March 12, 2012

Are the European dominoes falling?

The good news is Greece won’t default on March 20, and 10-year borrowing costs for Spain and Italy have dropped below 5 percent. The bad news is similar- maturity Portuguese bonds still yield more than 13 percent.

Unlimited European Central Bank loans to banks have halted a bond-market rout that prompted investors to drive German yields to record lows and yield premiums on the securities of its regional peers to euro-era highs. The Italian 10-year yield has dropped more than 150 basis points and the rate on similar- maturity Spanish debt is about 80 basis points lower since the ECB announced Dec. 8 it would offer loans to financial institutions through two longer-term refinancing operations.

It was another quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 6bp, FixedResets exactly flat, and DeemedRetractibles winning 10bp. There was an appropriately small Performance Highlights table generated; volume was a little below average.

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 0.8800 % 2,451.9
FixedFloater 4.53 % 3.92 % 40,938 17.42 1 -0.9924 % 3,438.8
Floater 2.92 % 2.94 % 49,891 19.79 3 0.8800 % 2,647.5
OpRet 4.91 % 3.51 % 53,067 1.24 6 0.2187 % 2,493.3
SplitShare 5.28 % -2.58 % 89,255 0.76 4 -0.0299 % 2,676.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2187 % 2,279.9
Perpetual-Premium 5.39 % 0.65 % 101,298 0.14 25 0.0568 % 2,217.7
Perpetual-Discount 5.10 % 5.09 % 178,569 15.26 7 -0.2645 % 2,416.5
FixedReset 5.04 % 2.83 % 194,348 2.23 66 0.0000 % 2,387.6
Deemed-Retractible 4.93 % 3.81 % 210,067 2.80 46 0.0986 % 2,314.2
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %
MFC.PR.C Deemed-Retractible 1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 5.22 %
FTS.PR.E OpRet 1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.54
Bid-YTW : 2.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Premium 85,130 Recent new issue.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 5.24 %
MFC.PR.D FixedReset 78,734 Nesbitt crossed 70,000 at 26.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.63 %
TD.PR.G FixedReset 75,236 TD crossed 70,600 at 27.05.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 2.62 %
RY.PR.Y FixedReset 75,100 Scotia crossed blocks of 49,900 and 20,000, both at 27.25.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 27.22
Bid-YTW : 2.80 %
BAM.PR.T FixedReset 61,611 CIBC crossed 12,800 at 25.08.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 23.19
Evaluated at bid price : 25.11
Bid-YTW : 3.87 %
CM.PR.J Deemed-Retractible 59,746 Called for redemption.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-30
Maturity Price : 26.00
Evaluated at bid price : 26.22
Bid-YTW : 1.54 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 22.50 – 22.97
Spot Rate : 0.4700
Average : 0.3111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.35 %

CU.PR.A Perpetual-Premium Quote: 25.67 – 26.05
Spot Rate : 0.3800
Average : 0.2647

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-04-11
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : -22.88 %

RY.PR.W Perpetual-Premium Quote: 25.53 – 25.74
Spot Rate : 0.2100
Average : 0.1294

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.91 %

BAM.PR.C Floater Quote: 18.00 – 18.40
Spot Rate : 0.4000
Average : 0.3238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.94 %

NA.PR.P FixedReset Quote: 27.15 – 27.50
Spot Rate : 0.3500
Average : 0.2797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-15
Maturity Price : 25.00
Evaluated at bid price : 27.15
Bid-YTW : 2.29 %

ELF.PR.F Perpetual-Discount Quote: 24.40 – 24.74
Spot Rate : 0.3400
Average : 0.2741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-03-12
Maturity Price : 24.10
Evaluated at bid price : 24.40
Bid-YTW : 5.51 %

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