Treasuries rose while the cost to insure Irish government bonds jumped to a record amid concern that Europe’s debt crisis is worsening and American consumer confidence is slumping.
…
The yield on the 10-year Irish bond surged 26 basis points to 6.29 percent in London. The spread with German bunds widened to as much as 389 basis points, or 3.89 percentage points, the most on record, according to Bloomberg generic data.
…
Corporate creditworthiness in Europe is the best ever compared with governments, credit-default swap prices show, as companies cut debt while governments struggle with budget deficits.The difference between the Markit iTraxx Europe Index of corporate credit-default swaps and the Markit iTraxx SovX Western Europe Index of contracts tied to government debt widened 1 basis point to a record 49, according to data from CMA and JPMorgan Chase & Co.
I don’t think there’s much need to worry. I think all those patriotic Americans who funded the IRA back in the eighties will be overjoyed to cut cheques to help out the old country.
Speaking of Europe, there’s a very good article on Greece, with the obligatory “It’s all Goldman Sachs’ fault” paragraph in the middle, by Michael Lewis, titled Beware of Greeks bearing bonds (hat tip: Financial Webring Forum).
A day of big volume on the Canadian preferred share market, with very strong returns: PerpetualDiscounts were up 45bp and FixedResets gained 12bp.
| 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 | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0554 % | 2,094.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0554 % | 3,173.6 |
| Floater | 2.91 % | 3.37 % | 69,826 | 18.83 | 3 | 0.0554 % | 2,262.0 |
| OpRet | 4.85 % | 0.59 % | 86,715 | 0.20 | 9 | 0.2304 % | 2,389.3 |
| SplitShare | 5.86 % | -33.52 % | 63,365 | 0.09 | 2 | 1.0215 % | 2,400.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2304 % | 2,184.8 |
| Perpetual-Premium | 5.69 % | 5.32 % | 136,547 | 5.36 | 14 | 0.2550 % | 1,988.8 |
| Perpetual-Discount | 5.54 % | 5.64 % | 189,904 | 14.41 | 63 | 0.4514 % | 1,963.3 |
| FixedReset | 5.23 % | 3.00 % | 289,142 | 3.31 | 47 | 0.1245 % | 2,273.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GWO.PR.G | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 22.87 Evaluated at bid price : 23.10 Bid-YTW : 5.64 % |
| RY.PR.E | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.59 Evaluated at bid price : 21.59 Bid-YTW : 5.27 % |
| ELF.PR.F | Perpetual-Discount | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 22.00 Evaluated at bid price : 22.36 Bid-YTW : 6.02 % |
| RY.PR.C | Perpetual-Discount | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.90 Evaluated at bid price : 22.02 Bid-YTW : 5.27 % |
| PWF.PR.K | Perpetual-Discount | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.72 Evaluated at bid price : 22.07 Bid-YTW : 5.68 % |
| PWF.PR.E | Perpetual-Discount | 1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 23.29 Evaluated at bid price : 24.50 Bid-YTW : 5.64 % |
| PWF.PR.L | Perpetual-Discount | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 22.48 Evaluated at bid price : 22.64 Bid-YTW : 5.71 % |
| RY.PR.A | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.52 Evaluated at bid price : 21.83 Bid-YTW : 5.13 % |
| HSB.PR.C | Perpetual-Discount | 1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 23.09 Evaluated at bid price : 23.32 Bid-YTW : 5.48 % |
| BMO.PR.J | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.93 Evaluated at bid price : 22.05 Bid-YTW : 5.15 % |
| RY.PR.B | Perpetual-Discount | 1.66 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 22.44 Evaluated at bid price : 22.60 Bid-YTW : 5.25 % |
| BNA.PR.C | SplitShare | 1.81 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 22.45 Bid-YTW : 5.98 % |
| HSB.PR.D | Perpetual-Discount | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 23.04 Evaluated at bid price : 23.25 Bid-YTW : 5.39 % |
| BAM.PR.I | OpRet | 2.98 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2010-10-17 Maturity Price : 25.50 Evaluated at bid price : 26.98 Bid-YTW : -55.95 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWL.PR.O | Perpetual-Premium | 116,835 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 2.97 % |
| MFC.PR.A | OpRet | 98,521 | RBC bought 17,500 from anonymous at 25.20 and 10,900 from Nesbitt at the same price. Desjardins crossed 25,000 at 25.18. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.95 % |
| CM.PR.L | FixedReset | 86,160 | RBC bought two blocks of 11,000 each from anonymous, both at 28.45. RBC bought 10,000 from Desjardins at the same price. RBC crossed 13,400 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 28.42 Bid-YTW : 2.85 % |
| BNS.PR.L | Perpetual-Discount | 83,789 | RBC crossed blocks of 25,000 and 35,000, both at 21.75. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 21.46 Evaluated at bid price : 21.78 Bid-YTW : 5.23 % |
| MFC.PR.B | Perpetual-Discount | 76,473 | Nesbitt crossed blocks of 17,400 and 46,800, both at 19.98. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-09-17 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 5.88 % |
| HSB.PR.E | FixedReset | 68,766 | RBC bought two blocks of 10,000 each from HSBC, both at 28.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-30 Maturity Price : 25.00 Evaluated at bid price : 28.05 Bid-YTW : 3.21 % |
| There were 65 other index-included issues trading in excess of 10,000 shares. | |||