{"id":15329,"date":"2011-06-13T23:09:36","date_gmt":"2011-06-14T03:09:36","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15329"},"modified":"2011-06-13T23:09:36","modified_gmt":"2011-06-14T03:09:36","slug":"june-13-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15329","title":{"rendered":"June 13, 2011"},"content":{"rendered":"

Everything old is new again! Treasury STRIPS are popular<\/a>:<\/p>\n

Demand for zero-coupon bonds is rising so fast that Wall Street banks created $205.2 billion of them as of May, the most in three years and just $3.6 billion away from levels last seen at the beginning of 2000, according to the Treasury Department.
…<\/b>
Zero-coupon securities due in 30 years had their best and worst months in more than two decades during the last recession. The debt returned 26.7 percent in December 2008, a month after the consumer price index plunged 1.8 percent, the biggest drop in history, according to Bank of America Merrill Lynch index data. A month later, the securities lost 24 percent.<\/p><\/blockquote>\n

S&P downgrades Greece<\/a>:<\/p>\n

Greece had its credit rating cut three levels by Standard & Poor\u2019s, which branded the nation with the world\u2019s lowest debt grade and said a restructuring looks \u201cincreasingly likely.\u201d<\/p>\n

The move to CCC from B reflects \u201cour view that there is a significantly higher likelihood of one or more defaults,\u201d S&P said in a statement today. \u201cRisks for the implementation of Greece\u2019s EU\/IMF borrowing program are rising, given Greece\u2019s increased financing needs and ongoing internal political disagreements surrounding the policy conditions required.\u201d<\/p>\n

The downgrade follows Moody\u2019s Investors Service\u2019s decision this month to grade Greece only one level higher and may intensify pressure on European governments to stem the region\u2019s sovereign-debt crisis. Credit-default swaps on Greece, Ireland and Portugal surged to records today on concern governments\u2019 struggles to resolve the turmoil will threaten their ability to pay off their debts.<\/p><\/blockquote>\n

US housing remains nasty<\/a>:<\/p>\n

Southern California home prices fell 8.2 percent … as unemployment remained high and mortgages were hard to obtain, DataQuick said.<\/p>\n

The median paid in the six-county region was $280,000, down from $305,000 a year earlier and unchanged from April, the San Diego-based data seller said today in a statement. Sales fell 17 percent from May 2010 to a total of 18,394 new and resale houses and condominiums, the 11th straight year-over-year decline.<\/p><\/blockquote>\n

DBRS confirmed SLF<\/a>:<\/p>\n

In recent years, the requirement for additional regulatory capital at its operating subsidiaries has resulted in an increase in the Company\u2019s consolidated financial leverage as measured by the ratio of debt plus preferred shares to total capitalization. The Company is currently operating with this ratio at greater than 30%, which, while an increase from less than 25% which it reported five years ago, is no higher than its peers. Given the Company\u2019s relative conservatism from a business risk perspective, DBRS believes that this level is still acceptable for the Company\u2019s current ratings, especially given that several points of the recent increase in the debt ratio reflects the reduction in shareholders\u2019 equity related to the $1.7 billion writedown in goodwill following the implementation of IFRS. However, since higher leverage combined with weaker earnings has resulted in lower expected fixed charge coverage ratio, the Company does not have a lot of excess financial flexibility. Fortunately, the Company has excellent sources of liquidity as represented by excess regulatory capital, a highly liquid asset portfolio and about $800 million in cash on hand at the holding company level, which is available to reduce financial leverage.<\/p><\/blockquote>\n

… but they downgraded the Bank of Ireland<\/a>:<\/p>\n

DBRS Inc. (DBRS) today has downgraded the ratings of all dated subordinated debt issued by The Governor and Company of the Bank of Ireland (Bank of Ireland) to \u201cC\u201d from CCC. Furthermore, DBRS has downgraded Bank of Ireland\u2019s Primary Capital Notes to \u201cC\u201d from CCC (low), as well as the Perpetual Preferred Securities of various related entities to \u201cC\u201d from CC. Today\u2019s downgrade follows the announcement by the Bank of Ireland that it has commenced an offer to exchange the aforementioned securities for cash or equity and a solicitation of consents in relation to the securities. Moreover, DBRS expects to downgrade the securities discussed above to \u201cD\u201d at completion of the buyback; as such, the securities remain Under Review with Negative Implications, where they were placed on 3 December 2010.<\/p>\n

In DBRS\u2019s view, the exchange offer, when completed, is tantamount to a default as defined by DBRS policy. DBRS views the proposed exchange offer as coercive as the offer affords investors in these instruments limited options. Should investors in these instruments reject the proposed offer, at a 80-90% discount if accepting the cash option, or a 60-80% discount if accepting the equity option, on the tendered securities, they risk receiving substantially less if the proposed consent amendments are ratified. Remaining investors in these instruments would then receive 0.001% of par value, should the consent to allow the \u201cclean-up\u201d of residual notes be accepted by tendering investors.<\/p><\/blockquote>\n

Mean Joe Green used to crash through offensive lines. Mean Joe Yellow offensively crashes through your portfolio.<\/p>\n

\n\n\n\n\n\n\n\n
YLO Issues, 2011-6-13<\/td>\n<\/tr>\n
Ticker<\/td>\nQuote
6\/10<\/td>\n		Quote
6\/13<\/td>\n		Bid YTW
6\/13<\/td>\n		YTW
Scenario
6\/13<\/td>\n		Performance
6\/13
(bid\/bid)<\/td>\n<\/tr>\n
YLO.PR.A<\/td>\n22.51-78<\/td>\n22.22-29<\/td>\n12.26%<\/td>\nSoft Maturity
2012-12-30<\/td>\n		-1.29%<\/td>\n<\/tr>\n
YLO.PR.B<\/td>\n16.35-49<\/td>\n15.93-00<\/td>\n14.16%<\/td>\nSoft Maturity
2017-06-29<\/td>\n		-2.57%<\/td>\n<\/tr>\n
YLO.PR.C<\/td>\n16.24-39<\/td>\n16.12-22<\/td>\n10.03%<\/td>\nLimit Maturity<\/td>\n-0.74%<\/td>\n<\/tr>\n
YLO.PR.D<\/td>\n16.75-80<\/td>\n16.25-40<\/td>\n10.16%<\/td>\nLimit Maturity<\/td>\n-2.99%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

It was a mixed day on the Canadian preferred share market, with PerpetualDiscounts getting whacked for 30bp, FixedResets losing 5bp and DeemedRetractibles gaining 1bp. BAM and BAM-related issuers dominated the Performance table (BAM itself was ex-dividend today) and volume was actually quite good.<\/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>\n-0.0339 %<\/td>\n2,475.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0339 %<\/td>\n3,723.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.44 %<\/td>\n2.22 %<\/td>\n41,059<\/td>\n21.67<\/td>\n4<\/td>\n-0.0339 %<\/td>\n2,672.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.88 %<\/td>\n2.67 %<\/td>\n68,092<\/td>\n0.38<\/td>\n9<\/td>\n0.1770 %<\/td>\n2,430.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.25 %<\/td>\n-0.07 %<\/td>\n62,733<\/td>\n0.50<\/td>\n6<\/td>\n-0.1408 %<\/td>\n2,499.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1770 %<\/td>\n2,222.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.66 %<\/td>\n4.94 %<\/td>\n151,228<\/td>\n1.39<\/td>\n12<\/td>\n0.0033 %<\/td>\n2,076.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.46 %<\/td>\n5.58 %<\/td>\n120,360<\/td>\n14.42<\/td>\n18<\/td>\n-0.2975 %<\/td>\n2,176.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.26 %<\/td>\n186,618<\/td>\n2.82<\/td>\n57<\/td>\n-0.0544 %<\/td>\n2,313.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.07 %<\/td>\n4.89 %<\/td>\n295,150<\/td>\n8.18<\/td>\n47<\/td>\n0.0130 %<\/td>\n2,154.4<\/td>\n<\/tr>\n<\/table>\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
FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.98 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 23.03
\nEvaluated at bid price : 23.24
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.88 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 23.74
\nEvaluated at bid price : 24.05
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n-1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 21.30
\nEvaluated at bid price : 21.30
\nBid-YTW : 5.60 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 21.26
\nEvaluated at bid price : 21.26
\nBid-YTW : 5.61 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.20
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 2.78 %<\/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
CM.PR.J<\/td>\nDeemed-Retractible<\/td>\n84,525<\/td>\nDesjardins sold two blocks of 10,000 each to Nesbitt at 24.99, and crossed 45,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.95
\nBid-YTW : 4.61 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n64,577<\/td>\nNesbitt crossed 50,400 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.46
\nBid-YTW : 3.53 %<\/td>\n<\/tr>\n
RY.PR.T<\/td>\nFixedReset<\/td>\n46,490<\/td>\nRBC crossed 25,000 at 27.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-23
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.35
\nBid-YTW : 3.33 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nDeemed-Retractible<\/td>\n45,654<\/td>\nRBC crossed 30,000 at 25.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-02-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.80
\nBid-YTW : 4.76 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n39,837<\/td>\nNesbitt crossed 20,000 at 27.85.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.76
\nBid-YTW : 2.89 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n39,347<\/td>\nTD crossed 24,900 at 27.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.38
\nBid-YTW : 3.17 %<\/td>\n<\/tr>\n
There were 40 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
TRI.PR.B<\/td>\nFloater<\/td>\nQuote: 23.50 – 24.49
\nSpot Rate : 0.9900
\nAverage : 0.6369<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 23.20
\nEvaluated at bid price : 23.50
\nBid-YTW : 2.22 %<\/td>\n<\/tr>\n

POW.PR.B<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.05 – 24.60
\nSpot Rate : 0.5500
\nAverage : 0.3618<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 23.74
\nEvaluated at bid price : 24.05
\nBid-YTW : 5.65 %<\/td>\n<\/tr>\n

FTS.PR.F<\/td>\nPerpetual-Discount<\/td>\nQuote: 23.24 – 23.72
\nSpot Rate : 0.4800
\nAverage : 0.3085<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 23.03
\nEvaluated at bid price : 23.24
\nBid-YTW : 5.30 %<\/td>\n<\/tr>\n

MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.41 – 22.69
\nSpot Rate : 0.2800
\nAverage : 0.1803<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.41
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 25.74 – 26.05
\nSpot Rate : 0.3100
\nAverage : 0.2293<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-13
\nMaturity Price : 25.69
\nEvaluated at bid price : 25.74
\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n

BNA.PR.E<\/td>\nSplitShare<\/td>\nQuote: 24.20 – 24.50
\nSpot Rate : 0.3000
\nAverage : 0.2252<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.20
\nBid-YTW : 5.49 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Everything old is new again! Treasury STRIPS are popular: Demand for zero-coupon bonds is rising so fast that Wall Street banks created $205.2 billion of them as of May, the most in three years and …<\/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-15329","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15329","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=15329"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15329\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15329"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15329"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15329"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}