{"id":6782,"date":"2009-06-04T19:40:44","date_gmt":"2009-06-04T23:40:44","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6782"},"modified":"2009-06-04T19:40:44","modified_gmt":"2009-06-04T23:40:44","slug":"june-4-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6782","title":{"rendered":"June 4, 2009"},"content":{"rendered":"

I noted yesterday<\/a> that there had been a huge rally in junk bonds fuelled – at least in part – by issuer bids. The same thing is happening in asset-backeds<\/a>:<\/p>\n

European companies have increased purchases of their asset-backed bonds tenfold this year, taking advantage of prices that slumped 70 percent and signaling to investors that the worst of the recession may be over.<\/p>\n

HSBC Holdings Plc, Europe\u2019s biggest bank, is offering to buy as much as 4 billion pounds ($6.5 billion) of its notes secured by company loans. Canary Wharf Group Plc bought 119.8 million pounds of debt backed by offices in London\u2019s second financial district in April.<\/p>\n

All told, more than $1.8 billion of the debt was repurchased through public auctions this year by banks, real estate companies and the owner of the Greene King pub chain, according to data compiled by Bloomberg. That\u2019s up from $164 million in all of 2008.<\/p><\/blockquote>\n

The Bank of Canada kept the overnight rate at 25bp<\/a>:<\/p>\n

Information received since the Bank’s April Monetary Policy Report (MPR) is broadly consistent with the Bank’s medium-term outlook for output and inflation in Canada. The economy is undergoing major restructuring in a number of sectors. The already significant output gap will continue to widen through the third quarter, putting downward pressure on inflation. The Bank continues to expect that the global and Canadian recoveries will be more muted than usual.<\/p>\n

In recent weeks, financial conditions and commodity prices have improved significantly, and consumer and business confidence have recovered modestly. If the unprecedentedly rapid rise in the Canadian dollar (which reflects a combination of higher commodity prices and generalized weakness in the U.S. currency) proves persistent, it could fully offset these positive factors.<\/p>\n

The outlook is subject to considerable uncertainty. While the underlying macroeconomic risks are roughly balanced, the Bank judges that, as a consequence of operating at the effective lower bound, the overall risks to its inflation projection remain tilted slightly to the downside.<\/p>\n

Conditional on the outlook for inflation, the target overnight rate can be expected to remain at its current level until the end of the second quarter of 2010 in order to achieve the inflation target.<\/p><\/blockquote>\n

After today’s gains, PerpetualDiscounts now yield 6.31%, equivalent to 8.83% interest at the standard equivalency factor of 1.4x. With all these gains they still lagged long corporates<\/a>, which now yield 6.7%, so the pre-tax interest-equivalent spread is now about 213bp.<\/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>\n0.1959 %<\/td>\n1,306.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n7.20 %<\/td>\n5.73 %<\/td>\n30,157<\/td>\n15.97<\/td>\n1<\/td>\n0.2656 %<\/td>\n2,094.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.89 %<\/td>\n3.33 %<\/td>\n80,071<\/td>\n18.85<\/td>\n3<\/td>\n0.1959 %<\/td>\n1,631.7<\/td>\n<\/tr>\n
OpRet<\/td>\n5.00 %<\/td>\n3.78 %<\/td>\n142,126<\/td>\n2.55<\/td>\n14<\/td>\n0.2105 %<\/td>\n2,172.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.94 %<\/td>\n6.38 %<\/td>\n53,973<\/td>\n4.26<\/td>\n3<\/td>\n-0.4495 %<\/td>\n1,837.1<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.00 %<\/td>\n7.53 %<\/td>\n26,210<\/td>\n0.55<\/td>\n1<\/td>\n0.0000 %<\/td>\n1,987.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1706 %<\/td>\n1,729.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.35 %<\/td>\n6.31 %<\/td>\n163,433<\/td>\n13.49<\/td>\n71<\/td>\n0.1706 %<\/td>\n1,592.5<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.72 %<\/td>\n4.74 %<\/td>\n596,171<\/td>\n4.43<\/td>\n39<\/td>\n0.3263 %<\/td>\n1,997.5<\/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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.78 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 18.71
\nEvaluated at bid price : 18.71
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.71 %<\/td>\nAsset coverage of 1.9-:1 as of May 31 according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.40
\nBid-YTW : 11.95 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.58 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 11.81
\nEvaluated at bid price : 11.81
\nBid-YTW : 3.37 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 22.93
\nEvaluated at bid price : 23.08
\nBid-YTW : 6.17 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 18.50
\nEvaluated at bid price : 18.50
\nBid-YTW : 7.31 %<\/td>\n<\/tr>\n
NA.PR.P<\/td>\nFixedReset<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.25
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.25
\nBid-YTW : 7.32 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.07 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 6.27 %<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 19.88
\nEvaluated at bid price : 19.88
\nBid-YTW : 6.13 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-12-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.03
\nBid-YTW : 6.80 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetual-Discount<\/td>\n1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 21.80
\nEvaluated at bid price : 21.80
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.26
\nBid-YTW : 4.60 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 20.40
\nEvaluated at bid price : 20.40
\nBid-YTW : 6.38 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n2.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 21.84
\nEvaluated at bid price : 22.20
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n2.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 11.95
\nEvaluated at bid price : 11.95
\nBid-YTW : 3.33 %<\/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
BAM.PR.P<\/td>\nFixedReset<\/td>\n947,772<\/td>\nNew issue settled today<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 25.20
\nEvaluated at bid price : 25.25
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n237,792<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.14
\nBid-YTW : 5.51 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n141,413<\/td>\nRBC crossed blocks of 90,000 and 25,000 and 10,000 shares, all at 24.90.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.89
\nBid-YTW : 4.17 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n65,220<\/td>\nNesbitt crossed 50,000 shares at 17.90.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 17.91
\nEvaluated at bid price : 17.91
\nBid-YTW : 6.31 %<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n55,650<\/td>\nNesbitt crossed 49,500 at 19.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-04
\nMaturity Price : 19.81
\nEvaluated at bid price : 19.81
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n40,215<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.06
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
There were 50 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

I noted yesterday that there had been a huge rally in junk bonds fuelled – at least in part – by issuer bids. The same thing is happening in asset-backeds: European companies have increased purchases …<\/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-6782","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6782","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=6782"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6782\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6782"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6782"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6782"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}