March 25, 2011

Portugal’s problems deepened:

Portugal doesn’t need a rescue, Prime Minister Jose Socrates said in Brussels, seeking to counter speculation of a bailout as talks began in Lisbon to end the political limbo after lawmakers rejected his budget cuts.

Portuguese bonds fell, driving their yield to a euro-era record as investors anticipated that the country would follow Ireland and Greece in seeking a financial lifeline. A bailout may total as much as 70 billion euros ($99 billion), two European officials with direct knowledge of the matter said yesterday.

The political deadlock comes as downgrades to Portugal’s credit rating threaten to deepen its debt woes. Standard & Poor’s and Fitch Ratings both cut Portugal’s rating yesterday.

Portugal’s 10-year yield advanced as much as 14 basis points to 7.80 percent. The difference in yield that investors demand to hold the securities instead of German bunds widened 10 basis points to 451 basis points, the most since November. The Portuguese two-year yield increased as much as 38 basis points to 7.09 percent.

Opposition parties united to reject additional cuts that were the equivalent of 4.5 percent of gross domestic product over three years. The package included a reduction in pensions of more than 1,500 euros a month and further decreases in tax benefits. The government said the extra measures were needed to trim the deficit to 4.6 percent of GDP this year and within the EU’s 3 percent limit in 2012.

The Invisible Man would like us to believe that he has finally grown a pair:

The second minority government of Stephen Harper has fallen.

Early Friday afternoon, 156 opposition MPs – all of the Liberals, New Democrats and Bloquistes present in the House of Commons – rose to support a motion of no-confidence.

It was also a motion that declared the government to be in contempt of Parliament for its refusal to share information that opposition members said they needed to properly assess legislation put before them.

… but they’re probably just tied on with string.

There was a slight upward trend in the Canadian preferred share market today, with PerpetualDiscounts exactly flat (!) and both FixedResets and DeemedRetractibles up 4bp. Volatility increased a little, but volume remains anemic.

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 0.3241 % 2,394.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3241 % 3,601.4
Floater 2.51 % 2.32 % 41,382 21.43 4 0.3241 % 2,585.5
OpRet 4.88 % 3.67 % 57,169 1.14 9 0.1206 % 2,402.1
SplitShare 5.08 % 2.96 % 136,712 0.99 5 0.2171 % 2,490.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1206 % 2,196.5
Perpetual-Premium 5.73 % 5.65 % 134,406 6.12 10 -0.0040 % 2,037.2
Perpetual-Discount 5.51 % 5.54 % 124,155 14.50 14 0.0000 % 2,131.9
FixedReset 5.16 % 3.51 % 237,235 2.94 57 0.0431 % 2,283.9
Deemed-Retractible 5.22 % 5.15 % 332,538 8.26 53 0.0398 % 2,088.4
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 23.38
Evaluated at bid price : 25.81
Bid-YTW : 4.67 %
TRI.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 22.99
Evaluated at bid price : 23.26
Bid-YTW : 2.22 %
POW.PR.D Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 23.21
Evaluated at bid price : 23.45
Bid-YTW : 5.33 %
BNA.PR.E SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.10 %
TRP.PR.C FixedReset 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.H Perpetual-Discount 74,300 RBC crossed blocks of 25,000 shares, 22,500 and 22,600, all at 24.30.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 23.79
Evaluated at bid price : 24.09
Bid-YTW : 5.81 %
TD.PR.K FixedReset 54,899 Scotia crossed 26,900 at 27.60; TD crossed 24,500 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-30
Maturity Price : 25.00
Evaluated at bid price : 27.58
Bid-YTW : 3.36 %
BMO.PR.Q FixedReset 51,745 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 3.90 %
POW.PR.A Perpetual-Discount 50,810 RBC crossed 45,000 at 24.44.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 24.18
Evaluated at bid price : 24.44
Bid-YTW : 5.73 %
PWF.PR.I Perpetual-Premium 44,150 Desjardins crossed 41,500 at 25.40.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.55 %
SLF.PR.F FixedReset 42,370 Desjardins crossed 39,300 at 26.80.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-30
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.58 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.C FixedReset The market-maker was probably overwhelmed by the 400-share volume.

See Update Below

Quote: 26.75 – 28.25
Spot Rate : 1.5000
Average : 0.8872

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-01-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.54 %

FTS.PR.H FixedReset Quote: 25.05 – 25.74
Spot Rate : 0.6900
Average : 0.4413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.02 %

BAM.PR.O OpRet Quote: 25.86 – 26.48
Spot Rate : 0.6200
Average : 0.4023

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.39 %

FTS.PR.G FixedReset Quote: 26.00 – 26.49
Spot Rate : 0.4900
Average : 0.2971

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.67 %

TDS.PR.C SplitShare Quote: 10.43 – 10.86
Spot Rate : 0.4300
Average : 0.2882

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-12-15
Maturity Price : 10.00
Evaluated at bid price : 10.43
Bid-YTW : -0.47 %

PWF.PR.K Perpetual-Discount Quote: 23.70 – 24.02
Spot Rate : 0.3200
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-03-25
Maturity Price : 23.45
Evaluated at bid price : 23.70
Bid-YTW : 5.29 %

Update, 2011-3-29: It took four days, but I was finally able to get Trades & Quotes data from the TMX – they had to recover it manually because their software isn’t working properly, as far as I can see.

Anyway, in the period from 15:47:31, when 400 shares traded at 26.80, until the close at 16:00:00, there were 214 different quotes, all with a bid for 300 shares at 26.75 as algorithms jockeyed for position on the offer side. In this period the lowest offer was at 27.03, the highest at 28.25. There were nine instances of the offer side being 28.25.

The Closing Quote was 26.75-16, 3×1. At 16:15:03 the offer of 100 shares at 27.16 was cancelled, resulting in a Last Quote of 26.75-28.25, 3×4.

One Response to “March 25, 2011”

  1. […] in a timely manner, because I am separately advised that my problems nailing down IAG.PR.C on March 25 and CM.PR.K on March 28 were due to uploading schedules – detailed quote data is only put on […]

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