{"id":18354,"date":"2012-04-11T23:42:24","date_gmt":"2012-04-12T03:42:24","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=18354"},"modified":"2012-04-11T23:42:24","modified_gmt":"2012-04-12T03:42:24","slug":"april-11-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=18354","title":{"rendered":"April 11, 2012"},"content":{"rendered":"

Spain’s in trouble again<\/a>:<\/p>\n

European Central Bank Executive Board member Benoit Coeure triggered speculation that the bank will revive its bond-purchase program to lower Spain\u2019s borrowing costs as the region\u2019s debt crisis threatens to boil over again.<\/p>\n

Spanish \u201cmarket conditions are not justified,\u201d Coeure, who heads the ECB\u2019s market operations division, said at an event in Paris today. \u201cWill the ECB intervene? We have an instrument, the securities markets program, which hasn\u2019t been used recently but it still exists.\u201d
…<\/b>
The yield on Spanish 10-year bonds, which climbed to a four-month high of 5.99 percent this morning, slid to 5.82 percent after Coeure spoke. The euro gained more than a quarter of a cent to $1.3134 at 2 p.m. in Frankfurt and European stocks rose, with the Stoxx Europe 600 Index (SXXP) up 1 percent.<\/p>\n

Spain\u2019s 10-year borrowing costs have jumped more than 1 percentage point since March 2, when Prime Minister Mariano Rajoy said the country will miss a 2012 deficit goal approved by the European Union. The euro area\u2019s fourth largest economy is in recession and unemployment is nearing 24 percent.<\/p><\/blockquote>\n

It will be interesting to see how this plays out. ECB intervention may lower the probability of default, but its super-senior creditor status (seen in the Greek default) will increase the severity of default.<\/p>\n

The Canadian preferred share market drifted slightly upward today, with PerpetualPremiums winning 5bp, FixedResets gaining 2bp and DeemedRetractibles up 4bp. Volatility was good, with Floaters notable amongst the losers. Volume was a little below average.<\/p>\n

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> now yield about 4.45%, so the pre-tax interest-equivalent spread (in this context, the Seniority Spread) is now about 215bp, unchanged from the report of April 4<\/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-1.8724 %<\/td>\n2,354.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.40 %<\/td>\n3.75 %<\/td>\n37,502<\/td>\n17.88<\/td>\n1<\/td>\n1.6170 %<\/td>\n3,584.4<\/td>\n<\/tr>\n
Floater<\/td>\n3.07 %<\/td>\n3.08 %<\/td>\n47,496<\/td>\n19.53<\/td>\n3<\/td>\n-1.8724 %<\/td>\n2,542.1<\/td>\n<\/tr>\n
OpRet<\/td>\n4.76 %<\/td>\n3.05 %<\/td>\n48,536<\/td>\n1.18<\/td>\n5<\/td>\n-0.1224 %<\/td>\n2,506.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.26 %<\/td>\n-2.18 %<\/td>\n81,747<\/td>\n0.68<\/td>\n4<\/td>\n-0.0298 %<\/td>\n2,686.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1224 %<\/td>\n2,291.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.48 %<\/td>\n-1.48 %<\/td>\n84,797<\/td>\n0.14<\/td>\n23<\/td>\n0.0536 %<\/td>\n2,218.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.16 %<\/td>\n5.07 %<\/td>\n133,524<\/td>\n15.25<\/td>\n10<\/td>\n0.1488 %<\/td>\n2,415.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.02 %<\/td>\n3.07 %<\/td>\n184,280<\/td>\n2.18<\/td>\n67<\/td>\n0.0232 %<\/td>\n2,392.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.97 %<\/td>\n3.88 %<\/td>\n206,718<\/td>\n3.06<\/td>\n46<\/td>\n0.0397 %<\/td>\n2,302.2<\/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.B<\/td>\nFloater<\/td>\n-2.80 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n
BAM.PR.C<\/td>\nFloater<\/td>\n-1.71 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 17.25
\nEvaluated at bid price : 17.25
\nBid-YTW : 3.06 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.86
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.90
\nBid-YTW : 5.22 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 22.38
\nEvaluated at bid price : 21.60
\nBid-YTW : 3.75 %<\/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.E<\/td>\nPerpetual-Premium<\/td>\n80,265<\/td>\nDesjardins crossed 50,000 at 25.89; RBC crossed 25,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-11
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.85
\nBid-YTW : -24.87 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n79,020<\/td>\nTD crossed blocks of 40,000 and 25,000, both at 26.80.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.70
\nBid-YTW : 2.67 %<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n64,070<\/td>\nDesjardins crossed 60,000 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 23.50
\nEvaluated at bid price : 25.47
\nBid-YTW : 2.82 %<\/td>\n<\/tr>\n
BNS.PR.Z<\/td>\nFixedReset<\/td>\n58,413<\/td>\nTD crossed 50,000 at 25.10.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 3.20 %<\/td>\n<\/tr>\n
FTS.PR.E<\/td>\nOpRet<\/td>\n54,750<\/td>\nTD crossed 49,600 at 26.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-06-01
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.25
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n54,287<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 23.15
\nEvaluated at bid price : 25.18
\nBid-YTW : 3.65 %<\/td>\n<\/tr>\n
There were 27 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
MFC.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 22.86 – 23.18
\nSpot Rate : 0.3200
\nAverage : 0.2257<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.86
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n

BNA.PR.D<\/td>\nSplitShare<\/td>\nQuote: 26.37 – 26.57
\nSpot Rate : 0.2000
\nAverage : 0.1124<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-05-11
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.37
\nBid-YTW : -2.18 %<\/td>\n<\/tr>\n

BAM.PR.B<\/td>\nFloater<\/td>\nQuote: 17.01 – 17.45
\nSpot Rate : 0.4400
\nAverage : 0.3652<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 17.01
\nEvaluated at bid price : 17.01
\nBid-YTW : 3.10 %<\/td>\n<\/tr>\n

NA.PR.P<\/td>\nFixedReset<\/td>\nQuote: 26.77 – 27.00
\nSpot Rate : 0.2300
\nAverage : 0.1591<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.77
\nBid-YTW : 2.33 %<\/td>\n<\/tr>\n

FTS.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.50 – 25.82
\nSpot Rate : 0.3200
\nAverage : 0.2505<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-04-11
\nMaturity Price : 23.52
\nEvaluated at bid price : 25.50
\nBid-YTW : 3.02 %<\/td>\n<\/tr>\n

CM.PR.K<\/td>\nFixedReset<\/td>\nQuote: 26.45 – 26.67
\nSpot Rate : 0.2200
\nAverage : 0.1543<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.45
\nBid-YTW : 2.64 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Spain’s in trouble again: European Central Bank Executive Board member Benoit Coeure triggered speculation that the bank will revive its bond-purchase program to lower Spain\u2019s borrowing costs as the region\u2019s debt crisis threatens to boil …<\/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-18354","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18354","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=18354"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/18354\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=18354"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=18354"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=18354"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}