{"id":6340,"date":"2009-04-29T19:44:50","date_gmt":"2009-04-29T23:44:50","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6340"},"modified":"2009-04-29T19:44:50","modified_gmt":"2009-04-29T23:44:50","slug":"april-29-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6340","title":{"rendered":"April 29, 2009"},"content":{"rendered":"

Daniel Bouton is resigning as chairman of SocGen<\/a>, brought down – at least in part – by the Kerviel scandal which exposed grossly incompetent management.<\/p>\n

And Ken Lewis is defending his role in BofA’s Merrill purchase<\/a>, on the grounds that he is responsible for the global financial system. Perhaps the global financial system should be the one paying him.<\/p>\n

Ravi Balakrishnan (IMF), Stephan Danninger (IMF), Selim Elekdag (Central Bank Turkey) and Irina Tytell (IMF) have published an essay on VoxEU, How financial stress spreads – A first comprehensive look at the current crisis<\/a>, in which they claim:<\/p>\n

The twist in the current crisis is that bank-lending linkages appear to be the main driver, rather than the more mobile portfolio investment links that drove the Asian crisis. Since the mid-1990s, Western European banks have dominated bank-lending flows. Emerging Europe stands out as the largest recipient (Figure 2). Using an econometric model for stress transmission, we find that an increase in bank liabilities to Western Europe from 15% to 50% of GDP (roughly the difference between Emerging Europe and other emerging regions) doubles the strength of stress transmission. It is no surprise therefore that Emerging Europe was the first emerging market region to be hit hard by the crisis.<\/p><\/blockquote>\n

Just another reason to surcharge Risk-Weighted-Assets for bank size and for recent growth. There is also probably good reason to apply a higher risk-weight to holdings due from other banks.<\/p>\n

A very good day for the market on increased volume … possibly artificially juiced by portfolio adjustment for the closing of RY.PR.Y<\/a>. PerpetualDiscounts now yield 6.79%, equivalent to 9.51% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield 7.4% (a hair under? Maybe.), so the pre-tax interest-equivalent spread is now 211bp … about average for the Credit Crunch, well down from the highs of November, but still above the pre-Crunch range of 100-150bp.<\/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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3456 %<\/td>\n964.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3456 %<\/td>\n1,559.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.55 %<\/td>\n4.59 %<\/td>\n70,729<\/td>\n16.24<\/td>\n2<\/td>\n-0.3456 %<\/td>\n1,204.9<\/td>\n<\/tr>\n
OpRet<\/td>\n5.07 %<\/td>\n4.28 %<\/td>\n135,290<\/td>\n2.64<\/td>\n15<\/td>\n0.4952 %<\/td>\n2,144.2<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.58 %<\/td>\n8.09 %<\/td>\n46,631<\/td>\n5.61<\/td>\n3<\/td>\n0.5962 %<\/td>\n1,756.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.05 %<\/td>\n7.65 %<\/td>\n28,365<\/td>\n0.65<\/td>\n1<\/td>\n-0.3015 %<\/td>\n1,971.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.4027 %<\/td>\n1,644.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.65 %<\/td>\n6.79 %<\/td>\n141,829<\/td>\n12.86<\/td>\n71<\/td>\n0.4027 %<\/td>\n1,514.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.86 %<\/td>\n5.09 %<\/td>\n601,963<\/td>\n4.54<\/td>\n36<\/td>\n0.4076 %<\/td>\n1,931.2<\/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\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.92 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 22.81
\nEvaluated at bid price : 22.95
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 23.63
\nEvaluated at bid price : 23.67
\nBid-YTW : 4.23 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-12-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.00
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
BNA.PR.A<\/td>\nSplitShare<\/td>\n1.02 %<\/td>\nAsset coverage of 1.7+:1 as of March 31 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2010-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.75
\nBid-YTW : 7.74 %<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 20.37
\nEvaluated at bid price : 20.37
\nBid-YTW : 6.95 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 21.26
\nEvaluated at bid price : 21.26
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 18.26
\nEvaluated at bid price : 18.26
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 21.91
\nEvaluated at bid price : 22.00
\nBid-YTW : 6.60 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.19 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 20.39
\nEvaluated at bid price : 20.39
\nBid-YTW : 6.92 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 17.76
\nEvaluated at bid price : 17.76
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 17.06
\nEvaluated at bid price : 17.06
\nBid-YTW : 7.87 %<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 23.76
\nEvaluated at bid price : 24.05
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.27 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 18.20
\nEvaluated at bid price : 18.20
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 23.77
\nEvaluated at bid price : 23.81
\nBid-YTW : 4.56 %<\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 22.22
\nEvaluated at bid price : 22.50
\nBid-YTW : 7.04 %<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 5.03 %<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 22.35
\nEvaluated at bid price : 22.46
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 16.78
\nEvaluated at bid price : 16.78
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
BMO.PR.M<\/td>\nFixedReset<\/td>\n1.39 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 24.04
\nEvaluated at bid price : 24.11
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 23.15
\nEvaluated at bid price : 23.20
\nBid-YTW : 4.28 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetual-Discount<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 21.92
\nEvaluated at bid price : 22.01
\nBid-YTW : 6.41 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.50 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 17.64
\nEvaluated at bid price : 17.64
\nBid-YTW : 6.86 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n2.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.50
\nBid-YTW : 7.72 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n2.48 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 6.90 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n2.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.70
\nBid-YTW : 6.59 %<\/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
RY.PR.Y<\/td>\nFixedReset<\/td>\n985,152<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.48
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n81,085<\/td>\nRBC crossed 20,000 at 26.45. CIBC crossed 38,000 at 26.42.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.50
\nBid-YTW : 4.94 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n57,675<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 24.20
\nEvaluated at bid price : 24.25
\nBid-YTW : 5.64 %<\/td>\n<\/tr>\n
CM.PR.R<\/td>\nOpRet<\/td>\n48,900<\/td>\nScotia crossed 20,000 at 25.70, Nesbitt crossed 12,000 at 25.70, and anonymous bought 15,000 from CIBC at 25.75.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-05-30
\nMaturity Price : 25.60
\nEvaluated at bid price : 25.70
\nBid-YTW : 0.08 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n48,170<\/td>\nHoly smokes, a bid with a 27-handle! You young whippersnappers haven’t ever seen anything like it, eh?
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.00
\nBid-YTW : 5.09 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n47,452<\/td>\nScotia crossed 10,000 at 17.25.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-04-29
\nMaturity Price : 17.22
\nEvaluated at bid price : 17.22
\nBid-YTW : 6.88 %<\/td>\n<\/tr>\n
There were 44 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Daniel Bouton is resigning as chairman of SocGen, brought down – at least in part – by the Kerviel scandal which exposed grossly incompetent management. And Ken Lewis is defending his role in BofA’s Merrill …<\/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-6340","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6340","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=6340"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6340\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6340"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6340"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6340"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}