April 29, 2009

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 purchase, on the grounds that he is responsible for the global financial system. Perhaps the global financial system should be the one paying him.

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, in which they claim:

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.

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.

A very good day for the market on increased volume … possibly artificially juiced by portfolio adjustment for the closing of RY.PR.Y. PerpetualDiscounts now yield 6.79%, equivalent to 9.51% interest at the standard equivalency factor of 1.4x. Long Corporates 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.

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 -0.3456 % 964.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3456 % 1,559.8
Floater 4.55 % 4.59 % 70,729 16.24 2 -0.3456 % 1,204.9
OpRet 5.07 % 4.28 % 135,290 2.64 15 0.4952 % 2,144.2
SplitShare 6.58 % 8.09 % 46,631 5.61 3 0.5962 % 1,756.1
Interest-Bearing 6.05 % 7.65 % 28,365 0.65 1 -0.3015 % 1,971.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4027 % 1,644.7
Perpetual-Discount 6.65 % 6.79 % 141,829 12.86 71 0.4027 % 1,514.8
FixedReset 5.86 % 5.09 % 601,963 4.54 36 0.4076 % 1,931.2
Performance Highlights
Issue Index Change Notes
RY.PR.H Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 22.81
Evaluated at bid price : 22.95
Bid-YTW : 6.17 %
RY.PR.I FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 23.63
Evaluated at bid price : 23.67
Bid-YTW : 4.23 %
BAM.PR.I OpRet 1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.66 %
BNA.PR.A SplitShare 1.02 % Asset coverage of 1.7+:1 as of March 31 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2010-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 7.74 %
POW.PR.A Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.95 %
BNS.PR.N Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.22 %
BNS.PR.L Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.37 %
NA.PR.L Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.67 %
BMO.PR.L Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 21.91
Evaluated at bid price : 22.00
Bid-YTW : 6.60 %
CM.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 6.92 %
BNS.PR.M Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 6.38 %
ELF.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 7.87 %
CU.PR.B Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 23.76
Evaluated at bid price : 24.05
Bid-YTW : 6.35 %
BMO.PR.J Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.20 %
CM.PR.K FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 23.77
Evaluated at bid price : 23.81
Bid-YTW : 4.56 %
CL.PR.B Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 7.04 %
RY.PR.N FixedReset 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-03-26
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 5.03 %
NA.PR.M Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 22.35
Evaluated at bid price : 22.46
Bid-YTW : 6.70 %
CM.PR.J Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.76 %
BMO.PR.M FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 24.04
Evaluated at bid price : 24.11
Bid-YTW : 3.86 %
BNS.PR.R FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 23.15
Evaluated at bid price : 23.20
Bid-YTW : 4.28 %
BNS.PR.O Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 21.92
Evaluated at bid price : 22.01
Bid-YTW : 6.41 %
CM.PR.H Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.86 %
BAM.PR.J OpRet 2.38 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 7.72 %
IAG.PR.A Perpetual-Discount 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.90 %
BAM.PR.O OpRet 2.95 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Y FixedReset 985,152 New issue settled today.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-12-24
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 5.73 %
BNS.PR.X FixedReset 81,085 RBC crossed 20,000 at 26.45. CIBC crossed 38,000 at 26.42.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.94 %
IAG.PR.C FixedReset 57,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 24.20
Evaluated at bid price : 24.25
Bid-YTW : 5.64 %
CM.PR.R OpRet 48,900 Scotia crossed 20,000 at 25.70, Nesbitt crossed 12,000 at 25.70, and anonymous bought 15,000 from CIBC at 25.75.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2009-05-30
Maturity Price : 25.60
Evaluated at bid price : 25.70
Bid-YTW : 0.08 %
CIU.PR.B FixedReset 48,170 Holy smokes, a bid with a 27-handle! You young whippersnappers haven’t ever seen anything like it, eh?
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-07-01
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 5.09 %
CM.PR.I Perpetual-Discount 47,452 Scotia crossed 10,000 at 17.25.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-04-29
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.88 %
There were 44 other index-included issues trading in excess of 10,000 shares.

3 Responses to “April 29, 2009”

  1. prefhound says:

    Although you probably have YPG.PR.B in the scraps bin too, it has been putting on a nice performance lately, closing today at $13.50 up $1.75 from a short while ago and about 6% today. It still seems $5 undervalued compared with the YPG.PR.A which is rising, but by a lower percentage.

  2. jiHymas says:

    YPG.PR.B closed at 11.63 bid on March 31; today’s bid of 13.30 put it up 14.4% month-to-date … which ain’t bad!

  3. […] Jerome Kerviel? He was last mentioned on PrefBlog on April 29 – he’s the guy who was left holding SocGen’s incompetent management hot potato when […]

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