{"id":5373,"date":"2009-02-05T20:57:03","date_gmt":"2009-02-06T00:57:03","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=5373"},"modified":"2009-02-05T20:57:03","modified_gmt":"2009-02-06T00:57:03","slug":"february-5-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=5373","title":{"rendered":"February 5, 2009"},"content":{"rendered":"

The Russian Central Bank has come up with a novel bank recapitalization technique<\/a>:<\/p>\n

Russia\u2019s central bank is exacerbating the ruble\u2019s 34 percent plunge since August, even as it struggles to defend the exchange rate, by providing loans to banks that speculate on the currency, say Alfa Bank and UniCredit SpA.<\/p>\n

Bank Rossii lent 7.7 trillion rubles ($214 billion) in overnight and seven-day loans secured with bonds or other collateral in the 16 trading days last month, about double the 4.8 trillion rubles provided in so-called repurchase auctions in December, central bank data show. Banks used \u201calmost all\u201d the money to bet against the ruble, said Natalia Orlova, chief economist at Alfa, Russia\u2019s largest non-government bank. The ruble fell 18 percent against the dollar in January.<\/p>\n

\u201cA significant amount, if not all, of the speculative attacks on the ruble are funded by the central bank itself,\u201d said Vladimir Osakovsky, Moscow-based economist for UniCredit, Italy\u2019s largest bank.<\/p><\/blockquote>\n

Across the Curve<\/i> believes that Treasury issuance is going to lead to higher government bond yields<\/a> in the near future.<\/p>\n

PerpetualDiscounts edged slightly lower today. Market volume was reasonable, but dominated by the recent Fixed-Reset issues.<\/p>\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>\n5.36 %<\/td>\n3.86 %<\/td>\n24,117<\/td>\n17.63<\/td>\n2<\/td>\n-0.1024 %<\/td>\n855.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.26 %<\/td>\n6.98 %<\/td>\n68,178<\/td>\n13.93<\/td>\n7<\/td>\n-0.0367 %<\/td>\n1,382.3<\/td>\n<\/tr>\n
Floater<\/td>\n5.38 %<\/td>\n4.42 %<\/td>\n29,436<\/td>\n16.55<\/td>\n4<\/td>\n0.2567 %<\/td>\n976.7<\/td>\n<\/tr>\n
OpRet<\/td>\n5.29 %<\/td>\n4.70 %<\/td>\n158,414<\/td>\n4.02<\/td>\n15<\/td>\n0.2673 %<\/td>\n2,031.7<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.23 %<\/td>\n9.14 %<\/td>\n72,246<\/td>\n4.08<\/td>\n15<\/td>\n-0.2025 %<\/td>\n1,787.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n7.08 %<\/td>\n8.13 %<\/td>\n35,895<\/td>\n0.86<\/td>\n2<\/td>\n0.0000 %<\/td>\n1,998.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0337 %<\/td>\n1,555.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.91 %<\/td>\n6.96 %<\/td>\n208,178<\/td>\n12.63<\/td>\n71<\/td>\n-0.0337 %<\/td>\n1,432.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n6.13 %<\/td>\n5.84 %<\/td>\n702,013<\/td>\n13.84<\/td>\n27<\/td>\n0.0942 %<\/td>\n1,794.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
CM.PR.K<\/td>\nFixedReset<\/td>\n-3.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 5.54 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-2.47 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 20.52
\nEvaluated at bid price : 20.52
\nBid-YTW : 7.16 %<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n-2.45 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 22.24
\nEvaluated at bid price : 22.30
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n-2.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 18.82
\nEvaluated at bid price : 18.82
\nBid-YTW : 7.21 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 16.47
\nEvaluated at bid price : 16.47
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 17.35
\nEvaluated at bid price : 17.35
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 18.06
\nEvaluated at bid price : 18.06
\nBid-YTW : 6.71 %<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n-1.25 %<\/td>\nAsset coverage of 1.6-:1 as of January 30, according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.70
\nBid-YTW : 8.18 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.55
\nBid-YTW : 4.22 %<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n-1.18 %<\/td>\nAsset coverage of 1.1-:1 as of January 30, according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2014-12-01
\nMaturity Price : 10.00
\nEvaluated at bid price : 7.56
\nBid-YTW : 11.18 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 15.31
\nEvaluated at bid price : 15.31
\nBid-YTW : 7.48 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 16.33
\nEvaluated at bid price : 16.33
\nBid-YTW : 7.28 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.02 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 16.81
\nEvaluated at bid price : 16.81
\nBid-YTW : 7.34 %<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.68 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 19.90
\nBid-YTW : 11.22 %<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.26
\nEvaluated at bid price : 21.26
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 22.06
\nEvaluated at bid price : 22.10
\nBid-YTW : 4.85 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.31
\nEvaluated at bid price : 21.31
\nBid-YTW : 6.24 %<\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixedFloater<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 25.00
\nEvaluated at bid price : 15.20
\nBid-YTW : 7.12 %<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetual-Discount<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 44.58
\nEvaluated at bid price : 46.01
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n1.62 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.86
\nEvaluated at bid price : 21.90
\nBid-YTW : 4.87 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 21.96
\nEvaluated at bid price : 22.00
\nBid-YTW : 4.67 %<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetual-Discount<\/td>\n2.46 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 19.99
\nEvaluated at bid price : 19.99
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Discount<\/td>\n2.56 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-02-05
\nMaturity Price : 23.36
\nEvaluated at bid price : 23.65
\nBid-YTW : 5.92 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n3.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 18.21
\nBid-YTW : 10.20 %<\/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.L<\/td>\nFixedReset<\/td>\n211,510<\/td>\nRecent new issue<\/a>
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.91
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n151,333<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.93
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n118,520<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.93
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
TD.PR.G<\/td>\nFixedReset<\/td>\n116,265<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.90
\nBid-YTW : 6.42 %<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n84,300<\/td>\nRBC crossed 71,800 at 8.71.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2011-06-30
\nMaturity Price : 10.00
\nEvaluated at bid price : 8.58
\nBid-YTW : 12.65 %<\/td>\n<\/tr>\n
NA.PR.P<\/td>\nFixedReset<\/td>\n35,150<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.85
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n
There were 22 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The Russian Central Bank has come up with a novel bank recapitalization technique: Russia\u2019s central bank is exacerbating the ruble\u2019s 34 percent plunge since August, even as it struggles to defend the exchange rate, by …<\/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-5373","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5373","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=5373"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/5373\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=5373"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=5373"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=5373"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}