{"id":14560,"date":"2011-03-25T20:53:59","date_gmt":"2011-03-26T00:53:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=14560"},"modified":"2011-03-25T20:53:59","modified_gmt":"2011-03-26T00:53:59","slug":"march-25-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=14560","title":{"rendered":"March 25, 2011"},"content":{"rendered":"

Portugal’s problems deepened<\/a>:<\/p>\n

Portugal doesn\u2019t need a rescue, Prime Minister Jose Socrates said in Brussels, seeking to counter speculation of a bailout as talks began in Lisbon to end the political limbo after lawmakers rejected his budget cuts.<\/p>\n

Portuguese bonds fell, driving their yield to a euro-era record as investors anticipated that the country would follow Ireland and Greece in seeking a financial lifeline. A bailout may total as much as 70 billion euros ($99 billion), two European officials with direct knowledge of the matter said yesterday.
…<\/b>
The political deadlock comes as downgrades to Portugal\u2019s credit rating threaten to deepen its debt woes. Standard & Poor\u2019s and Fitch Ratings both cut Portugal\u2019s rating yesterday.
…<\/b>
Portugal\u2019s 10-year yield advanced as much as 14 basis points to 7.80 percent. The difference in yield that investors demand to hold the securities instead of German bunds widened 10 basis points to 451 basis points, the most since November. The Portuguese two-year yield increased as much as 38 basis points to 7.09 percent.<\/p>\n

Opposition parties united to reject additional cuts that were the equivalent of 4.5 percent of gross domestic product over three years. The package included a reduction in pensions of more than 1,500 euros a month and further decreases in tax benefits. The government said the extra measures were needed to trim the deficit to 4.6 percent of GDP this year and within the EU\u2019s 3 percent limit in 2012.<\/p><\/blockquote>\n

The Invisible Man would like us to believe that he has finally grown a pair<\/a>:<\/p>\n

The second minority government of Stephen Harper has fallen.<\/p>\n

Early Friday afternoon, 156 opposition MPs \u2013 all of the Liberals, New Democrats and Bloquistes present in the House of Commons \u2013 rose to support a motion of no-confidence.<\/p>\n

It was also a motion that declared the government to be in contempt of Parliament for its refusal to share information that opposition members said they needed to properly assess legislation put before them.<\/p><\/blockquote>\n

… but they’re probably just tied on with string.<\/p>\n

There was a slight upward trend in the Canadian preferred share market today, with PerpetualDiscounts exactly flat (!) and both FixedResets and DeemedRetractibles up 4bp. Volatility increased a little, but volume remains anemic.<\/p>\n\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>\n0.3241 %<\/td>\n2,394.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3241 %<\/td>\n3,601.4<\/td>\n<\/tr>\n
Floater<\/td>\n2.51 %<\/td>\n2.32 %<\/td>\n41,382<\/td>\n21.43<\/td>\n4<\/td>\n0.3241 %<\/td>\n2,585.5<\/td>\n<\/tr>\n
OpRet<\/td>\n4.88 %<\/td>\n3.67 %<\/td>\n57,169<\/td>\n1.14<\/td>\n9<\/td>\n0.1206 %<\/td>\n2,402.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.08 %<\/td>\n2.96 %<\/td>\n136,712<\/td>\n0.99<\/td>\n5<\/td>\n0.2171 %<\/td>\n2,490.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1206 %<\/td>\n2,196.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.73 %<\/td>\n5.65 %<\/td>\n134,406<\/td>\n6.12<\/td>\n10<\/td>\n-0.0040 %<\/td>\n2,037.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.51 %<\/td>\n5.54 %<\/td>\n124,155<\/td>\n14.50<\/td>\n14<\/td>\n0.0000 %<\/td>\n2,131.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.16 %<\/td>\n3.51 %<\/td>\n237,235<\/td>\n2.94<\/td>\n57<\/td>\n0.0431 %<\/td>\n2,283.9<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.22 %<\/td>\n5.15 %<\/td>\n332,538<\/td>\n8.26<\/td>\n53<\/td>\n0.0398 %<\/td>\n2,088.4<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.R<\/td>\nFixedReset<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 23.38
\nEvaluated at bid price : 25.81
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 22.99
\nEvaluated at bid price : 23.26
\nBid-YTW : 2.22 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 23.21
\nEvaluated at bid price : 23.45
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 5.10 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.75
\nBid-YTW : 3.87 %<\/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
W.PR.H<\/td>\nPerpetual-Discount<\/td>\n74,300<\/td>\nRBC crossed blocks of 25,000 shares, 22,500 and 22,600, all at 24.30.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 23.79
\nEvaluated at bid price : 24.09
\nBid-YTW : 5.81 %<\/td>\n<\/tr>\n
TD.PR.K<\/td>\nFixedReset<\/td>\n54,899<\/td>\nScotia crossed 26,900 at 27.60; TD crossed 24,500 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.58
\nBid-YTW : 3.36 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n51,745<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.81
\nBid-YTW : 3.90 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n50,810<\/td>\nRBC crossed 45,000 at 24.44.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 24.18
\nEvaluated at bid price : 24.44
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetual-Premium<\/td>\n44,150<\/td>\nDesjardins crossed 41,500 at 25.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.36
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
SLF.PR.F<\/td>\nFixedReset<\/td>\n42,370<\/td>\nDesjardins crossed 39,300 at 26.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.90
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n
There were 18 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\nThe market-maker was probably overwhelmed by the 400-share volume.<\/p>\n

See Update Below<\/i><\/b><\/p>\n

Quote: 26.75 – 28.25
\nSpot Rate : 1.5000
\nAverage : 0.8872<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.75
\nBid-YTW : 3.54 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.05 – 25.74
\nSpot Rate : 0.6900
\nAverage : 0.4413<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 4.02 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.86 – 26.48
\nSpot Rate : 0.6200
\nAverage : 0.4023<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.39 %<\/td>\n<\/tr>\n

FTS.PR.G<\/td>\nFixedReset<\/td>\nQuote: 26.00 – 26.49
\nSpot Rate : 0.4900
\nAverage : 0.2971<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.67 %<\/td>\n<\/tr>\n

TDS.PR.C<\/td>\nSplitShare<\/td>\nQuote: 10.43 – 10.86
\nSpot Rate : 0.4300
\nAverage : 0.2882<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-12-15
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.43
\nBid-YTW : -0.47 %<\/td>\n<\/tr>\n

PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.70 – 24.02
\nSpot Rate : 0.3200
\nAverage : 0.2123<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-03-25
\nMaturity Price : 23.45
\nEvaluated at bid price : 23.70
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n<\/table>\n

Update, 2011-3-29<\/b>: It took four days, but I was finally able to get Trades & Quotes data from the TMX – they had to recover it manually because their software isn’t working properly, as far as I can see.<\/p>\n

Anyway, in the period from 15:47:31, when 400 shares traded at 26.80, until the close at 16:00:00, there were 214 different quotes, all with a bid for 300 shares at 26.75 as algorithms jockeyed for position on the offer side. In this period the lowest offer was at 27.03, the highest at 28.25. There were nine instances of the offer side being 28.25.<\/p>\n

The Closing Quote was 26.75-16, 3×1. At 16:15:03 the offer of 100 shares at 27.16 was cancelled, resulting in a Last Quote of 26.75-28.25, 3×4.<\/p>\n","protected":false},"excerpt":{"rendered":"

Portugal’s problems deepened: Portugal doesn\u2019t need a rescue, Prime Minister Jose Socrates said in Brussels, seeking to counter speculation of a bailout as talks began in Lisbon to end the political limbo after lawmakers rejected …<\/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-14560","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14560","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=14560"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/14560\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=14560"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=14560"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=14560"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}