{"id":12258,"date":"2010-09-17T21:07:11","date_gmt":"2010-09-18T01:07:11","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=12258"},"modified":"2010-09-17T21:07:11","modified_gmt":"2010-09-18T01:07:11","slug":"september-17-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=12258","title":{"rendered":"September 17, 2010"},"content":{"rendered":"

Ireland needs some green<\/a>:<\/p>\n

Treasuries rose while the cost to insure Irish government bonds jumped to a record amid concern that Europe\u2019s debt crisis is worsening and American consumer confidence is slumping.
…<\/b>
The yield on the 10-year Irish bond surged 26 basis points to 6.29 percent in London. The spread with German bunds widened to as much as 389 basis points, or 3.89 percentage points, the most on record, according to Bloomberg generic data.
…<\/b>
Corporate creditworthiness in Europe is the best ever compared with governments, credit-default swap prices show, as companies cut debt while governments struggle with budget deficits.<\/p>\n

The difference between the Markit iTraxx Europe Index of corporate credit-default swaps and the Markit iTraxx SovX Western Europe Index of contracts tied to government debt widened 1 basis point to a record 49, according to data from CMA and JPMorgan Chase & Co.<\/p><\/blockquote>\n

I don’t think there’s much need to worry. I think all those patriotic Americans who funded the IRA<\/a> back in the eighties will be overjoyed to cut cheques to help out the old country.<\/p>\n

Speaking of Europe, there’s a very good article on Greece, with the obligatory “It’s all Goldman Sachs’ fault” paragraph in the middle, by Michael Lewis, titled Beware of Greeks bearing bonds<\/a> (hat tip: Financial Webring Forum<\/a>).<\/p>\n

A day of big volume on the Canadian preferred share market, with very strong returns: PerpetualDiscounts were up 45bp and FixedResets gained 12bp.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0554 %<\/td>\n2,094.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0554 %<\/td>\n3,173.6<\/td>\n<\/tr>\n
Floater<\/td>\n2.91 %<\/td>\n3.37 %<\/td>\n69,826<\/td>\n18.83<\/td>\n3<\/td>\n0.0554 %<\/td>\n2,262.0<\/td>\n<\/tr>\n
OpRet<\/td>\n4.85 %<\/td>\n0.59 %<\/td>\n86,715<\/td>\n0.20<\/td>\n9<\/td>\n0.2304 %<\/td>\n2,389.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.86 %<\/td>\n-33.52 %<\/td>\n63,365<\/td>\n0.09<\/td>\n2<\/td>\n1.0215 %<\/td>\n2,400.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2304 %<\/td>\n2,184.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.69 %<\/td>\n5.32 %<\/td>\n136,547<\/td>\n5.36<\/td>\n14<\/td>\n0.2550 %<\/td>\n1,988.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.54 %<\/td>\n5.64 %<\/td>\n189,904<\/td>\n14.41<\/td>\n63<\/td>\n0.4514 %<\/td>\n1,963.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.23 %<\/td>\n3.00 %<\/td>\n289,142<\/td>\n3.31<\/td>\n47<\/td>\n0.1245 %<\/td>\n2,273.7<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 22.87
\nEvaluated at bid price : 23.10
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.59
\nEvaluated at bid price : 21.59
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 22.00
\nEvaluated at bid price : 22.36
\nBid-YTW : 6.02 %<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.90
\nEvaluated at bid price : 22.02
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.72
\nEvaluated at bid price : 22.07
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 23.29
\nEvaluated at bid price : 24.50
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 22.48
\nEvaluated at bid price : 22.64
\nBid-YTW : 5.71 %<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.52
\nEvaluated at bid price : 21.83
\nBid-YTW : 5.13 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 23.09
\nEvaluated at bid price : 23.32
\nBid-YTW : 5.48 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.93
\nEvaluated at bid price : 22.05
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.66 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 22.44
\nEvaluated at bid price : 22.60
\nBid-YTW : 5.25 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.45
\nBid-YTW : 5.98 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 23.04
\nEvaluated at bid price : 23.25
\nBid-YTW : 5.39 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n2.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-10-17
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.98
\nBid-YTW : -55.95 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
GWL.PR.O<\/td>\nPerpetual-Premium<\/td>\n116,835<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-11-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n98,521<\/td>\nRBC bought 17,500 from anonymous at 25.20 and 10,900 from Nesbitt at the same price. Desjardins crossed 25,000 at 25.18.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.95 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n86,160<\/td>\nRBC bought two blocks of 11,000 each from anonymous, both at 28.45. RBC bought 10,000 from Desjardins at the same price. RBC crossed 13,400 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.42
\nBid-YTW : 2.85 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetual-Discount<\/td>\n83,789<\/td>\nRBC crossed blocks of 25,000 and 35,000, both at 21.75.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 21.46
\nEvaluated at bid price : 21.78
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n76,473<\/td>\nNesbitt crossed blocks of 17,400 and 46,800, both at 19.98.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-09-17
\nMaturity Price : 19.92
\nEvaluated at bid price : 19.92
\nBid-YTW : 5.88 %<\/td>\n<\/tr>\n
HSB.PR.E<\/td>\nFixedReset<\/td>\n68,766<\/td>\nRBC bought two blocks of 10,000 each from HSBC, both at 28.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.05
\nBid-YTW : 3.21 %<\/td>\n<\/tr>\n
There were 65 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Ireland needs some green: Treasuries rose while the cost to insure Irish government bonds jumped to a record amid concern that Europe\u2019s debt crisis is worsening and American consumer confidence is slumping.…The yield on the …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-12258","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12258","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=12258"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/12258\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=12258"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=12258"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=12258"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}