Another negative bill rate for the textbooks:
Germany sold six-month treasury bills at a negative yield for the first time amid demand for the debt securities of Europe’s biggest economy as a haven from the sovereign debt crisis roiling the region.
The government auctioned 3.9 billion euros ($4.98 billion) of securities maturing in July at an average yield of minus 0.0122 percent, the Federal Finance Agency said in an e-mailed statement today. It was the first time it sold the securities at a negative yield, Joerg Mueller, a spokesman in Frankfurt, said in a telephone interview. The Netherlands sold 107-day bills at minus 0.007 percent on Dec. 12.
Merkozy wants to eliminate trading in the EU:
French President Nicolas Sarkozy won the backing of German Chancellor Angela Merkel for a tax on financial transactions, a levy that Britain maintains won’t work unless it’s applied worldwide.
The French government, long a proponent of the tax, stepped up its campaign last week, going so far as to suggest that France would impose the levy even if others didn’t. At a joint press conference in Berlin with Sarkozy today, Merkel threw her weight behind the tax.
“Personally, I’m in favor of thinking about such a tax in the euro zone,” Merkel said. “Germany and France both equally view the financial transaction tax as a correct response.”
The European Commission in September suggested a tax of 0.1 percent on equity and bond transactions, and 0.01 percent on derivatives, which it said could raise 55 billion euros ($71 billion) a year. European Union finance ministers are due to discuss the levy in March.
All the trading will move to London … or Geneva … or Dubai … or Singapore. If they try to apply it to settlement, they’ll lose all their settlement business as well.
It was another strong day for the Canadian preferred share market, with PerpetualDiscounts winning 37bp, FixedResets flat and DeemedRetractibles gaining 30bp. The Bozo Spread (Current Yield PerpetualDiscounts less Current Yield FixedResets) is now at a mere 2bp! There was a good amount of volatility, with insurers again being notable among the winners. Volume remained very light. Enbridge issues were very active, presumably due to portfolio shuffling inspired by the new issue.
It’s not clear to me what has caused this burst of good performance, but it would not surprise me to learn that a decision has been made to apply the NVCC rules to insurers and insurance holding companies, and that word of this decision has been leaked. Pure speculation of course – and I strongly advise against anybody taking a position based on the thought – but … interesting.
| 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 | 0.8880 % | 2,210.0 |
| FixedFloater | 4.78 % | 4.52 % | 34,819 | 17.15 | 1 | -0.1508 % | 3,223.2 |
| Floater | 3.01 % | 3.20 % | 67,478 | 19.26 | 3 | 0.8880 % | 2,386.2 |
| OpRet | 4.97 % | 1.72 % | 65,312 | 1.35 | 7 | 0.1764 % | 2,487.8 |
| SplitShare | 5.39 % | 0.99 % | 70,381 | 0.91 | 4 | 0.1886 % | 2,593.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1764 % | 2,274.8 |
| Perpetual-Premium | 5.43 % | 0.74 % | 85,060 | 0.09 | 23 | -0.0271 % | 2,203.5 |
| Perpetual-Discount | 5.10 % | 5.02 % | 146,206 | 15.42 | 7 | 0.3666 % | 2,373.1 |
| FixedReset | 5.08 % | 2.77 % | 191,381 | 2.39 | 64 | 0.0042 % | 2,365.1 |
| Deemed-Retractible | 4.94 % | 3.70 % | 185,463 | 2.89 | 46 | 0.3018 % | 2,278.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.B | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.25 Evaluated at bid price : 25.35 Bid-YTW : 3.60 % |
| TRP.PR.B | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.41 Evaluated at bid price : 25.31 Bid-YTW : 2.55 % |
| TRP.PR.C | FixedReset | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.41 Evaluated at bid price : 25.53 Bid-YTW : 2.83 % |
| RY.PR.H | Deemed-Retractible | 1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 26.00 Evaluated at bid price : 27.45 Bid-YTW : 1.80 % |
| FTS.PR.C | OpRet | 1.12 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-02-08 Maturity Price : 25.50 Evaluated at bid price : 26.19 Bid-YTW : -19.29 % |
| ELF.PR.F | Perpetual-Discount | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 22.94 Evaluated at bid price : 23.33 Bid-YTW : 5.69 % |
| SLF.PR.B | Deemed-Retractible | 1.30 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.46 Bid-YTW : 5.66 % |
| BAM.PR.K | Floater | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 16.26 Evaluated at bid price : 16.26 Bid-YTW : 3.24 % |
| SLF.PR.H | FixedReset | 1.33 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.90 Bid-YTW : 4.75 % |
| MFC.PR.B | Deemed-Retractible | 1.56 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 5.89 % |
| BAM.PR.R | FixedReset | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.64 Evaluated at bid price : 26.60 Bid-YTW : 3.51 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.D | FixedReset | 387,560 | Anonymous crossed 20,000 at 25.30. TD sold 16,900 to RBC at 25.25, and another 20,000 to Nesbitt at the same price. RBC crossed 37,200 at 25.25 and TD crossed 25,000 at the same price again. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.19 Evaluated at bid price : 25.26 Bid-YTW : 3.57 % |
| GWO.PR.N | FixedReset | 130,400 | RBC crossed blocks of 64,100 shares, 40,000 and 20,000, al at 23.50. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.48 Bid-YTW : 3.76 % |
| ENB.PR.B | FixedReset | 91,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-01-09 Maturity Price : 23.25 Evaluated at bid price : 25.35 Bid-YTW : 3.60 % |
| TD.PR.O | Deemed-Retractible | 83,186 | National sold 60,600 to anonymous at 25.88. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-02-08 Maturity Price : 25.75 Evaluated at bid price : 25.97 Bid-YTW : -9.05 % |
| SLF.PR.G | FixedReset | 81,250 | Nesbitt crossed blocks of 30,000 and 19,300, both at 22.60. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.60 Bid-YTW : 4.52 % |
| NA.PR.M | Deemed-Retractible | 80,000 | TD crossed blocks of 50,000 and 11,900, both at 27.28. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 26.00 Evaluated at bid price : 27.30 Bid-YTW : 2.63 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PR.A | Floater | Quote: 19.50 – 20.34 Spot Rate : 0.8400 Average : 0.6308 YTW SCENARIO |
| ELF.PR.G | Perpetual-Discount | Quote: 21.41 – 21.98 Spot Rate : 0.5700 Average : 0.4303 YTW SCENARIO |
| MFC.PR.G | FixedReset | Quote: 24.15 – 24.47 Spot Rate : 0.3200 Average : 0.1950 YTW SCENARIO |
| ENB.PR.A | Perpetual-Premium | Quote: 26.29 – 26.63 Spot Rate : 0.3400 Average : 0.2541 YTW SCENARIO |
| PWF.PR.F | Perpetual-Premium | Quote: 25.01 – 25.25 Spot Rate : 0.2400 Average : 0.1620 YTW SCENARIO |
| TD.PR.R | Deemed-Retractible | Quote: 27.08 – 27.30 Spot Rate : 0.2200 Average : 0.1467 YTW SCENARIO |