Another bad day for Greek bonds:
The yield on the Greek 10-year bond added 56 basis points, driving the difference with German bunds to a record 1,349 basis points.
…
Stocks and the euro extended losses as the Associated Press reported Norway froze a 235 million kroner ($42.3 million) grant to Greece because it hasn’t lived up to conditions linked to the grant, while Fitch Ratings said any potential extension of Greek bond maturities would be considered a default as it downgraded the debt.
…
The yield on Greek 10-year bonds surged 1.11 percentage points to 16.55 percent this week. The Portuguese 10-year yield increased 27 basis points to 9.38 percent, sending the spread with benchmark German bunds 33 basis points wider. Irish 10-year bond yields rose six basis points, with similar-maturity Spanish yields nine basis points higher.
The IMF has lent some money to Portugal:
The International Monetary Fund approved a 26 billion-euro ($36.8 billion) loan to Portugal as part of a joint bailout with the European Union in the latest effort to stem the region’s sovereign debt crisis.
The Washington-based institution will make 6.1 billion euros available immediately, the fund said in an e-mailed statement today. The IMF followed European officials, who on May 16 endorsed the 78-billion ($110 billion) joint package.
Sadly, the article does not address the question of whether the cheque was delivered by women in skimply little maid outfits.
The FRB-Boston has released a public policy brief by Jeffrey C. Fuhrer and Giovanni P. Olivei titled The Estimated Macroeconomic Effects of the Federal Reserve’s Large-Scale Treasury Purchase Program:
This brief examines an issue of current importance to the conduct of U.S. economic policy: how has the Federal Open Market Committee (FOMC) plan to purchase up to $600 billion of Treasury securities by June 30, 2011 affected the movement of inflation, GDP, and employment to more desirable medium-term and long-term levels? Following the FOMC’s announcement of the plan on November 3, 2010, other events that potentially influence Treasury yields have been at play. To estimate the effects that the FOMC Treasury purchases may have on the goal of achieving more desirable levels of inflation and employment, the authors make use of different models to gauge the likely effect upon interest rates, the interest rate effects on real spending (GDP), and how changes in GDP may be affecting the employment rate.
The FRB-Cleveland has published the May, 2011, edition of Economic Trends.
OSFI has released the Spring, 2011, edition of the OSFI Pillar with articles (well, notes, really):
- OSFI Plan and Priorities for 2011-2014
- Draft revised MCT guideline for P&C insurers
- Speech by Assistant Superintendent Ted Price
- Speech by Superintendent Julie Dickson
- External peer review panel on 25th CPP Actuarial Report
- Draft Stress Testing Guideline for Defined Benefit Pension Plans
There was good inflation news:
The consumer price index increased 0.3 percent in April after a 1.1 percent gain in the previous month, Statistics Canada reported today. The median forecast of 27 economists in a Bloomberg News survey was for a 0.5 percent advance.
…
Consumer prices rose 3.3 percent from a year earlier, matching the annual rate of advance in March.
The TMX will resist bank hegemony. Go, guys, go!
Bubble, bubble, toil and trouble:
Housing costs for the average two-storey home in Vancouver today eat up the equivalent of 80 per cent of a typical family’s annual pretax income, according to new research, putting ownership out of reach for most.
…
Across the country, homeowners are putting a larger portion of their earnings toward their homes, and interest-rate increases are likely to put further pressure on homeowners in the coming months, the Royal Bank of Canada said in its quarterly affordability index.The problem is especially pronounced in Vancouver, where the bank estimated families must now dedicate 72 per cent of their household income to pay the mortgage, property taxes and utilities on a bungalow. In Toronto, it would take 47.5 per cent.
It was another fine day for the Canadian preferred share market, with PerpetualDiscounts inching ahead by 1bp, FixedResets up 11bp and DeemedRetractibes rocketting 28bp. The last group were led by SLF issues, which went ex-Dividend today. Volume was mediocre.
See you after the Rapture!
| 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 | 0.1753 % | 2,460.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1753 % | 3,699.8 |
| Floater | 2.45 % | 2.25 % | 41,507 | 21.63 | 4 | 0.1753 % | 2,656.2 |
| OpRet | 4.87 % | 3.51 % | 62,267 | 0.44 | 9 | 0.0129 % | 2,423.4 |
| SplitShare | 5.21 % | -1.59 % | 56,280 | 0.57 | 6 | 0.3934 % | 2,514.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0129 % | 2,216.0 |
| Perpetual-Premium | 5.74 % | 5.29 % | 135,095 | 0.84 | 9 | -0.0859 % | 2,064.0 |
| Perpetual-Discount | 5.49 % | 5.53 % | 120,357 | 14.53 | 15 | 0.0112 % | 2,164.1 |
| FixedReset | 5.15 % | 3.22 % | 195,420 | 2.87 | 57 | 0.1056 % | 2,311.1 |
| Deemed-Retractible | 5.14 % | 4.91 % | 328,831 | 8.10 | 53 | 0.2761 % | 2,140.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Deemed-Retractible | 1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 5.89 % |
| ELF.PR.F | Deemed-Retractible | 1.15 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.84 Bid-YTW : 6.54 % |
| BMO.PR.L | Deemed-Retractible | 1.18 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.75 Evaluated at bid price : 26.51 Bid-YTW : 4.60 % |
| SLF.PR.B | Deemed-Retractible | 1.24 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.44 Bid-YTW : 5.55 % |
| SLF.PR.A | Deemed-Retractible | 1.36 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.32 Bid-YTW : 5.56 % |
| SLF.PR.F | FixedReset | 1.51 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 27.45 Bid-YTW : 2.60 % |
| BNA.PR.D | SplitShare | 1.52 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2011-06-19 Maturity Price : 26.00 Evaluated at bid price : 26.70 Bid-YTW : -27.48 % |
| SLF.PR.D | Deemed-Retractible | 1.70 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.28 Bid-YTW : 5.80 % |
| SLF.PR.C | Deemed-Retractible | 1.71 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.26 Bid-YTW : 5.81 % |
| SLF.PR.E | Deemed-Retractible | 1.72 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.30 Bid-YTW : 5.84 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.G | FixedReset | 304,677 | TD crossed five blocks; 100,000 shares, then 60,000 and 35,000, followed by two of 50,000 each, all at 27.48. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.43 Bid-YTW : 3.05 % |
| POW.PR.B | Perpetual-Discount | 76,960 | Nesbitt crossed 40,000 at 23.90; RBC crossed 29,500 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-05-20 Maturity Price : 23.67 Evaluated at bid price : 23.94 Bid-YTW : 5.65 % |
| GWO.PR.G | Deemed-Retractible | 54,883 | Nesbitt crossed 37,200 at 25.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 5.31 % |
| RY.PR.I | FixedReset | 44,488 | RBC crossed 38,000 at 26.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.18 Bid-YTW : 3.19 % |
| BNS.PR.R | FixedReset | 37,193 | Nesbitt crossed 30,000 at 26.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.32 % |
| RY.PR.X | FixedReset | 35,640 | RBC crossed 25,000 at 27.39. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 27.39 Bid-YTW : 3.25 % |
| 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.E | OpRet | Quote: 26.75 – 27.18 Spot Rate : 0.4300 Average : 0.2753 YTW SCENARIO |
| ELF.PR.F | Deemed-Retractible | Quote: 22.84 – 23.40 Spot Rate : 0.5600 Average : 0.4187 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 22.93 – 23.29 Spot Rate : 0.3600 Average : 0.2248 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 50.11 – 50.39 Spot Rate : 0.2800 Average : 0.1915 YTW SCENARIO |
| PWF.PR.E | Perpetual-Discount | Quote: 24.70 – 24.99 Spot Rate : 0.2900 Average : 0.2035 YTW SCENARIO |
| W.PR.H | Perpetual-Discount | Quote: 24.40 – 24.94 Spot Rate : 0.5400 Average : 0.4585 YTW SCENARIO |