May 30, 2011

Greece is sliding closer to bankruptcy:

The European Union may withhold the next amount of credit to Greece after a report by an international panel of inspectors concluded that the debt-laden country has missed all the fiscal targets agreed in its rescue plan, Der Spiegel said, without saying how it obtained the information.

Portuguese 10-year bonds fell the most in a week, sending the yield spread with German bunds, Europe’s benchmark government security, 18 basis points higher to 678 basis points, the most since Bloomberg began gathering the data in 1997. Italian 10-year yields rose six basis points to 4.81 percent after the government sold 8.3 billion euros ($12 billion) debt. Spain is due to sell debt on June 2.

and Moody’s put Japan on Review-Negative.

Yellow bellies continued to panic.

YLO Issues, 2011-5-30
Ticker Quote
5/27
Quote
5/30
Bid YTW
5/30
YTW
Scenario
5/30
Performance
5/30
(bid/bid)
YLO.PR.A 23.10-20 22.80-90 10.97% Soft Maturity
2012-12-30
-1.30%
YLO.PR.B 16.40-82 15.64-80 14.86% Soft Maturity
2017-06-29
-4.63%
YLO.PR.C 17.67-33 16.57-70 10.08% Limit Maturity -6.23%
YLO.PR.D 18.32-40 17.85-00 9.52% Limit Maturity -2.57%

It was a mixed day on the Canadian preferred share market, with PerpetualDiscounts gaining 17bp, FixedResets basically flat, and DeemedRetractibles down 4bp. Volatility was minimal, with only one entry in the Performance Highlights table. Volume was OK, a little on the low side, as befits a day when the US market was closed.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0349 % 2,462.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0349 % 3,704.1
Floater 2.45 % 2.24 % 43,170 21.63 4 -0.0349 % 2,659.3
OpRet 4.87 % 2.67 % 63,149 0.41 9 0.0772 % 2,423.3
SplitShare 5.23 % -0.60 % 60,309 0.54 6 -0.2393 % 2,505.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0772 % 2,215.9
Perpetual-Premium 5.66 % 4.81 % 165,879 1.43 12 0.0872 % 2,074.9
Perpetual-Discount 5.45 % 5.54 % 125,579 14.46 18 0.1709 % 2,177.7
FixedReset 5.15 % 3.18 % 196,125 2.85 57 0.0046 % 2,310.0
Deemed-Retractible 5.07 % 4.92 % 302,894 8.14 47 -0.0378 % 2,149.7
Performance Highlights
Issue Index Change Notes
SLF.PR.F FixedReset 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 27.19
Bid-YTW : 2.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.G Perpetual-Premium 100,850 Seeking NVCC status.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.30 %
CIU.PR.A Perpetual-Discount 100,000 RBC crossed blocks of 30,000 and 70,000, both at 22.51.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-30
Maturity Price : 22.35
Evaluated at bid price : 22.50
Bid-YTW : 5.13 %
CM.PR.H Deemed-Retractible 84,032 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-06-29
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 2.23 %
RY.PR.W Perpetual-Discount 61,841 RBC bought 11,300 from TD at 24.89.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-30
Maturity Price : 24.44
Evaluated at bid price : 24.75
Bid-YTW : 4.97 %
RY.PR.X FixedReset 45,940 TD crossed 40,000 at 27.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-09-23
Maturity Price : 25.00
Evaluated at bid price : 27.40
Bid-YTW : 3.26 %
TD.PR.K FixedReset 36,977 TD crossed 30,000 at 27.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 27.58
Bid-YTW : 3.08 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TCA.PR.X Perpetual-Premium Quote: 50.32 – 50.74
Spot Rate : 0.4200
Average : 0.2623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-30
Maturity Price : 47.07
Evaluated at bid price : 50.32
Bid-YTW : 5.55 %

IAG.PR.C FixedReset Quote: 26.82 – 27.25
Spot Rate : 0.4300
Average : 0.2915

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.82
Bid-YTW : 3.15 %

BNS.PR.O Deemed-Retractible Quote: 25.95 – 26.34
Spot Rate : 0.3900
Average : 0.2594

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.99 %

POW.PR.B Perpetual-Discount Quote: 24.43 – 24.78
Spot Rate : 0.3500
Average : 0.2285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-30
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 5.54 %

TRI.PR.B Floater Quote: 23.26 – 23.75
Spot Rate : 0.4900
Average : 0.3860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-05-30
Maturity Price : 22.99
Evaluated at bid price : 23.26
Bid-YTW : 2.24 %

GWO.PR.M Deemed-Retractible Quote: 25.60 – 25.85
Spot Rate : 0.2500
Average : 0.1547

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.61 %

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