The ECB is bailing out Europe:
The European Central Bank will lend euro-area banks a record amount for three years in its latest attempt to keep credit flowing to the economy during the sovereign debt crisis.
The Frankfurt-based ECB awarded 489 billion euros ($645 billion) in 1,134-day loans today, the most ever in a single operation and more than economists’ median estimate of 293 billion euros in a Bloomberg News survey. The ECB said 523 banks asked for the funds, which will be lent at the average of its benchmark interest rate — currently 1 percent — over the period of the loans. They start tomorrow.
…
Yields on government bonds in Italy and Spain fell in the days after the ECB announced the loans on Dec. 8 as banks bought the securities to use them as collateral in today’s tender. French President Nicolas Sarkozy has suggested banks could use the loans to buy even more government debt.Simon Derrick, chief currency strategist at Bank of New York Mellon Corp, said the loans amount to quantitative easing “through the backdoor.”
It was a strong day for the Canadian preferred share market, with PerpetualDiscounts up 13bp, FixedResets gaining 11bp and DeemedRetractibles winning 30bp. Volatility was good. Volume was average.
PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.6% so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 205bp, a slight tightening from the 210bp reported December 14.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | -0.6429 % | 2,026.1 |
| FixedFloater | 4.92 % | 4.67 % | 39,407 | 17.00 | 1 | -1.0753 % | 3,134.0 |
| Floater | 3.29 % | 3.68 % | 72,312 | 18.13 | 3 | -0.6429 % | 2,187.6 |
| OpRet | 4.95 % | 1.68 % | 62,991 | 1.40 | 6 | -0.0194 % | 2,468.1 |
| SplitShare | 5.48 % | 2.15 % | 78,245 | 0.96 | 4 | 0.6194 % | 2,551.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0194 % | 2,256.9 |
| Perpetual-Premium | 5.48 % | 0.34 % | 91,561 | 0.09 | 18 | 0.0426 % | 2,176.8 |
| Perpetual-Discount | 5.22 % | 5.11 % | 108,458 | 15.11 | 12 | 0.1260 % | 2,327.4 |
| FixedReset | 5.10 % | 2.97 % | 220,343 | 2.46 | 64 | 0.1082 % | 2,343.2 |
| Deemed-Retractible | 5.02 % | 3.78 % | 194,079 | 2.95 | 46 | 0.2968 % | 2,236.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-21 Maturity Price : 14.26 Evaluated at bid price : 14.26 Bid-YTW : 3.68 % |
| BAM.PR.G | FixedFloater | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-21 Maturity Price : 25.00 Evaluated at bid price : 19.32 Bid-YTW : 4.67 % |
| SLF.PR.H | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.82 Bid-YTW : 5.29 % |
| GWO.PR.H | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 5.50 % |
| HSB.PR.C | Deemed-Retractible | 1.71 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-30 Maturity Price : 25.25 Evaluated at bid price : 25.56 Bid-YTW : 4.14 % |
| TRP.PR.C | FixedReset | 1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-21 Maturity Price : 23.58 Evaluated at bid price : 26.20 Bid-YTW : 2.71 % |
| BNA.PR.E | SplitShare | 2.45 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2017-12-10 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.57 % |
| MFC.PR.B | Deemed-Retractible | 2.59 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.96 Bid-YTW : 6.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.I | Deemed-Retractible | 328,707 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-01-31 Maturity Price : 26.00 Evaluated at bid price : 26.21 Bid-YTW : 2.94 % |
| BNS.PR.Z | FixedReset | 60,800 | Nesbitt bought 25,400 from RBC at 25.05; Desjardins crossed 14,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.12 % |
| GWO.PR.H | Deemed-Retractible | 41,970 | RBC crossed 16,900 at 23.75. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 5.50 % |
| MFC.PR.G | FixedReset | 35,400 | Recent fire sale. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.78 Bid-YTW : 4.92 % |
| PWF.PR.A | Floater | 30,987 | Desjardins crossed blocks of 10,000 and 15,000, both at 19.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-12-21 Maturity Price : 19.39 Evaluated at bid price : 19.39 Bid-YTW : 2.72 % |
| RY.PR.I | FixedReset | 29,970 | Scotia crossed 13,500 at 26.15. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.10 Bid-YTW : 3.09 % |
| 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.G | FixedReset | Quote: 26.00 – 26.65 Spot Rate : 0.6500 Average : 0.3986 YTW SCENARIO |
| BNA.PR.E | SplitShare | Quote: 23.00 – 23.80 Spot Rate : 0.8000 Average : 0.6104 YTW SCENARIO |
| BMO.PR.P | FixedReset | Quote: 26.92 – 27.35 Spot Rate : 0.4300 Average : 0.2689 YTW SCENARIO |
| CM.PR.K | FixedReset | Quote: 26.68 – 27.20 Spot Rate : 0.5200 Average : 0.3698 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 26.05 – 26.50 Spot Rate : 0.4500 Average : 0.3441 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 26.20 – 26.55 Spot Rate : 0.3500 Average : 0.2481 YTW SCENARIO |
[…] PerpetualDiscounts now yield 5.11%, equivalent to 6.64% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.60%, so the pre-tax interest-equivalent spread (also called the Seniority spread) is now about 205bp, unchanged from December 21. […]