I found this ISDA ruling rather odd:
Default insurance on Greek debt won’t be paid out even after the nation negotiated the biggest sovereign-debt restructuring in history, the International Swaps & Derivatives Association ruled today.
The ECB’s exchange of Greek bonds for new securities that are exempt from losses being imposed on private investors hasn’t triggered $3.25 billion of outstanding credit-default swaps. ISDA’s determinations committee said the switch didn’t constitute subordination, one of the criteria for a payout under a restructuring credit event.
But actual implementation of (what I consider) the subordination may trigger payouts:
“The situation in the Hellenic Republic is still evolving” and today’s decisions “do not affect the right or ability to submit further questions,” ISDA said in a statement. The decision is not an expression of the committee’s “view as to whether a credit event could occur at a later date,” the association said.
A swaps payout may still happen if Greece uses collective action clauses on private investors who refuse to take so-called haircuts on their debt holdings, according to ISDA’s rules. Officials including former ECB President Jean-Claude Trichet have opposed triggering swaps because they’re concerned traders would be encouraged to bet against failing nations and worsen Europe’s debt crisis.
…
It costs $7.3 million in advance and $100,000 annually to insure $10 million of Greek debt for five years, signaling a 95 percent probability of default within that time. Greek 10-year bonds slumped to a record 19.14 cents on the euro after the ruling.
…
While Greece is negotiating the biggest ever debt restructuring, the volume of credit-default swaps on the line has tumbled. The net amount of debt protected is no more than for some companies and represents less than one percent of the nation’s bonds and loans outstanding.Credit-default swaps on Greece now cover $3.25 billion of debt, down from about $6 billion last year, according to the Depository Trust & Clearing Corp. That compares with a swaps settlement of $5.2 billion on Lehman Brothers Holdings Inc. in 2008.
Leave it to the banks to find a cross-selling opportunity!
We all know economic times have been tough. But if you happen to have an extra $25 million that you are willing to let JPMorgan Chase manage for you, there is at least one perk you can expect to receive that you won’t find anywhere else: The J.P. Morgan Palladium Card.
The card has been around for three years — although us hoi polloi wouldn’t know it — and a couple thousand have been issued. The card itself is actually made with palladium and 23-karat gold — reportedly putting its cost in materials alone at about $1,000 — giving it real heft when you hold it in your hand. It was also the first U.S. card with a smart chip on the front, making it a breeze for international travel (swipe technology is so passé abroad), along with some form of J.P. Morgan’s (the man’s) signature embossed on the front and your own signature embossed on the back.
And, on another light note, this report has been highlighted by PrefBlog’s Stereotypes Exist for a Reason! Department:
Which sites Canadians visited depended largely on their household incomes.
Those with a household income above $60,000 spent more time on sites dedicated to politics, education, online trading, books and business news. Those under that threshold? Their focus is on sites about dating, travel, gambling, music and cars.
Visits to pornographic websites were not included in the report.
March came in like a lion for the Canadian preferred share market, with PerpetualPremiums up 28bp, FixedResets up 21bp and DeemedRetractibles winning 35bp. All entries on the Performance Highlights table are winners. Volume was on the low side of average.
| 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 | 0.6197 % | 2,364.6 |
| FixedFloater | 4.54 % | 3.91 % | 39,945 | 17.44 | 1 | -0.3333 % | 3,435.5 |
| Floater | 3.03 % | 3.06 % | 51,333 | 19.51 | 3 | 0.6197 % | 2,553.1 |
| OpRet | 4.86 % | 2.69 % | 52,786 | 1.22 | 6 | 0.1591 % | 2,518.7 |
| SplitShare | 5.29 % | 0.06 % | 87,840 | 0.77 | 4 | 0.3505 % | 2,672.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1591 % | 2,303.1 |
| Perpetual-Premium | 5.39 % | -0.40 % | 112,242 | 0.17 | 25 | 0.2808 % | 2,218.0 |
| Perpetual-Discount | 5.05 % | 5.07 % | 195,142 | 15.30 | 7 | 0.3865 % | 2,441.4 |
| FixedReset | 5.04 % | 2.83 % | 215,285 | 2.24 | 66 | 0.2121 % | 2,387.0 |
| Deemed-Retractible | 4.91 % | 3.65 % | 238,273 | 2.62 | 46 | 0.3468 % | 2,316.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| SLF.PR.H | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.06 Bid-YTW : 4.29 % |
| BNS.PR.J | Deemed-Retractible | 1.08 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-29 Maturity Price : 25.00 Evaluated at bid price : 26.30 Bid-YTW : 2.32 % |
| RY.PR.H | Deemed-Retractible | 1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-24 Maturity Price : 26.00 Evaluated at bid price : 27.16 Bid-YTW : 1.82 % |
| PWF.PR.O | Perpetual-Premium | 1.41 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 4.78 % |
| BAM.PR.K | Floater | 1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-01 Maturity Price : 17.40 Evaluated at bid price : 17.40 Bid-YTW : 3.04 % |
| IFC.PR.C | FixedReset | 1.75 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.24 % |
| SLF.PR.G | FixedReset | 2.18 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.36 Bid-YTW : 3.76 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.D | FixedReset | 98,271 | Nesbitt sold 20,700 to RBC at 26.70, then crossed 40,000 at the same price. RBC crossed blocks of 12,000 at 26.87 and 12,100 at 26.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.63 Bid-YTW : 3.51 % |
| GWO.PR.P | Deemed-Retractible | 91,021 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.03 % |
| POW.PR.G | Perpetual-Premium | 75,845 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.25 % |
| PWF.PR.R | Perpetual-Premium | 70,066 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.16 % |
| BMO.PR.J | Deemed-Retractible | 30,399 | Desjardins crossed 11,000 at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.77 Bid-YTW : 3.70 % |
| CM.PR.J | Deemed-Retractible | 27,711 | Desjardins crossed 16,000 at 26.12. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-04-30 Maturity Price : 25.25 Evaluated at bid price : 26.06 Bid-YTW : 3.51 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.D | FixedReset | Quote: 26.63 – 26.99 Spot Rate : 0.3600 Average : 0.1977 YTW SCENARIO |
| BAM.PR.X | FixedReset | Quote: 24.85 – 25.20 Spot Rate : 0.3500 Average : 0.2561 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 26.61 – 26.85 Spot Rate : 0.2400 Average : 0.1676 YTW SCENARIO |
| FTS.PR.H | FixedReset | Quote: 25.64 – 26.00 Spot Rate : 0.3600 Average : 0.2901 YTW SCENARIO |
| RY.PR.T | FixedReset | Quote: 27.15 – 27.35 Spot Rate : 0.2000 Average : 0.1350 YTW SCENARIO |
| NA.PR.M | Deemed-Retractible | Quote: 27.15 – 27.35 Spot Rate : 0.2000 Average : 0.1388 YTW SCENARIO |