Italy managed to sell some ten year paper:
Italy paid the most since joining the single currency to sell new 10-year debt on Friday in the first euro zone bond auction after European leaders agreed new steps to tackle the debt crisis.
The auction yield on Italy’s March 2022 BTP bond rose to 6.06 percent from 5.86 percent a month ago.
The Treasury managed to sell 7.94 bln euros of medium and long term paper, versus a target range of between 5.25 billion and 8.5 billion euros.
As Assiduous Reader prefhound points out, the big question going forward is: who buys European government debt going forward? I, personally, would be staying away from the peripheral countries and paying extra attention to credit fundamentals; the whole process has been intensely politicized and (in the case of CDS swaps) gamed.
There’s also the question of … who buys European bank paper? The Europeans seem to regard their banks as their personal piggy-banks and the fall-out from a 50% nudge-wink-voluntary write-down remains to be determined.
European leaders’ agreement on a 50 percent haircut on Greek bonds may create an event of default if investors accept it, Fitch Ratings said in a statement today.
“The 50 percent nominal haircut on the proposed bond exchange would be viewed by the agency as a default event under its Distressed Debt Exchange criteria,” the statement said. While the accord is “a necessary step to put the Greek sovereign’s public finances on a more sustainable footing,” Greece will face “significant challenges” including ratios of government debt to gross domestic product at “well over 100 percent even in a positive scenario.”
…
“It’s highly likely that all three rating agencies will classify this restructuring as a technical default,” said Padhraic Garvey, head of developed debt-market strategy at ING Groep NV in Amsterdam. “Even if it’s voluntary, investors are left with a product that’s lower in value to what they originally agreed.”
…
Fitch said in a separate report the Greek debt exchange “would likely result in a post-default rating in the ‘B’ category or lower depending on private creditor participation.”The International Swaps and Derivatives Association, whose market decisions are binding, hasn’t said whether the $3.7 billion of credit-default swaps linked to Greek government bonds should pay out, though it has indicated the decision hinges on whether investors accept losses voluntarily.
A credit event can be caused by a reduction in principal or interest, postponement or deferral of payments or a change in the ranking or currency of obligations, according to the New York-based trade group’s rules.
ING’S Garvey said Fitch’s announcement probably won’t trigger insurance contracts linked to the debt. “The indications are that ISDA won’t class it as a credit event,” he said.
One can only imagine what kind of pressures are being brought to bear on ISDA!
Feeling victimized by preferred share credit rating cuts? Consider MF Global!:
Bonds of MF Global Holdings Ltd. (MF) declined to as low as 35 cents on the dollar after the futures broker run by Jon Corzine drew on its credit lines and Moody’s Investors Service and Fitch Ratings cut the firm’s ratings to junk.
The company’s $325 million of 6.25 percent bonds, issued at par in August, fell 11.9 cents to 50 cents on the dollar as of 5:17 p.m. in New York, for a yield of 25.2 percent, according to Trace, the bond-price reporting system of the Financial Industry Regulatory Authority.
The daily reporting for today will be greatly delayed, as the TSX is having a Disaster Recovery exercise, which may last until Sunday morning. I’ll update this post when I have the data.
Update, 2011-10-28: It took them long enough to get themselves organized, but Datalinx finally had Friday’s prices available late on Monday. No sign of Monday’s prices, though!
| 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 | -1.4234 % | 2,040.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.4234 % | 3,069.1 |
| Floater | 3.53 % | 3.50 % | 158,004 | 18.51 | 2 | -1.4234 % | 2,203.3 |
| OpRet | 4.83 % | 2.63 % | 64,050 | 1.53 | 8 | 0.1261 % | 2,459.3 |
| SplitShare | 5.37 % | 2.88 % | 57,975 | 0.33 | 4 | 0.0311 % | 2,498.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1261 % | 2,248.8 |
| Perpetual-Premium | 5.67 % | 3.78 % | 108,446 | 1.86 | 13 | 0.1922 % | 2,134.6 |
| Perpetual-Discount | 5.35 % | 5.44 % | 106,775 | 14.75 | 17 | -0.0049 % | 2,257.4 |
| FixedReset | 5.15 % | 3.15 % | 206,978 | 2.46 | 61 | 0.0691 % | 2,335.3 |
| Deemed-Retractible | 5.06 % | 4.49 % | 211,182 | 3.93 | 46 | -0.0032 % | 2,207.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-28 Maturity Price : 14.67 Evaluated at bid price : 14.67 Bid-YTW : 3.60 % |
| GWO.PR.J | FixedReset | -1.96 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.03 Bid-YTW : 4.25 % |
| CIU.PR.A | Perpetual-Discount | -1.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-28 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 4.84 % |
| IAG.PR.F | Deemed-Retractible | -1.23 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 5.62 % |
| BMO.PR.Q | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 3.27 % |
| IAG.PR.A | Deemed-Retractible | 1.05 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 5.71 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.D | Perpetual-Premium | 222,291 | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 5.23 % |
| BNS.PR.Z | FixedReset | 134,884 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 3.37 % |
| FTS.PR.E | OpRet | 100,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.95 Bid-YTW : 2.26 % |
| TRP.PR.C | FixedReset | 60,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-28 Maturity Price : 23.35 Evaluated at bid price : 25.40 Bid-YTW : 3.20 % |
| TD.PR.E | FixedReset | 57,976 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.02 Bid-YTW : 2.87 % |
| BMO.PR.P | FixedReset | 51,090 | YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.83 Bid-YTW : 2.96 % |
| There were 34 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.K | Floater | Quote: 14.67 – 15.19 Spot Rate : 0.5200 Average : 0.3435 YTW SCENARIO |
| CIU.PR.A | Perpetual-Discount | Quote: 24.00 – 24.54 Spot Rate : 0.5400 Average : 0.3944 YTW SCENARIO |
| SLF.PR.F | FixedReset | Quote: 26.36 – 26.82 Spot Rate : 0.4600 Average : 0.3420 YTW SCENARIO |
| RY.PR.T | FixedReset | Quote: 27.01 – 27.40 Spot Rate : 0.3900 Average : 0.2962 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 26.03 – 26.50 Spot Rate : 0.4700 Average : 0.3765 YTW SCENARIO |
| IFC.PR.A | FixedReset | Quote: 24.86 – 25.10 Spot Rate : 0.2400 Average : 0.1534 YTW SCENARIO |