Are the European dominoes falling?
The good news is Greece won’t default on March 20, and 10-year borrowing costs for Spain and Italy have dropped below 5 percent. The bad news is similar- maturity Portuguese bonds still yield more than 13 percent.
…
Unlimited European Central Bank loans to banks have halted a bond-market rout that prompted investors to drive German yields to record lows and yield premiums on the securities of its regional peers to euro-era highs. The Italian 10-year yield has dropped more than 150 basis points and the rate on similar- maturity Spanish debt is about 80 basis points lower since the ECB announced Dec. 8 it would offer loans to financial institutions through two longer-term refinancing operations.
It was another quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 6bp, FixedResets exactly flat, and DeemedRetractibles winning 10bp. There was an appropriately small Performance Highlights table generated; volume was a little below 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 | 0.8800 % | 2,451.9 |
| FixedFloater | 4.53 % | 3.92 % | 40,938 | 17.42 | 1 | -0.9924 % | 3,438.8 |
| Floater | 2.92 % | 2.94 % | 49,891 | 19.79 | 3 | 0.8800 % | 2,647.5 |
| OpRet | 4.91 % | 3.51 % | 53,067 | 1.24 | 6 | 0.2187 % | 2,493.3 |
| SplitShare | 5.28 % | -2.58 % | 89,255 | 0.76 | 4 | -0.0299 % | 2,676.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2187 % | 2,279.9 |
| Perpetual-Premium | 5.39 % | 0.65 % | 101,298 | 0.14 | 25 | 0.0568 % | 2,217.7 |
| Perpetual-Discount | 5.10 % | 5.09 % | 178,569 | 15.26 | 7 | -0.2645 % | 2,416.5 |
| FixedReset | 5.04 % | 2.83 % | 194,348 | 2.23 | 66 | 0.0000 % | 2,387.6 |
| Deemed-Retractible | 4.93 % | 3.81 % | 210,067 | 2.80 | 46 | 0.0986 % | 2,314.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.C | Floater | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-12 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 2.94 % |
| MFC.PR.C | Deemed-Retractible | 1.68 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 5.22 % |
| FTS.PR.E | OpRet | 1.69 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.54 Bid-YTW : 2.33 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| POW.PR.G | Perpetual-Premium | 85,130 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 5.24 % |
| MFC.PR.D | FixedReset | 78,734 | Nesbitt crossed 70,000 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 3.63 % |
| TD.PR.G | FixedReset | 75,236 | TD crossed 70,600 at 27.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.05 Bid-YTW : 2.62 % |
| RY.PR.Y | FixedReset | 75,100 | Scotia crossed blocks of 49,900 and 20,000, both at 27.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-11-24 Maturity Price : 25.00 Evaluated at bid price : 27.22 Bid-YTW : 2.80 % |
| BAM.PR.T | FixedReset | 61,611 | CIBC crossed 12,800 at 25.08. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-12 Maturity Price : 23.19 Evaluated at bid price : 25.11 Bid-YTW : 3.87 % |
| CM.PR.J | Deemed-Retractible | 59,746 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-04-30 Maturity Price : 26.00 Evaluated at bid price : 26.22 Bid-YTW : 1.54 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ELF.PR.G | Perpetual-Discount | Quote: 22.50 – 22.97 Spot Rate : 0.4700 Average : 0.3111 YTW SCENARIO |
| CU.PR.A | Perpetual-Premium | Quote: 25.67 – 26.05 Spot Rate : 0.3800 Average : 0.2647 YTW SCENARIO |
| RY.PR.W | Perpetual-Premium | Quote: 25.53 – 25.74 Spot Rate : 0.2100 Average : 0.1294 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 18.00 – 18.40 Spot Rate : 0.4000 Average : 0.3238 YTW SCENARIO |
| NA.PR.P | FixedReset | Quote: 27.15 – 27.50 Spot Rate : 0.3500 Average : 0.2797 YTW SCENARIO |
| ELF.PR.F | Perpetual-Discount | Quote: 24.40 – 24.74 Spot Rate : 0.3400 Average : 0.2741 YTW SCENARIO |