December 21, 2011

The ECB is bailing out Europe:

The European Central Bank will lend euro-area banks a record amount for three years in its latest attempt to keep credit flowing to the economy during the sovereign debt crisis.

The Frankfurt-based ECB awarded 489 billion euros ($645 billion) in 1,134-day loans today, the most ever in a single operation and more than economists’ median estimate of 293 billion euros in a Bloomberg News survey. The ECB said 523 banks asked for the funds, which will be lent at the average of its benchmark interest rate — currently 1 percent — over the period of the loans. They start tomorrow.

Yields on government bonds in Italy and Spain fell in the days after the ECB announced the loans on Dec. 8 as banks bought the securities to use them as collateral in today’s tender. French President Nicolas Sarkozy has suggested banks could use the loans to buy even more government debt.

Simon Derrick, chief currency strategist at Bank of New York Mellon Corp, said the loans amount to quantitative easing “through the backdoor.”

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts up 13bp, FixedResets gaining 11bp and DeemedRetractibles winning 30bp. Volatility was good. Volume was average.

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.6% so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 205bp, a slight tightening from the 210bp reported December 14.

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 -0.6429 % 2,026.1
FixedFloater 4.92 % 4.67 % 39,407 17.00 1 -1.0753 % 3,134.0
Floater 3.29 % 3.68 % 72,312 18.13 3 -0.6429 % 2,187.6
OpRet 4.95 % 1.68 % 62,991 1.40 6 -0.0194 % 2,468.1
SplitShare 5.48 % 2.15 % 78,245 0.96 4 0.6194 % 2,551.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0194 % 2,256.9
Perpetual-Premium 5.48 % 0.34 % 91,561 0.09 18 0.0426 % 2,176.8
Perpetual-Discount 5.22 % 5.11 % 108,458 15.11 12 0.1260 % 2,327.4
FixedReset 5.10 % 2.97 % 220,343 2.46 64 0.1082 % 2,343.2
Deemed-Retractible 5.02 % 3.78 % 194,079 2.95 46 0.2968 % 2,236.1
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-21
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.68 %
BAM.PR.G FixedFloater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-21
Maturity Price : 25.00
Evaluated at bid price : 19.32
Bid-YTW : 4.67 %
SLF.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 5.29 %
GWO.PR.H Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 5.50 %
HSB.PR.C Deemed-Retractible 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.56
Bid-YTW : 4.14 %
TRP.PR.C FixedReset 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-21
Maturity Price : 23.58
Evaluated at bid price : 26.20
Bid-YTW : 2.71 %
BNA.PR.E SplitShare 2.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.57 %
MFC.PR.B Deemed-Retractible 2.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 6.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.I Deemed-Retractible 328,707 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-01-31
Maturity Price : 26.00
Evaluated at bid price : 26.21
Bid-YTW : 2.94 %
BNS.PR.Z FixedReset 60,800 Nesbitt bought 25,400 from RBC at 25.05; Desjardins crossed 14,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.12 %
GWO.PR.H Deemed-Retractible 41,970 RBC crossed 16,900 at 23.75.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 5.50 %
MFC.PR.G FixedReset 35,400 Recent fire sale.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.78
Bid-YTW : 4.92 %
PWF.PR.A Floater 30,987 Desjardins crossed blocks of 10,000 and 15,000, both at 19.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-21
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 2.72 %
RY.PR.I FixedReset 29,970 Scotia crossed 13,500 at 26.15.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.09 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.G FixedReset Quote: 26.00 – 26.65
Spot Rate : 0.6500
Average : 0.3986

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.01 %

BNA.PR.E SplitShare Quote: 23.00 – 23.80
Spot Rate : 0.8000
Average : 0.6104

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.57 %

BMO.PR.P FixedReset Quote: 26.92 – 27.35
Spot Rate : 0.4300
Average : 0.2689

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2015-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 3.00 %

CM.PR.K FixedReset Quote: 26.68 – 27.20
Spot Rate : 0.5200
Average : 0.3698

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 2.97 %

BAM.PR.R FixedReset Quote: 26.05 – 26.50
Spot Rate : 0.4500
Average : 0.3441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-12-21
Maturity Price : 23.51
Evaluated at bid price : 26.05
Bid-YTW : 3.58 %

PWF.PR.O Perpetual-Premium Quote: 26.20 – 26.55
Spot Rate : 0.3500
Average : 0.2481

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 5.14 %

One Response to “December 21, 2011”

  1. […] PerpetualDiscounts now yield 5.11%, equivalent to 6.64% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.60%, so the pre-tax interest-equivalent spread (also called the Seniority spread) is now about 205bp, unchanged from December 21. […]

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