DBRS has released its 11Q3 Review of the SplitShares Market.
The Europeans may be facing reality:
European officials are considering writedowns of as much as 50 percent on Greek bonds, a backstop for banks and continued central bank bond purchases as key planks in a revamped strategy to combat the debt crisis, people familiar with the discussions said.
The Greek bond losses may be accompanied by a pledge to rule out debt restructurings in other countries that received bailouts, such as Portugal, to persuade investors that Europe has mastered the crisis, said the people, who declined to be identified because the negotiations will run for another week.
And you see that? They’ll pledge that this will be absolutely the last time! We’re saved!
However, they have take decisive steps to prove they’re the same old clowns:
The European Union may impose position limits for commodities derivatives and curbs on high- frequency trading as part of plans to overhaul the region’s financial-market rules.
The European Commission, the 27-nation EU’s executive arm, is seeking limits on the number of commodity derivative contracts “any given market members or participants can enter into over a specified period of time, or alternative arrangements” with the same impact, according to copies of proposals set for release on Oct. 20 that were obtained by Bloomberg News.
…
Algorithmic and high-frequency trading can give rise to risks such as systems “overreacting” to market events and causing “volatility” according to the draft EU measures. These types of trading can also lend themselves to “certain forms of abusive behavior if misused.”Planned measures include requiring high-frequency trading firms to prove that they have sufficient risk controls in place and to ensure that clients with direct access to the markets are “properly qualified.”
“Detailed organizational requirements regarding these new forms of trading” will be set out in subsequent EU laws, according to the documents. The EU also plans to list specific examples of trading strategies that should be banned and punished by regulators as market manipulation.
On market abuse, the EU proposals include ensuring that firms found guilty of illegal practices can be fined up to ten percent of annual sales, and that criminal sanctions can be used against traders.
“requiring high-frequency trading firms to prove that they have sufficient risk controls in place”! Hah! There’s a good little avenue for regulatory extortion right there! That is not a thing susceptible to proof – you show me a system that’s 99.999999% effective, then it’s a trivial matter for me to show you the 99.9999995 percentile. However, the demagoguery will serve to distract attention from the mess the politicians have made of sovereign finances, so who cares?
Now that his boss has provided the script, Lapdog Carney is eager to show his loyalty:
The Occupy Wall Street demonstrations and other expressions of frustration with the global economic and financial system highlight the need for policy makers to show they are serious about forcing change, Bank of Canada governor Mark Carney says.
This is all about protests across Canada, intended to raise awareness about what Good People the protesters are. I understand that afterwards they’re going to have a Slut Walk!
It was another strong day for the Canadian preferred share market, with PerpetualDiscounts winning 38bp, FixedResets up 26bp and DeemedRetractibles gaining 27bp. Volatility was good. Volume was a touch on the light side.
| 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 | 1.2896 % | 1,991.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 1.2896 % | 2,994.9 |
| Floater | 3.61 % | 3.62 % | 154,032 | 18.27 | 2 | 1.2896 % | 2,150.0 |
| OpRet | 4.86 % | 3.10 % | 63,461 | 1.56 | 8 | 0.0292 % | 2,446.9 |
| SplitShare | 5.44 % | 1.04 % | 54,694 | 0.37 | 4 | 0.5306 % | 2,462.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0292 % | 2,237.5 |
| Perpetual-Premium | 5.67 % | 3.60 % | 103,888 | 0.37 | 13 | 0.0772 % | 2,131.1 |
| Perpetual-Discount | 5.36 % | 5.39 % | 110,448 | 14.76 | 17 | 0.3824 % | 2,251.2 |
| FixedReset | 5.14 % | 3.28 % | 204,368 | 2.58 | 61 | 0.2554 % | 2,328.6 |
| Deemed-Retractible | 5.07 % | 4.58 % | 212,916 | 7.66 | 46 | 0.2718 % | 2,195.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CIU.PR.B | FixedReset | -1.83 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-01 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 4.07 % |
| IAG.PR.A | Deemed-Retractible | -1.48 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.90 Bid-YTW : 6.32 % |
| CIU.PR.A | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 23.53 Evaluated at bid price : 24.00 Bid-YTW : 4.83 % |
| HSB.PR.D | Deemed-Retractible | 1.02 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.13 % |
| SLF.PR.A | Deemed-Retractible | 1.06 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 5.96 % |
| BAM.PR.R | FixedReset | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 23.46 Evaluated at bid price : 25.92 Bid-YTW : 3.96 % |
| W.PR.H | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 23.81 Evaluated at bid price : 24.99 Bid-YTW : 5.47 % |
| TRP.PR.C | FixedReset | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 23.41 Evaluated at bid price : 25.60 Bid-YTW : 3.14 % |
| BAM.PR.K | Floater | 1.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 14.47 Evaluated at bid price : 14.47 Bid-YTW : 3.65 % |
| PWF.PR.M | FixedReset | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.81 % |
| SLF.PR.D | Deemed-Retractible | 1.17 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.32 % |
| BAM.PR.B | Floater | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 14.59 Evaluated at bid price : 14.59 Bid-YTW : 3.62 % |
| SLF.PR.C | Deemed-Retractible | 1.60 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.64 Bid-YTW : 6.30 % |
| BNA.PR.C | SplitShare | 1.89 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 20.98 Bid-YTW : 7.38 % |
| BAM.PR.N | Perpetual-Discount | 2.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-10-14 Maturity Price : 21.84 Evaluated at bid price : 22.12 Bid-YTW : 5.40 % |
| SLF.PR.E | Deemed-Retractible | 2.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.85 Bid-YTW : 6.23 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.I | FixedReset | 111,301 | Nesbitt crossed 75,000 at 26.10; TD crossed 35,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.28 % |
| PWF.PR.M | FixedReset | 61,083 | Nesbitt crossed 60,000 at 26.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.81 % |
| GWO.PR.N | FixedReset | 44,114 | TD bought blocks of 21,500 and 12,100 from anonymous at 24.00. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 3.75 % |
| RY.PR.X | FixedReset | 42,321 | TD crossed 35,000 at 27.25. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-24 Maturity Price : 25.00 Evaluated at bid price : 27.29 Bid-YTW : 3.22 % |
| BNS.PR.N | Deemed-Retractible | 40,019 | Nesbitt crossed 25,000 at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.92 Bid-YTW : 4.43 % |
| TD.PR.G | FixedReset | 40,001 | TD crossed 30,000 at 26.86. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 3.09 % |
| There were 28 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TD.PR.P | Deemed-Retractible | Quote: 25.95 – 26.68 Spot Rate : 0.7300 Average : 0.4196 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 52.15 – 53.00 Spot Rate : 0.8500 Average : 0.5675 YTW SCENARIO |
| CIU.PR.B | FixedReset | Quote: 26.85 – 27.40 Spot Rate : 0.5500 Average : 0.3721 YTW SCENARIO |
| IAG.PR.A | Deemed-Retractible | Quote: 21.90 – 22.45 Spot Rate : 0.5500 Average : 0.4008 YTW SCENARIO |
| POW.PR.D | Perpetual-Discount | Quote: 24.05 – 24.49 Spot Rate : 0.4400 Average : 0.2996 YTW SCENARIO |
| BAM.PR.R | FixedReset | Quote: 25.92 – 26.48 Spot Rate : 0.5600 Average : 0.4224 YTW SCENARIO |