{"id":17420,"date":"2011-12-21T22:59:49","date_gmt":"2011-12-22T02:59:49","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17420"},"modified":"2011-12-21T22:59:49","modified_gmt":"2011-12-22T02:59:49","slug":"december-21-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17420","title":{"rendered":"December 21, 2011"},"content":{"rendered":"

The ECB is bailing out Europe<\/a>:<\/p>\n

The European Central Bank will lend euro-area banks a record amount for three years in its latest attempt to keep credit flowing to the economy during the sovereign debt crisis.<\/p>\n

The Frankfurt-based ECB awarded 489 billion euros ($645 billion) in 1,134-day loans today, the most ever in a single operation and more than economists\u2019 median estimate of 293 billion euros in a Bloomberg News survey. The ECB said 523 banks asked for the funds, which will be lent at the average of its benchmark interest rate — currently 1 percent — over the period of the loans. They start tomorrow.
…<\/b>
Yields on government bonds in Italy and Spain fell in the days after the ECB announced the loans on Dec. 8 as banks bought the securities to use them as collateral in today\u2019s tender. French President Nicolas Sarkozy has suggested banks could use the loans to buy even more government debt.<\/p>\n

Simon Derrick, chief currency strategist at Bank of New York Mellon Corp, said the loans amount to quantitative easing \u201cthrough the backdoor.\u201d<\/p><\/blockquote>\n

It was a strong day for the Canadian preferred share market, with PerpetualDiscounts up 13bp, FixedResets gaining 11bp and DeemedRetractibles winning 30bp. Volatility was good. Volume was average.<\/p>\n

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.6% so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 205bp, a slight tightening from the 210bp reported December 14<\/a>.<\/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-0.6429 %<\/td>\n2,026.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.92 %<\/td>\n4.67 %<\/td>\n39,407<\/td>\n17.00<\/td>\n1<\/td>\n-1.0753 %<\/td>\n3,134.0<\/td>\n<\/tr>\n
Floater<\/td>\n3.29 %<\/td>\n3.68 %<\/td>\n72,312<\/td>\n18.13<\/td>\n3<\/td>\n-0.6429 %<\/td>\n2,187.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.95 %<\/td>\n1.68 %<\/td>\n62,991<\/td>\n1.40<\/td>\n6<\/td>\n-0.0194 %<\/td>\n2,468.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.48 %<\/td>\n2.15 %<\/td>\n78,245<\/td>\n0.96<\/td>\n4<\/td>\n0.6194 %<\/td>\n2,551.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0194 %<\/td>\n2,256.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.48 %<\/td>\n0.34 %<\/td>\n91,561<\/td>\n0.09<\/td>\n18<\/td>\n0.0426 %<\/td>\n2,176.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.22 %<\/td>\n5.11 %<\/td>\n108,458<\/td>\n15.11<\/td>\n12<\/td>\n0.1260 %<\/td>\n2,327.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.10 %<\/td>\n2.97 %<\/td>\n220,343<\/td>\n2.46<\/td>\n64<\/td>\n0.1082 %<\/td>\n2,343.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.02 %<\/td>\n3.78 %<\/td>\n194,079<\/td>\n2.95<\/td>\n46<\/td>\n0.2968 %<\/td>\n2,236.1<\/td>\n<\/tr>\n<\/table>\n\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
BAM.PR.B<\/td>\nFloater<\/td>\n-2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-21
\nMaturity Price : 14.26
\nEvaluated at bid price : 14.26
\nBid-YTW : 3.68 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-21
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.32
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.82
\nBid-YTW : 5.29 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.78
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\n1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.56
\nBid-YTW : 4.14 %<\/td>\n<\/tr>\n
TRP.PR.C<\/td>\nFixedReset<\/td>\n1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-21
\nMaturity Price : 23.58
\nEvaluated at bid price : 26.20
\nBid-YTW : 2.71 %<\/td>\n<\/tr>\n
BNA.PR.E<\/td>\nSplitShare<\/td>\n2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.00
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nDeemed-Retractible<\/td>\n2.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 20.96
\nBid-YTW : 6.94 %<\/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.I<\/td>\nDeemed-Retractible<\/td>\n328,707<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-01-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 2.94 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n60,800<\/td>\nNesbitt bought 25,400 from RBC at 25.05; Desjardins crossed 14,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.12 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\n41,970<\/td>\nRBC crossed 16,900 at 23.75.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.78
\nBid-YTW : 5.50 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n35,400<\/td>\nRecent fire sale<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.78
\nBid-YTW : 4.92 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n30,987<\/td>\nDesjardins crossed blocks of 10,000 and 15,000, both at 19.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-21
\nMaturity Price : 19.39
\nEvaluated at bid price : 19.39
\nBid-YTW : 2.72 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n29,970<\/td>\nScotia crossed 13,500 at 26.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.10
\nBid-YTW : 3.09 %<\/td>\n<\/tr>\n
There were 29 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.G<\/td>\nFixedReset<\/td>\nQuote: 26.00 – 26.65
\nSpot Rate : 0.6500
\nAverage : 0.3986<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.01 %<\/td>\n<\/tr>\n

BNA.PR.E<\/td>\nSplitShare<\/td>\nQuote: 23.00 – 23.80
\nSpot Rate : 0.8000
\nAverage : 0.6104<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2017-12-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.00
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n

BMO.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.92 – 27.35
\nSpot Rate : 0.4300
\nAverage : 0.2689<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.92
\nBid-YTW : 3.00 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.68 – 27.20
\nSpot Rate : 0.5200
\nAverage : 0.3698<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.68
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n

BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 26.05 – 26.50
\nSpot Rate : 0.4500
\nAverage : 0.3441<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-12-21
\nMaturity Price : 23.51
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.58 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.20 – 26.55
\nSpot Rate : 0.3500
\nAverage : 0.2481<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-10-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.20
\nBid-YTW : 5.14 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The ECB is bailing out Europe: The European Central Bank will lend euro-area banks a record amount for three years in its latest attempt to keep credit flowing to the economy during the sovereign debt …<\/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-17420","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17420","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=17420"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17420\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17420"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17420"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17420"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}