage of 1.6+:1 as of January 31 according to Mulvihill<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 9.32
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 17.56
\nEvaluated at bid price : 17.56
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
IGM.PR.A<\/td>\nOpRet<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-06-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.70
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 16.70
\nEvaluated at bid price : 16.70
\nBid-YTW : 6.77 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n1.87 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.55
\nBid-YTW : 9.92 %<\/td>\n<\/tr>\n
FTN.PR.A<\/td>\nSplitShare<\/td>\n2.33 %<\/td>\nAsset coverage of 1.2+:1 as of January 30 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2015-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 7.92
\nBid-YTW : 9.57 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n2.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 19.27
\nEvaluated at bid price : 19.27
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n2.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-06
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.55
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n3.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.55
\nBid-YTW : 10.36 %<\/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
RY.PR.R<\/td>\nFixedReset<\/td>\n99,244<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.01
\nBid-YTW : 6.33 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n93,230<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.91
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n88,470<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.96
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n87,699<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.89
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n51,900<\/td>\nDesjardins crossed 50,000 at 24.72.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.60
\nBid-YTW : 4.49 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n43,475<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
There were 27 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Alea points out that the February 5 H.4.1 Fed release shows that the Fed Balance sheet continues to shrink. “Central Bank Liquidity Swaps” on the asset side and “Deposits – Depository Institutions” on the liability …<\/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-5387","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5387","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=5387"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5387\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5387"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5387"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5387"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}