{"id":6691,"date":"2009-05-28T23:47:12","date_gmt":"2009-05-29T03:47:12","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6691"},"modified":"2009-05-28T23:47:12","modified_gmt":"2009-05-29T03:47:12","slug":"may-28-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6691","title":{"rendered":"May 28, 2009"},"content":{"rendered":"

The Treasury Market Practices Group has released a new closing-time convention<\/a> that should help the Treasury fails situation – at least to some extent:<\/p>\n

Some buy-side market participants expressed dissatisfaction with the existing market convention under which dealers can deliver securities to customers until 3:15 p.m., but customers can usually only deliver securities to dealers until 3:00 p.m.6 This convention can sometimes leave a customer who had, at 3:00 p.m., an uncompleted obligation to receive securities and a matching uncompleted obligation to deliver the same securities in the position of taking in the securities after 3:00 p.m. without being able to turn the securities around and redeliver them on the same day. Instead of a pair of matched fails, the customer is left with an unmatched fail to deliver, resulting in higher interest expenses and\/or an overdraft charge. Some buy-side market participants expressed the view that closing times should treat all market participants the same, regardless of whether they are real money investors, leveraged investors, or dealers.<\/p><\/blockquote>\n

It will now be 3:00pm for everybody and 3:15pm for sophisticated participants (who will mostly be dealers).<\/p>\n

It is unusual, but not unheard of, for “real money” accounts to buy and sell the same issue on the same day; but it would be more of a problem for hot money accounts like hedge funds.<\/p>\n

Not much price volatility today, as the market eased off a little bit on continued good volume. I forgot to do the spreads-to-corporates yesterday … today PerpetualDiscounts closed to yield 6.42%, equivalent to 8.99% at the standard 1.4x equivalency factor. Long Corporates<\/a> currently yield about 7.0%, so the pre-tax interest-equivalent spread is now about 199bp – in line with what may be considered Credit-Crunch-but-not-Credit-Terror levels.<\/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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1983 %<\/td>\n1,282.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1983 %<\/td>\n2,073.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.93 %<\/td>\n3.44 %<\/td>\n83,607<\/td>\n18.60<\/td>\n3<\/td>\n-0.1983 %<\/td>\n1,601.5<\/td>\n<\/tr>\n
OpRet<\/td>\n5.04 %<\/td>\n3.71 %<\/td>\n128,089<\/td>\n0.98<\/td>\n15<\/td>\n-0.0450 %<\/td>\n2,157.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.95 %<\/td>\n5.87 %<\/td>\n53,574<\/td>\n4.28<\/td>\n3<\/td>\n-0.2179 %<\/td>\n1,830.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.04 %<\/td>\n8.53 %<\/td>\n27,841<\/td>\n0.57<\/td>\n1<\/td>\n0.5061 %<\/td>\n1,973.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1548 %<\/td>\n1,715.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.38 %<\/td>\n6.42 %<\/td>\n160,615<\/td>\n13.32<\/td>\n71<\/td>\n-0.1548 %<\/td>\n1,579.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.75 %<\/td>\n4.98 %<\/td>\n487,269<\/td>\n4.47<\/td>\n37<\/td>\n-0.0897 %<\/td>\n1,975.1<\/td>\n<\/tr>\n<\/table>\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
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n-2.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 17.46
\nEvaluated at bid price : 17.46
\nBid-YTW : 6.47 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 14.70
\nEvaluated at bid price : 14.70
\nBid-YTW : 8.28 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 6.27 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 11.50
\nEvaluated at bid price : 11.50
\nBid-YTW : 3.46 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 19.12
\nEvaluated at bid price : 19.12
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 14.83
\nEvaluated at bid price : 14.83
\nBid-YTW : 8.20 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 24.42
\nEvaluated at bid price : 24.47
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 18.54
\nEvaluated at bid price : 18.54
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 21.63
\nEvaluated at bid price : 21.63
\nBid-YTW : 6.82 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 21.65
\nEvaluated at bid price : 21.91
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 21.20
\nEvaluated at bid price : 21.20
\nBid-YTW : 6.72 %<\/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
BMO.PR.O<\/td>\nFixedReset<\/td>\n218,122<\/td>\nNational Bank crossed 200,000 at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n111,941<\/td>\nNational Bank bought 10,000 from HSBC at 26.48. Nesbit crossed 40,000 at 26.60 and bought 36,100 from RBC at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.41
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetual-Discount<\/td>\n110,699<\/td>\nNational Bank crossed 100,000 at 21.78.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 21.48
\nEvaluated at bid price : 21.76
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n60,642<\/td>\nNesbitt crossed 50,000 at 24.36.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 24.40
\nEvaluated at bid price : 24.45
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetual-Discount<\/td>\n47,210<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-28
\nMaturity Price : 18.57
\nEvaluated at bid price : 18.57
\nBid-YTW : 6.25 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n47,059<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.08
\nBid-YTW : 5.34 %<\/td>\n<\/tr>\n
There were 47 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Treasury Market Practices Group has released a new closing-time convention that should help the Treasury fails situation – at least to some extent: Some buy-side market participants expressed dissatisfaction with the existing market convention …<\/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-6691","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6691","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=6691"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6691\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6691"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6691"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6691"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}