{"id":16272,"date":"2011-09-07T22:27:46","date_gmt":"2011-09-08T02:27:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=16272"},"modified":"2011-09-07T22:27:46","modified_gmt":"2011-09-08T02:27:46","slug":"september-7-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=16272","title":{"rendered":"September 7, 2011"},"content":{"rendered":"

There were no surprises in the BoC release<\/a>:<\/p>\n

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1 per cent. The Bank Rate is correspondingly 1 1\/4 per cent and the deposit rate is 3\/4 per cent.<\/p>\n

The global economic outlook has deteriorated in recent weeks as several downside risks to the projection in the Bank\u2019s July Monetary Policy Report (MPR) have been realized. The European sovereign debt crisis has intensified, a broad range of data has signalled slower global growth, and financial market volatility has increased sharply. Recent benchmark revisions show that the U.S. recession was deeper and its recovery has been shallower than previously reported. In combination with recent economic data, this implies that U.S. growth will be weaker than previously anticipated
…<\/b>
Slower global economic momentum will dampen domestic resource utilization and inflationary pressures. The Bank expects total CPI inflation to continue to moderate as temporary factors, such as significantly higher food and energy prices, unwind. Core inflation is expected to remain well-contained as labour compensation growth stays modest, productivity recovers, and inflation expectations remain well-anchored.<\/p>\n

Reflecting all of these factors, the Bank has decided to maintain the target for the overnight rate at 1 per cent. In light of slowing global economic momentum and heightened financial uncertainty, the need to withdraw monetary policy stimulus has diminished. The Bank will continue to monitor carefully economic and financial developments in the Canadian and global economies, together with the evolution of risks, and set monetary policy consistent with achieving the 2 per cent inflation target over the medium term.<\/p><\/blockquote>\n

There are rumours that the completely voluntary and not coerced in any way whatsoever Greek bond exchange offer might be in trouble<\/a>:<\/p>\n

Private sector participation in a Greek debt swap has so far reached the 75-percent mark, far below a 90 percent target, newspaper Imerisia reported on Wednesday without naming its sources.<\/p>\n

Greece last month turned the screws on investors, saying it may not go ahead with the debt swap\u2014a key part in a second bailout package to stave off the country’s bankruptcy\u2014if holders of less than 90 percent of the bonds take part.
…<\/b>
A Greek finance ministry official said it was too early to provide a take-up figure. “The process is ongoing, it is premature to give a percentage,” the official told Reuters on condition of anonymity.<\/p>\n

Greece has asked bondholders to declare their interest in taking part in the debt swap by Friday. Greece expects to submit a final bond swap offer to investors in October, with a view to complete the exercise by the end of the same month.<\/p><\/blockquote>\n

As I have often noted, bankruptcy laws evolved over a period of 300 years. To their vast astonishment, the Europeans are finding that the re-write may take a little time:<\/p>\n

The European Union is delaying proposals for senior bondholders of failing banks to take losses because the measures may spook investors at a time of market turbulence and they need more work, according to two people familiar with the situation.<\/p>\n

Michel Barnier, the EU\u2019s financial services commissioner, will unveil draft legislation on the measures in October at the earliest, said one of the people, who declined to be identified because negotiations on the proposals are continuing. The bondholder plans are part of broader proposals for orderly closure of failing lenders that the European Commission, the 27- nation EU\u2019s executive arm, had intended to present this month.<\/p>\n

World leaders in the Group of 20 nations are seeking to agree on measures to wind down failing lenders without the need for public bailouts.<\/p><\/blockquote>\n

There were no insider trading reports for YLO today, but I did learn that overlapping NCIBs are allowed<\/a> which seems a little strange to me. The TMX reported<\/a> no insider buying of YLO issues today.<\/p>\n

It was a good day overall for the Canadian preferred share market, with PerpetualDiscounts losing 4bp, FixedResets gaining 10bp and DeemedRetractibles winning 26bp. Volatility picked up, skewed to the upside. Volume was a little above average.<\/p>\n

PerpetualDiscounts now yield 5.29%, equivalent to 6.88% at the standard equivalency factor of 1.3x. Long-term Corporates<\/a> now yield about 4.9% (maybe a little less?) so the pre-tax interest-equivalent spread is now about 200bp, the same as it was on August 31<\/a> as both yields have declined about the same amount.<\/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>\n0.5349 %<\/td>\n2,161.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5349 %<\/td>\n3,250.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.99 %<\/td>\n3.34 %<\/td>\n58,962<\/td>\n18.83<\/td>\n3<\/td>\n0.5349 %<\/td>\n2,333.8<\/td>\n<\/tr>\n
OpRet<\/td>\n4.81 %<\/td>\n2.50 %<\/td>\n66,527<\/td>\n1.66<\/td>\n8<\/td>\n0.1304 %<\/td>\n2,450.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.37 %<\/td>\n0.07 %<\/td>\n54,860<\/td>\n0.47<\/td>\n4<\/td>\n0.1143 %<\/td>\n2,496.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1304 %<\/td>\n2,240.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n4.64 %<\/td>\n126,079<\/td>\n0.47<\/td>\n16<\/td>\n0.1983 %<\/td>\n2,114.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.29 %<\/td>\n5.36 %<\/td>\n111,093<\/td>\n14.84<\/td>\n14<\/td>\n-0.0389 %<\/td>\n2,244.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.10 %<\/td>\n205,024<\/td>\n2.65<\/td>\n59<\/td>\n0.1049 %<\/td>\n2,329.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.04 %<\/td>\n4.59 %<\/td>\n251,901<\/td>\n4.56<\/td>\n46<\/td>\n0.2611 %<\/td>\n2,199.6<\/td>\n<\/tr>\n<\/table>\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
FTS.PR.H<\/td>\nFixedReset<\/td>\n-2.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 23.38
\nEvaluated at bid price : 25.31
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 23.66
\nEvaluated at bid price : 23.94
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-24
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.84
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 5.41 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 21.01
\nEvaluated at bid price : 21.01
\nBid-YTW : 2.51 %<\/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
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n215,869<\/td>\nRBC crossed 194,600 at 25.20.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.15
\nBid-YTW : 4.51 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nDeemed-Retractible<\/td>\n91,790<\/td>\nRBC crossed blocks of 50,000 and 23,000, both at 25.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.12
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nDeemed-Retractible<\/td>\n80,110<\/td>\nDesjardins crossed 59,900 at 21.90.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.90
\nBid-YTW : 6.07 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nDeemed-Retractible<\/td>\n70,347<\/td>\nTD crossed 50,100 at 21.83.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.83
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n56,030<\/td>\nNational Bank crossed 50,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 24.68
\nEvaluated at bid price : 25.00
\nBid-YTW : 5.68 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n54,957<\/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 : 25.04
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
There were 35 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
FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.31 – 25.80
\nSpot Rate : 0.4900
\nAverage : 0.2970<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 23.38
\nEvaluated at bid price : 25.31
\nBid-YTW : 2.91 %<\/td>\n<\/tr>\n

IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.06 – 23.48
\nSpot Rate : 0.4200
\nAverage : 0.2751<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.06
\nBid-YTW : 5.59 %<\/td>\n<\/tr>\n

IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.91 – 26.25
\nSpot Rate : 0.3400
\nAverage : 0.2169<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.91
\nBid-YTW : 5.43 %<\/td>\n<\/tr>\n

GWO.PR.M<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.45 – 25.81
\nSpot Rate : 0.3600
\nAverage : 0.2476<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.45
\nBid-YTW : 5.56 %<\/td>\n<\/tr>\n

CU.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.26 – 25.50
\nSpot Rate : 0.2400
\nAverage : 0.1650<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-03-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n

TRP.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.06 – 26.43
\nSpot Rate : 0.3700
\nAverage : 0.2975<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-09-07
\nMaturity Price : 23.52
\nEvaluated at bid price : 26.06
\nBid-YTW : 2.93 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There were no surprises in the BoC release: The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1 per cent. The Bank Rate is correspondingly 1 1\/4 …<\/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-16272","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16272","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=16272"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16272\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16272"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16272"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16272"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}