{"id":16823,"date":"2011-10-28T21:14:53","date_gmt":"2011-10-29T01:14:53","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=16823"},"modified":"2011-10-28T21:14:53","modified_gmt":"2011-10-29T01:14:53","slug":"october-28-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=16823","title":{"rendered":"October 28, 2011"},"content":{"rendered":"

Italy managed to sell some ten year paper<\/a>:<\/p>\n

Italy paid the most since joining the single currency to sell new 10-year debt on Friday in the first euro zone bond auction after European leaders agreed new steps to tackle the debt crisis.<\/p>\n

The auction yield on Italy’s March 2022 BTP bond rose to 6.06 percent from 5.86 percent a month ago.<\/p>\n

The Treasury managed to sell 7.94 bln euros of medium and long term paper, versus a target range of between 5.25 billion and 8.5 billion euros.<\/p><\/blockquote>\n

As Assiduous Reader prefhound<\/i> points out<\/a>, the big question going forward is: who buys European government debt going forward? I, personally, would be staying away from the peripheral countries and paying extra attention to credit fundamentals; the whole process has been intensely politicized and (in the case of CDS swaps) gamed.<\/p>\n

There’s also the question of … who buys European bank paper? The Europeans seem to regard their banks as their personal piggy-banks and the fall-out from a 50% nudge-wink-voluntary write-down remains to be determined.<\/p>\n

So is it a credit event<\/a>?:<\/p>\n

European leaders\u2019 agreement on a 50 percent haircut on Greek bonds may create an event of default if investors accept it, Fitch Ratings said in a statement today.<\/p>\n

\u201cThe 50 percent nominal haircut on the proposed bond exchange would be viewed by the agency as a default event under its Distressed Debt Exchange criteria,\u201d the statement said. While the accord is \u201ca necessary step to put the Greek sovereign\u2019s public finances on a more sustainable footing,\u201d Greece will face \u201csignificant challenges\u201d including ratios of government debt to gross domestic product at \u201cwell over 100 percent even in a positive scenario.\u201d
…<\/b>
\u201cIt\u2019s highly likely that all three rating agencies will classify this restructuring as a technical default,\u201d said Padhraic Garvey, head of developed debt-market strategy at ING Groep NV in Amsterdam. \u201cEven if it\u2019s voluntary, investors are left with a product that\u2019s lower in value to what they originally agreed.\u201d
…<\/b>
Fitch said in a separate report the Greek debt exchange \u201cwould likely result in a post-default rating in the \u2018B\u2019 category or lower depending on private creditor participation.\u201d<\/p>\n

The International Swaps and Derivatives Association, whose market decisions are binding, hasn\u2019t said whether the $3.7 billion of credit-default swaps linked to Greek government bonds should pay out, though it has indicated the decision hinges on whether investors accept losses voluntarily.<\/p>\n

A credit event can be caused by a reduction in principal or interest, postponement or deferral of payments or a change in the ranking or currency of obligations, according to the New York-based trade group\u2019s rules.<\/p>\n

ING\u2019S Garvey said Fitch\u2019s announcement probably won\u2019t trigger insurance contracts linked to the debt. \u201cThe indications are that ISDA won\u2019t class it as a credit event,\u201d he said.<\/p><\/blockquote>\n

One can only imagine what kind of pressures are being brought to bear on ISDA!<\/p>\n

Feeling victimized by preferred share credit rating cuts? Consider MF Global<\/a>!:<\/p>\n

Bonds of MF Global Holdings Ltd. (MF) declined to as low as 35 cents on the dollar after the futures broker run by Jon Corzine drew on its credit lines and Moody\u2019s Investors Service and Fitch Ratings cut the firm\u2019s ratings to junk.<\/p>\n

The company\u2019s $325 million of 6.25 percent bonds, issued at par in August, fell 11.9 cents to 50 cents on the dollar as of 5:17 p.m. in New York, for a yield of 25.2 percent, according to Trace, the bond-price reporting system of the Financial Industry Regulatory Authority.<\/p><\/blockquote>\n

The daily reporting for today will be greatly delayed, as the TSX is having a Disaster Recovery exercise, which may last until Sunday morning. I’ll update this post when I have the data.<\/p>\n

Update, 2011-10-28<\/b>: It took them long enough to get themselves organized, but Datalinx finally had Friday’s prices available late on Monday. No sign of Monday’s prices, though!<\/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-1.4234 %<\/td>\n2,040.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-1.4234 %<\/td>\n3,069.1<\/td>\n<\/tr>\n
Floater<\/td>\n3.53 %<\/td>\n3.50 %<\/td>\n158,004<\/td>\n18.51<\/td>\n2<\/td>\n-1.4234 %<\/td>\n2,203.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.83 %<\/td>\n2.63 %<\/td>\n64,050<\/td>\n1.53<\/td>\n8<\/td>\n0.1261 %<\/td>\n2,459.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.37 %<\/td>\n2.88 %<\/td>\n57,975<\/td>\n0.33<\/td>\n4<\/td>\n0.0311 %<\/td>\n2,498.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1261 %<\/td>\n2,248.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.67 %<\/td>\n3.78 %<\/td>\n108,446<\/td>\n1.86<\/td>\n13<\/td>\n0.1922 %<\/td>\n2,134.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.35 %<\/td>\n5.44 %<\/td>\n106,775<\/td>\n14.75<\/td>\n17<\/td>\n-0.0049 %<\/td>\n2,257.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.15 %<\/td>\n3.15 %<\/td>\n206,978<\/td>\n2.46<\/td>\n61<\/td>\n0.0691 %<\/td>\n2,335.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.06 %<\/td>\n4.49 %<\/td>\n211,182<\/td>\n3.93<\/td>\n46<\/td>\n-0.0032 %<\/td>\n2,207.7<\/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
BAM.PR.K<\/td>\nFloater<\/td>\n-2.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-10-28
\nMaturity Price : 14.67
\nEvaluated at bid price : 14.67
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n-1.96 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.03
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-10-28
\nMaturity Price : 23.53
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n
IAG.PR.F<\/td>\nDeemed-Retractible<\/td>\n-1.23 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.73
\nBid-YTW : 5.62 %<\/td>\n<\/tr>\n
BMO.PR.Q<\/td>\nFixedReset<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.11
\nBid-YTW : 3.27 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.01
\nBid-YTW : 5.71 %<\/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.D<\/td>\nPerpetual-Premium<\/td>\n222,291<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.05
\nBid-YTW : 5.23 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n134,884<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nOpRet<\/td>\n100,300<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.95
\nBid-YTW : 2.26 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n60,100<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-10-28
\nMaturity Price : 23.35
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n57,976<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.02
\nBid-YTW : 2.87 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n51,090<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.83
\nBid-YTW : 2.96 %<\/td>\n<\/tr>\n
There were 34 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
BAM.PR.K<\/td>\nFloater<\/td>\nQuote: 14.67 – 15.19
\nSpot Rate : 0.5200
\nAverage : 0.3435<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-10-28
\nMaturity Price : 14.67
\nEvaluated at bid price : 14.67
\nBid-YTW : 3.60 %<\/td>\n<\/tr>\n

CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\nQuote: 24.00 – 24.54
\nSpot Rate : 0.5400
\nAverage : 0.3944<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-10-28
\nMaturity Price : 23.53
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.84 %<\/td>\n<\/tr>\n

SLF.PR.F<\/td>\nFixedReset<\/td>\nQuote: 26.36 – 26.82
\nSpot Rate : 0.4600
\nAverage : 0.3420<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.36
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n

RY.PR.T<\/td>\nFixedReset<\/td>\nQuote: 27.01 – 27.40
\nSpot Rate : 0.3900
\nAverage : 0.2962<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.01
\nBid-YTW : 3.11 %<\/td>\n<\/tr>\n

GWO.PR.J<\/td>\nFixedReset<\/td>\nQuote: 26.03 – 26.50
\nSpot Rate : 0.4700
\nAverage : 0.3765<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.03
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n

IFC.PR.A<\/td>\nFixedReset<\/td>\nQuote: 24.86 – 25.10
\nSpot Rate : 0.2400
\nAverage : 0.1534<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.86
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Italy managed to sell some ten year paper: Italy paid the most since joining the single currency to sell new 10-year debt on Friday in the first euro zone bond auction after European leaders agreed …<\/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-16823","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16823","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=16823"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/16823\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=16823"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=16823"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=16823"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}