Spend-Every-Penny gave a speech to the UK Chamber of Commerce deemed to be too boring for the Department of Finance website. Highlights were:
“Issues like the concept of ‘too big to fail’ and ‘systemically important’ — quite frankly our view is that these are not useful discussions, and at the end of the day that these concepts are not workable.”
“We are against capital tax, we are against the tax on financial transactions, we are prepared to consider certain issues on contingent capital.”
“When you look at the causes of the crisis, one of the clear causes was excessive leverage, not only in some of the American institutions, but also some of the European institutions.
“Our primary concern overall is to get the leverage rules right and to try and get an agreement on that among our colleagues.”
Boston Fed boss Eric Rosengren also endorsed the idea when giving a speech on March 3, but only when answering a question; it was not part of his prepared remarks.
There was a good long article on the US TruPS CDO market today, albeit a little short on what I consider the interesting detail:
Hildene is part of a lawsuit seeking to prevent a TPG Credit Management LP affiliate from buying trust preferred securities from CDOs for pennies on the dollar. The firm tried to fire Cohen & Co. from managing deals in which Hildene invests. It’s attempting to block BankAtlantic Bancorp from retiring debt held by CDOs at a fraction of face value.
The moves by TPG Credit and BankAtlantic have in part kept the $50 billion market for CDOs backed by the trust securities, known as TruPS, from rebounding, according to Citigroup Inc., even as credit markets recover from the biggest financial crisis since the Great Depression. Since 2000, 1,813 banks and thrifts sold TruPS and other debt that were packaged inside the deals, according to Fitch Ratings.
…
Financial institutions relied on TruPS before credit markets began to seize up in 2007 because interest on the securities is paid from pre-tax income and may be suspended without penalty. The securities, which rank between senior bonds and common equity for repayment in a bankruptcy, also count toward regulatory capital requirements. New York-based Citigroup, 27 percent owned by the U.S. government, sold $2 billion of TruPS last week after repaying bailout funds.Community banks need the CDO market to revive to issue TruPS because they sell debt in increments of as little as $10 million, which insurers or mutual funds won’t buy. CDOs bought the most TruPS issued by smaller banks before credit markets froze, according to Citigroup.
European CDS spreads are increasing:
French President Nicolas Sarkozy is opposing Germany’s push for an International Monetary Fund loan to Greece, favoring a European solution for the nation as it struggles to lower the region’s biggest budget deficit. Greek bonds fell as the EU divisions widened.
…
Swaps on Greece jumped 22 basis points to 337.5, according to CMA DataVision prices. Contracts on Portugal climbed 14 to 138, Ireland rose 11 to 135.5, Italy increased 7.5 to 105.5 and Spain was up 11 basis points at 112. These countries are collectively known as the PIIGS.
PerpetualDiscounts got hammered today, losing 52bp, while FixedResets gained 7bp to set a new all-time yield low for that index. Volume was good, and there were a lot of entries on the performance highlights. Volatility = Good!
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 2.69 % | 2.77 % | 56,850 | 20.62 | 1 | -2.2791 % | 2,055.7 |
| FixedFloater | 5.06 % | 3.17 % | 44,478 | 19.97 | 1 | 0.9390 % | 3,125.7 |
| Floater | 1.95 % | 1.74 % | 49,102 | 23.20 | 4 | -1.1266 % | 2,365.3 |
| OpRet | 4.90 % | 3.22 % | 100,045 | 0.20 | 13 | 0.0119 % | 2,309.9 |
| SplitShare | 6.41 % | 6.39 % | 126,122 | 3.68 | 2 | -0.4622 % | 2,128.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0119 % | 2,112.2 |
| Perpetual-Premium | 5.91 % | 5.96 % | 117,322 | 6.86 | 7 | -0.1932 % | 1,884.5 |
| Perpetual-Discount | 5.94 % | 6.01 % | 178,210 | 13.87 | 71 | -0.5215 % | 1,779.3 |
| FixedReset | 5.35 % | 3.46 % | 350,686 | 3.69 | 43 | 0.0679 % | 2,205.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRI.PR.B | Floater | -3.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 22.98 Evaluated at bid price : 23.25 Bid-YTW : 1.66 % |
| BAM.PR.E | Ratchet | -2.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 21.68 Evaluated at bid price : 21.01 Bid-YTW : 2.77 % |
| BMO.PR.L | Perpetual-Discount | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 24.15 Evaluated at bid price : 24.36 Bid-YTW : 6.01 % |
| SLF.PR.B | Perpetual-Discount | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.66 Evaluated at bid price : 19.66 Bid-YTW : 6.13 % |
| SLF.PR.E | Perpetual-Discount | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 6.14 % |
| BNS.PR.M | Perpetual-Discount | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.61 Evaluated at bid price : 19.61 Bid-YTW : 5.84 % |
| BNS.PR.N | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 22.49 Evaluated at bid price : 22.63 Bid-YTW : 5.89 % |
| RY.PR.D | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.81 % |
| BNS.PR.L | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.63 Evaluated at bid price : 19.63 Bid-YTW : 5.83 % |
| GWO.PR.H | Perpetual-Discount | -1.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 6.09 % |
| PWF.PR.K | Perpetual-Discount | -1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 20.26 Evaluated at bid price : 20.26 Bid-YTW : 6.21 % |
| RY.PR.G | Perpetual-Discount | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 5.82 % |
| RY.PR.C | Perpetual-Discount | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.83 Evaluated at bid price : 19.83 Bid-YTW : 5.87 % |
| BNA.PR.C | SplitShare | -1.03 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 19.31 Bid-YTW : 8.07 % |
| CM.PR.J | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 19.32 Evaluated at bid price : 19.32 Bid-YTW : 5.92 % |
| SLF.PR.C | Perpetual-Discount | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 18.43 Evaluated at bid price : 18.43 Bid-YTW : 6.07 % |
| BAM.PR.H | OpRet | 1.63 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-04-18 Maturity Price : 25.50 Evaluated at bid price : 25.50 Bid-YTW : 3.22 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.B | FixedReset | 123,584 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-03-19 Maturity Price : 24.91 Evaluated at bid price : 24.96 Bid-YTW : 3.94 % |
| CM.PR.K | FixedReset | 82,370 | RBC crossed 81,000 at 26.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.95 Bid-YTW : 3.64 % |
| TD.PR.G | FixedReset | 66,983 | Desjardins crossed 50,000 at 28.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.29 Bid-YTW : 3.16 % |
| TD.PR.K | FixedReset | 66,865 | Desjardins crossed 49,300 at 28.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 28.36 Bid-YTW : 3.24 % |
| RY.PR.X | FixedReset | 63,491 | Nesbitt crossed 50,000 at 28.07. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.10 Bid-YTW : 3.43 % |
| TD.PR.M | OpRet | 52,700 | Desjardins crossed 50,000 at 26.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-05-30 Maturity Price : 25.75 Evaluated at bid price : 26.01 Bid-YTW : 2.50 % |
| There were 47 other index-included issues trading in excess of 10,000 shares. | |||