{"id":17572,"date":"2012-01-13T20:28:46","date_gmt":"2012-01-14T00:28:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=17572"},"modified":"2012-01-13T20:28:46","modified_gmt":"2012-01-14T00:28:46","slug":"january-13-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=17572","title":{"rendered":"January 13, 2012"},"content":{"rendered":"

Greece got a a little closer to default<\/a>:<\/p>\n

Greece\u2019s creditor banks broke off talks after failing to agree with the government about how much money investors will lose by swapping their bonds, increasing the risk of the euro-area\u2019s first sovereign default.<\/p>\n

Proposals by a committee representing financial firms haven\u2019t produced a \u201cconstructive consolidated response by all parties,\u201d the Washington-based Institute of International Finance said in a statement today. Talks with Greece and the official sector are \u201cpaused for reflection on the benefits of a voluntary approach,\u201d the group said.<\/p>\n

Greek officials and the nation\u2019s creditors agreed in October to implement a 50 percent cut in the face value of Greek debt, with a goal of reducing Greece\u2019s borrowings to 120 percent of gross domestic product by 2020. More than two months after the accord was announced, the two sides still need to agree on the coupon and maturity of the new bonds to determine losses for investors. The IIF has aimed to implement the swap this month.<\/p><\/blockquote>\n

The entire idea of a voluntary and partial restructuring is hoplessly insane. Let’s hope that this ends with a lot of egg on Merkozy’s face.<\/p>\n

Certainly indications are that the politicians have blown it<\/a>:<\/p>\n

France\u2019s AAA rating will fall by one level at S&P, Finance Minister Francois Baroin told France 2 television today. Slovakia, Italy and Austria are among other countries to be downgraded, European officials said. Germany will keep its top rating, a person familiar with the matter said. S&P may release its report later today.<\/p>\n

The decisions came at the end of a week in which signs grew that Europe\u2019s woes may be cresting as borrowing costs fell, evidence of economic resilience emerged and the European Central Bank said it had quelled a credit crunch at banks. The immediate impact on French and Italian borrowing costs was limited, with the yield on 10-year government bonds rising 3 basis points and 1 basis point, respectively.<\/p>\n

\u201cIt\u2019s a reduction of one level, it\u2019s the same level as the U.S.,\u201d Baroin said. \u201cIt\u2019s not a catastrophe.\u201d<\/p><\/blockquote>\n

France was not alone<\/a>:<\/p>\n

France and Austria lost their top credit ratings in a string of downgrades that left Germany with the euro area\u2019s only stable AAA grade as Standard & Poor\u2019s warned that crisis-fighting efforts are still falling short.<\/p>\n

France and Austria were cut one level to AA+ from AAA and face the risk of further reductions, the rating company said in Frankfurt late yesterday. While Finland, the Netherlands and Luxembourg kept their AAA ratings, they were put on negative watch. Spain and Italy were also among the nine nations downgraded. The first gauge of the report\u2019s impact will come in two days when France sells as much as 8.7 billion euros ($11 billion) in bills.<\/p>\n

\u201cIn our view, the policy initiatives taken by European policy makers in recent weeks may be insufficient to fully address ongoing systemic stresses in the euro zone,\u201d S&P said in a statement.<\/p><\/blockquote>\n

Dimon had some observations on the ECB’s funding initiative<\/a>:<\/p>\n

\u201cIt eliminates bank liquidity or funding problems for at least the next year, that\u2019s a pretty powerful statement,\u201d Dimon said today after his company reported a drop in fourth-quarter net income. \u201cThat was the biggest single risk of an uncontrollable surprise right there, so if that\u2019s taken off the table, that\u2019s a good thing.\u201d
…<\/b>
Banks in Europe are still shedding so-called risk-weighted assets, or RWAs, because regulators are requiring them to increase their ratios of equity capital to RWAs, Dimon said.<\/p>\n

\u201cThey\u2019re still reducing RWA by not rolling things over, you can see them selling aircraft loans, trade finance, they\u2019re not participating as much in revolvers, there are certain conduits they\u2019re not doing anymore,\u201d Dimon said. \u201cBut that\u2019s now just to create capital, not because they have a funding problem.\u201d<\/p><\/blockquote>\n

It was a relatively quiet day for the Canadian preferred share market, with PerpetualDiscounts up 4bp, FixedResets down 2bp and DeemedRetractibles losing 9bp. Volatility was low, with SLF FixedResets doing a bit of catch-up. Volume was above-average.<\/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>\n0.6623 %<\/td>\n2,314.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.76 %<\/td>\n4.12 %<\/td>\n41,906<\/td>\n17.20<\/td>\n1<\/td>\n-0.1500 %<\/td>\n3,277.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.88 %<\/td>\n3.04 %<\/td>\n66,773<\/td>\n19.65<\/td>\n3<\/td>\n0.6623 %<\/td>\n2,498.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.96 %<\/td>\n1.56 %<\/td>\n65,344<\/td>\n1.34<\/td>\n7<\/td>\n-0.2958 %<\/td>\n2,491.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.37 %<\/td>\n0.90 %<\/td>\n67,232<\/td>\n0.90<\/td>\n4<\/td>\n0.3102 %<\/td>\n2,602.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.2958 %<\/td>\n2,278.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.43 %<\/td>\n-2.76 %<\/td>\n85,850<\/td>\n0.09<\/td>\n23<\/td>\n0.0059 %<\/td>\n2,203.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.05 %<\/td>\n4.90 %<\/td>\n146,422<\/td>\n15.57<\/td>\n7<\/td>\n0.0355 %<\/td>\n2,401.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.06 %<\/td>\n2.76 %<\/td>\n207,564<\/td>\n2.39<\/td>\n64<\/td>\n-0.0202 %<\/td>\n2,376.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.93 %<\/td>\n3.56 %<\/td>\n196,137<\/td>\n1.86<\/td>\n46<\/td>\n-0.0876 %<\/td>\n2,288.9<\/td>\n<\/tr>\n<\/table>\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
W.PR.H<\/td>\nPerpetual-Premium<\/td>\n-1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n
FTS.PR.C<\/td>\nOpRet<\/td>\n-1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-12
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.90
\nBid-YTW : -5.93 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
SLF.PR.G<\/td>\nFixedReset<\/td>\n1.83 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.87
\nBid-YTW : 3.86 %<\/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
HSE.PR.A<\/td>\nFixedReset<\/td>\n381,337<\/td>\nRBC crossed 125,000 at 25.97. Desjardins crossed blocks of 175,000 and 50,000 at 25.95 and RBC bought 19,300 from anonymous at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-13
\nMaturity Price : 23.51
\nEvaluated at bid price : 25.94
\nBid-YTW : 2.96 %<\/td>\n<\/tr>\n
HSB.PR.E<\/td>\nFixedReset<\/td>\n144,440<\/td>\nRBC crossed 136,000 at 27.25.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.15
\nBid-YTW : 3.07 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n134,540<\/td>\nRBC crossed 117,500 at 26.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 2.97 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nDeemed-Retractible<\/td>\n132,759<\/td>\nTD crossed 126,700 at 26.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-29
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.71
\nBid-YTW : 2.15 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nDeemed-Retractible<\/td>\n127,465<\/td>\nRBC crossed 115,400 at 23.20.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.27
\nBid-YTW : 5.77 %<\/td>\n<\/tr>\n
SLF.PR.H<\/td>\nFixedReset<\/td>\n113,963<\/td>\nRBC crossed 102,000 at 24.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 4.19 %<\/td>\n<\/tr>\n
There were 37 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
GWO.PR.I<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.60 – 23.98
\nSpot Rate : 0.3800
\nAverage : 0.2343<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.60
\nBid-YTW : 5.27 %<\/td>\n<\/tr>\n

W.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.52 – 25.90
\nSpot Rate : 0.3800
\nAverage : 0.2696<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.60 – 27.00
\nSpot Rate : 0.4000
\nAverage : 0.2974<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.60
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n

SLF.PR.I<\/td>\nFixedReset<\/td>\nQuote: 24.53 – 24.79
\nSpot Rate : 0.2600
\nAverage : 0.1669<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.53
\nBid-YTW : 4.44 %<\/td>\n<\/tr>\n

PWF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.55 – 25.84
\nSpot Rate : 0.2900
\nAverage : 0.2014<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-02-12
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : -22.96 %<\/td>\n<\/tr>\n

PWF.PR.A<\/td>\nFloater<\/td>\nQuote: 20.16 – 20.91
\nSpot Rate : 0.7500
\nAverage : 0.6707<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-01-13
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 2.62 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Greece got a a little closer to default: Greece\u2019s creditor banks broke off talks after failing to agree with the government about how much money investors will lose by swapping their bonds, increasing the risk …<\/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-17572","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17572","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=17572"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/17572\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=17572"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=17572"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=17572"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}