PrefBlog

Greek bonds are getting hammered:

Europe’s week-old rescue plan for Greece has so far failed to do what its leaders predicted: reduce borrowing costs for the region’s most indebted country.

The yield on 10-year Greek government bonds has increased 24 basis points to 6.522 percent since EU leaders agreed to the aid blueprint on March 25. That’s the highest in a month and more than double the rate paid by Germany. Seven-year bonds sold by Greece on March 29 fell for a second day today.

“What they were hoping for was to set up some sort of arrangement that never has to be used,” said Phyllis Reed, head of bond research in London at Kleinwort Benson, which manages about $32 billion. “The markets have sniffed that out and it seems like we’re heading back to square one.”

The Brookfield/General Growth affair is winding its way through court:

General Growth Properties Inc.’s proposal to exit bankruptcy with funding from Brookfield Asset Management Inc. has a clause that will give the company until the end of the year to complete a takeover deal with another party, according to two people with knowledge of the plan.
…
The provision would give Chicago-based General Growth time to explore a takeover bid from Simon Property Group Inc., whose $10 billion offer was turned down by its rival last month. Simon is preparing a new bid, according to a person with knowledge of that plan. Brookfield’s plan is subject to the approval of U.S. Bankruptcy Judge Allan Gropper, who gave General Growth an Aug. 26 deadline to control its case.

Citigroup has spent a lot of money upgrading its algorithmic trading software:

Citigroup Inc. is overhauling its platform of trading strategies in an attempt to grow its share of U.S. equities from 14 percent, according to Young Kang, global head of algorithmic products at the firm.
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A global group of 20 quantitative analysts and more than 50 developers, overseen by Kang, built the algorithms and the technology supporting the new platform, which has been used on Citigroup’s cash equities and program trading desks. The strategies have been tested in recent months by some hedge funds and institutional clients.
…
Citigroup is also making changes to ColorBook, the smart router from Lava Trading, a unit within the broker, to execute orders faster. Smart routers are used by brokers to craft an execution strategy for the smaller orders generated once an algorithm or trading desk has decided how to transact a stock.

ColorBook currently executes orders in 700 microseconds, or 0.0007 second, Swanson said. The firm is trying to reduce that to 200 microseconds.

There is as yet no word on the take-up of the WFS warrants, which expired today out of the money, or regarding the SBN warrants, likewise.

Volume was highly elevated again today as the Canadian preferred share market staggered into quarter end. PerpetualDiscounts were down 35bp while FixedResets lost 38bp to take the yield on the latter index back above 3.50%, to 3.55%. The only winner in the performance highlights is W.PR.H, which is merely a dead-cat bounce from yesterday.

The yield on PerpetualDiscounts is now 6.16%, equivalent to 8.62% interest at the standard equivalency factor of 1.4x. Long Corporates now yield about 5.8%, having achieved a total return of +88bp on the month and +5.02% on the year-to-date, so the pre-tax interest-equivalent spread is now about 285bp, a sharp increase from the 265bp reported March 24 and getting very close to their one-year high in the low 290s.

This entry was posted on Wednesday, March 31st, 2010 at 7:52 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.