{"id":6851,"date":"2009-06-10T19:10:57","date_gmt":"2009-06-10T23:10:57","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6851"},"modified":"2009-06-10T19:10:57","modified_gmt":"2009-06-10T23:10:57","slug":"june-10-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6851","title":{"rendered":"June 10, 2009"},"content":{"rendered":"

Here’s a switch! Treasuries were under pressure today … Russia’s concerned about credit quality<\/a>:<\/p>\n

Thirty-year bond yields reached the most in a year after a Russian central bank official said the nation may buy International Monetary Fund bonds.
…<\/b>
Russia\u2019s central bank may switch some of its reserves from Treasuries to International Monetary Fund bonds, the bank\u2019s first deputy chairman, Alexei Ulyukayev, said in Moscow today. His comments were confirmed by a bank official who declined to be named, citing bank policy.<\/p>\n

Finance Minister Alexei Kudrin said last month that Russia planned to buy $10 billion of IMF bonds using money from its foreign reserves.<\/p>\n

Russia holds $138.4 billion of U.S. debt. China is the largest U.S. creditor, with $767.9 billion. The U.S. government must rely on foreign investors to sustain record borrowing.<\/p>\n

The dollar fell as Russia\u2019s announcement added to speculation central banks around the world may try to diversify their reserves away from the U.S. currency. The Dollar Index, used by the ICE to track the greenback against the euro, yen, pound, Canadian dollar, Swiss franc and Swedish krona, decreased 0.2 percent to 79.649, after sliding 1.3 percent yesterday.<\/p>\n

\u201cThe market is reacting to this Russia thing,\u201d said Arthur Bass, a managing director of derivatives in New York at the brokerage Newedge USA LLC. \u201cThe dollar has restarted its dive to lower levels.\u201d<\/p><\/blockquote>\n

Perhaps not surprisingly, the Treasury 10-year auction was horrible<\/a>:<\/p>\n

Treasuries declined, pushing 10-year yields to the highest level since October, as the government sold $19 billion of the securities and Russia said it may switch some reserves from U.S. debt.<\/p>\n

The notes drew a yield of 3.99 percent, the highest since August 2008. The auction was the second of three sales this week that will raise $65 billion, part of the government\u2019s record borrowing program. A Russian central bank official said the nation may buy International Monetary Fund bonds.<\/p>\n

\u201cThere are an awful lot of Treasuries being auctioned and there\u2019s going to be more and more and more and more,\u201d said Jay Mueller, who manages about $3 billion of bonds at Wells Fargo Capital Management in Milwaukee.<\/p>\n

The yield on the 10-year note rose seven basis points, or 0.07 percentage point, to 3.92 percent at 2:44 p.m. in New York, according to BGCantor Market Data. It earlier reached 3.99 percent, the highest since Oct. 16. The 3.125 percent security maturing in May 2019 declined 1\/2, or $5.00 per $1,000 face amount, to 93 1\/2.<\/p>\n

The 30-year bond yield touched 4.83 percent, the highest in a year. The government is scheduled to sell $11 billion of the securities tomorrow.<\/p><\/blockquote>\n

Lots of volume but not much price action for preferreds today, although Floaters got hit – largely due to TRI.PR.B, which had low volume and a high closing spread, so it’s not clear how seriously the decline should be taken. PerpetualDiscounts closed with a yield of 6.35%, equivalent to 8.89% interest at the standard equivalency factor of 1.4x; long corporates<\/a> are now yielding about 6.6%, having returned +3.43% on the month-to-date, so the pre-tax interest-equivalent spread is now about 229bp … up from the 213bp calculated on June 4<\/a> due almost entirely to a decline in long corporate bonds that has – over the week – been unmatched by preferred shares … the yield on PerpetualDiscounts is actually fractionally higher that it was at the last calculation.<\/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-1.9893 %<\/td>\n1,289.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.98 %<\/td>\n5.51 %<\/td>\n30,057<\/td>\n16.28<\/td>\n1<\/td>\n0.4516 %<\/td>\n2,159.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.92 %<\/td>\n3.28 %<\/td>\n86,200<\/td>\n18.96<\/td>\n3<\/td>\n-1.9893 %<\/td>\n1,610.9<\/td>\n<\/tr>\n
OpRet<\/td>\n4.98 %<\/td>\n3.81 %<\/td>\n135,650<\/td>\n0.94<\/td>\n14<\/td>\n0.1757 %<\/td>\n2,179.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.82 %<\/td>\n5.88 %<\/td>\n60,155<\/td>\n4.25<\/td>\n3<\/td>\n-0.0611 %<\/td>\n1,872.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n5.99 %<\/td>\n7.57 %<\/td>\n25,082<\/td>\n0.54<\/td>\n1<\/td>\n0.0000 %<\/td>\n1,989.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0174 %<\/td>\n1,734.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.33 %<\/td>\n6.35 %<\/td>\n160,883<\/td>\n13.37<\/td>\n71<\/td>\n-0.0174 %<\/td>\n1,597.4<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.68 %<\/td>\n4.79 %<\/td>\n557,261<\/td>\n4.36<\/td>\n39<\/td>\n0.0137 %<\/td>\n2,008.9<\/td>\n<\/tr>\n<\/table>\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
TRI.PR.B<\/td>\nFloater<\/td>\n-5.25 %<\/td>\nNot necessarily a meaningful decline, as this traded 1,975 shares in a range of 16.01-17.15 before closing at 16.25-10, 3×10.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 16.25
\nEvaluated at bid price : 16.25
\nBid-YTW : 2.44 %<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetual-Discount<\/td>\n-2.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 23.72
\nEvaluated at bid price : 23.91
\nBid-YTW : 6.35 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n-1.38 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 18.60
\nEvaluated at bid price : 18.60
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 18.78
\nEvaluated at bid price : 18.78
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 17.55
\nEvaluated at bid price : 17.55
\nBid-YTW : 6.43 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 18.66
\nEvaluated at bid price : 18.66
\nBid-YTW : 6.09 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 19.75
\nEvaluated at bid price : 19.75
\nBid-YTW : 6.22 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.96
\nBid-YTW : 4.86 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.21 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 21.75
\nEvaluated at bid price : 21.75
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 22.21
\nBid-YTW : 7.36 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 16.05
\nEvaluated at bid price : 16.05
\nBid-YTW : 7.59 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.81 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 18.56
\nEvaluated at bid price : 18.56
\nBid-YTW : 7.29 %<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetual-Discount<\/td>\n2.64 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 15.96
\nEvaluated at bid price : 15.96
\nBid-YTW : 7.63 %<\/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>\n128,920<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.37
\nBid-YTW : 6.76 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n99,685<\/td>\nNational bought two lots of 10,000 from RBC at 26.95, then crossed 30,000 at 27.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.96
\nBid-YTW : 4.52 %<\/td>\n<\/tr>\n
MFC.PR.E<\/td>\nFixedReset<\/td>\n98,740<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-10-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.17
\nBid-YTW : 5.53 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n88,225<\/td>\nRBC crossed 75,000 at 26.10, then another 10,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.05
\nBid-YTW : 3.81 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n66,350<\/td>\nNational bought 10,000 from Scotia at 27.10, then crossed 30,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.02
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n56,779<\/td>\nRBC crossed 25,000 at 24.99, then bought 10,000 from National at the same price. It is interesting to note that BNS.PR.Q carries terms of 5.00%+170 resetting in October 2013<\/a> and trades in block size at par … while today’s new BMO issue<\/a> is 5.40%+241 resetting in February 2015. Huh. Make of it what you will … that’s a pretty hefty new issue concession … or something.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-06-10
\nMaturity Price : 24.86
\nEvaluated at bid price : 24.91
\nBid-YTW : 4.58 %<\/td>\n<\/tr>\n
There were 51 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Here’s a switch! Treasuries were under pressure today … Russia’s concerned about credit quality: Thirty-year bond yields reached the most in a year after a Russian central bank official said the nation may buy International …<\/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-6851","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6851","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=6851"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6851\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6851"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6851"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6851"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}