{"id":15172,"date":"2011-05-25T21:28:16","date_gmt":"2011-05-26T01:28:16","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15172"},"modified":"2011-05-25T21:28:16","modified_gmt":"2011-05-26T01:28:16","slug":"may-25-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15172","title":{"rendered":"May 25, 2011"},"content":{"rendered":"

Fitch has opined that German banks should survive a Greek Tragedy<\/a>:<\/p>\n

German banks have \u201cmanageable\u201d risks related to Greek sovereign debt and the Mediterranean country\u2019s economy, according to Fitch Ratings, which said it doesn\u2019t foresee any action on the lenders\u2019 credit ratings.
…<\/b>
\u201cA hypothetical 50 percent haircut of Greek sovereign exposure would not result in such a depletion of banks\u2019 capitalization that a rating action would automatically be triggered, even for the more exposed banks,\u201d Fitch said. \u201cThese either have strong owners, sufficient profitability or capital able to absorb potential losses without a structural impact on their business model, funding or franchise.\u201d<\/p>\n

German banks cut their holdings in Greece to $34 billion in the last quarter of 2010 from more than $40 billion, while the French have reduced claims to about $57 billion from $63 billion, according to figures from the Basel, Switzerland-based Bank for International Settlements. Commerzbank AG (CBK), Germany\u2019s second-biggest lender, said earlier this month that it would be able to absorb any \u201cstress\u201d related to its sovereign-debt holdings, such as a debt restructuring.<\/p><\/blockquote>\n

With all this stuff about Greece. it’s easy to forget Ireland. But bad things are happening there, too<\/a>:<\/p>\n

DBRS Inc. (DBRS) has today downgraded the subordinated debt ratings, including the Dated Subordinated Debt rating of The Governor and Company of the Bank of Ireland (Bank of Ireland or the Group), to CCC from B (high). The ratings of all subordinated debt of the Bank of Ireland remain Under Review with Negative Implications, where they were placed on 3 December 2010. The rating action reflects the recent actions towards subordinated bondholders at two of Bank of Ireland\u2019s domestic peers, and DBRS\u2019s view that there is an increasing likelihood of similar actions towards the Group\u2019s subordinated bondholders.<\/p>\n

The rating action also considers the Minster for Finance\u2019s comments that subordinated bondholders are expected to make noteworthy contributions to the incremental capital requirement under the PCAR results, which were acknowledged by the Bank of Ireland in its 1Q11 Interim Management Statement.<\/p><\/blockquote>\n

The bank’s Interim Management Statement<\/a> doesn’t say anything beyond what’s noted by DBRS, but certainly had a strong effect on the market<\/a>:<\/p>\n

Credit-default swaps insuring the subordinated debt of Bank of Ireland Plc surged on concern the government will impose losses on bondholders as it has done with Anglo Irish Bank Corp. and Allied Irish Banks Plc.<\/p>\n

Allied Irish this week offered to buy back junior debt at discounts of 75 percent to 90 percent prompting Standard & Poor\u2019s to downgrade the notes to the lowest D for default grade. The \u201cdistressed exchange\u201d is similar to that offered to Anglo Irish bondholders last year as the government seeks to share the costs of bailing out its lenders.<\/p>\n

\u201cThe coerciveness of the Irish government has spread from Anglo to Allied,\u201d said Alexander Plenk, an analyst at UniCredit SpA in Munich. \u201cThe offer they made was pretty much the same, and the fear in the market is that they will do the same thing with Bank of Ireland.\u201d<\/p><\/blockquote>\n

The Anglo-Irish swap<\/a> was coercive:<\/p>\n

ANGLO Irish Bank Corp offered to exchange \u20ac1.6 billion of subordinated debt at a discount, paying in new bonds at a rate of 20 cent on the euro as the nationalised lender seeks to generate capital.
…<\/b>
\nAnglo Irish will offer bondholders that don\u2019t take up the exchange 1 cent per \u20ac1,000 face amount to redeem their floating-rate notes due in 2014, 2016 and 2017, the lender said last night. The new securities will be due 2011 and guaranteed by the Government, according to the statement.<\/p><\/blockquote>\n

Allied Irish published their similar offer on May 13<\/a>.<\/p>\n

It was a mixed day on the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets basically flat and DeemedRetractibles up 11bp. Volatility – in the index-included issues! – was low and volume was average.<\/p>\n

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Long Corporates<\/a> now yield a little under 5.3% (!) so the pre-tax interest equivalent spread is now about 190bp, a sharp widening from the 180bp reported May 18<\/a>, as yields have moved in opposite directions.<\/p>\n

But the big news of the day was the yellow blood all over the carpet!<\/p>\n

\n\n\n\n\n\n\n\n
YLO Issues, 2011-5-25<\/td>\n<\/tr>\n
Ticker<\/td>\nQuote
5\/24<\/td>\n		Quote
5\/25<\/td>\n		Bid YTW
5\/25<\/td>\n		YTW
Scenario
5\/25<\/td>\n		Performance
5\/25
(bid\/bid)<\/td>\n<\/tr>\n
YLO.PR.A<\/td>\n24.11-24<\/td>\n23.84-95<\/td>\n7.85%<\/td>\nSoft Maturity
2012-12-30<\/td>\n		-1.12%<\/td>\n<\/tr>\n
YLO.PR.B<\/td>\n18.47-54<\/td>\n17.85-99<\/td>\n11.99%<\/td>\nSoft Maturity
2017-06-29<\/td>\n		-3.36%<\/td>\n<\/tr>\n
YLO.PR.C<\/td>\n19.80-20<\/td>\n18.88-00<\/td>\n8.93%<\/td>\nLimit Maturity<\/td>\n-4.65%<\/td>\n<\/tr>\n
YLO.PR.D<\/td>\n19.96-00<\/td>\n19.17-34<\/td>\n8.95%<\/td>\nLimit Maturity<\/td>\n-3.96%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

Cool!<\/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>\n0.2100 %<\/td>\n2,464.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2100 %<\/td>\n3,706.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.44 %<\/td>\n2.24 %<\/td>\n44,844<\/td>\n21.64<\/td>\n4<\/td>\n0.2100 %<\/td>\n2,661.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n3.49 %<\/td>\n62,211<\/td>\n0.42<\/td>\n9<\/td>\n0.0730 %<\/td>\n2,423.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.22 %<\/td>\n-2.15 %<\/td>\n60,083<\/td>\n0.56<\/td>\n6<\/td>\n0.0245 %<\/td>\n2,514.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0730 %<\/td>\n2,215.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.73 %<\/td>\n4.78 %<\/td>\n132,934<\/td>\n0.83<\/td>\n9<\/td>\n0.1807 %<\/td>\n2,068.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.48 %<\/td>\n5.55 %<\/td>\n123,524<\/td>\n14.49<\/td>\n15<\/td>\n0.0700 %<\/td>\n2,166.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.26 %<\/td>\n193,574<\/td>\n2.86<\/td>\n57<\/td>\n-0.0028 %<\/td>\n2,308.7<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.13 %<\/td>\n4.89 %<\/td>\n327,069<\/td>\n8.09<\/td>\n53<\/td>\n0.1135 %<\/td>\n2,144.6<\/td>\n<\/tr>\n<\/table>\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
NA.PR.P<\/td>\nFixedReset<\/td>\n-1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.27
\nBid-YTW : 3.32 %<\/td>\n<\/tr>\n
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 23.58
\nEvaluated at bid price : 23.81
\nBid-YTW : 5.16 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.98
\nBid-YTW : 2.89 %<\/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
GWO.PR.G<\/td>\nDeemed-Retractible<\/td>\n89,472<\/td>\nRBC crossed blocks of 19,000 and 30,700, both at 25.05.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.07
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n77,173<\/td>\nDesjardins crossed 60,000 at 21.91.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 21.55
\nEvaluated at bid price : 21.87
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n45,748<\/td>\nDesjardins crossed 27,200 at 19.45.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 19.49
\nEvaluated at bid price : 19.49
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n44,831<\/td>\nRBC crossed 38,000 at 26.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 3.17 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nDeemed-Retractible<\/td>\n41,623<\/td>\nTD crossed 29,300 at 24.32.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.31
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n41,000<\/td>\nNesbitt crossed 40,000 at 23.30.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 23.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 2.24 %<\/td>\n<\/tr>\n
There were 32 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
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.49 – 23.87
\nSpot Rate : 0.3800
\nAverage : 0.2710<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 23.24
\nEvaluated at bid price : 23.49
\nBid-YTW : 5.38 %<\/td>\n<\/tr>\n

POW.PR.C<\/td>\nPerpetual-Discount<\/td>\nQuote: 25.05 – 25.31
\nSpot Rate : 0.2600
\nAverage : 0.1771<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-05-25
\nMaturity Price : 24.80
\nEvaluated at bid price : 25.05
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n

GWO.PR.F<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.60 – 25.98
\nSpot Rate : 0.3800
\nAverage : 0.2995<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-10-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.60
\nBid-YTW : 4.63 %<\/td>\n<\/tr>\n

RY.PR.G<\/td>\nDeemed-Retractible<\/td>\nQuote: 24.29 – 24.47
\nSpot Rate : 0.1800
\nAverage : 0.1264<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.29
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.47 – 25.63
\nSpot Rate : 0.1600
\nAverage : 0.1107<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.47
\nBid-YTW : 5.70 %<\/td>\n<\/tr>\n

GWO.PR.J<\/td>\nFixedReset<\/td>\nQuote: 27.05 – 27.25
\nSpot Rate : 0.2000
\nAverage : 0.1508<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.05
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Fitch has opined that German banks should survive a Greek Tragedy: German banks have \u201cmanageable\u201d risks related to Greek sovereign debt and the Mediterranean country\u2019s economy, according to Fitch Ratings, which said it doesn\u2019t foresee …<\/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-15172","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15172","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=15172"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15172\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15172"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15172"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15172"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}