November 3, 2011

There was possible insider trading in MF Global bonds:

The U.S. Securities and Exchange Commission is reviewing trades in MF Global Holdings Ltd. (MF) convertible bonds to determine whether some investors sold the debt based on confidential information before the firm’s demise, according to two people with direct knowledge of the matter.

Investigators are in part focusing on trades that were made ahead of announcements that the firm’s credit rating had been downgraded, the people said, speaking on condition of anonymity because the matter isn’t public.

It’s not clear whether or not a Greek referendum is planned:

Just hours after saying Greeks need to decide on whether their future is in the euro, Papandreou said the country belongs in the currency bloc. He welcomed support shown by the main opposition New Democracy party for last week’s rescue pact agreed with European Union leaders in Brussels. Finance Minister Evangelos Venizelos said Greece won’t hold a referendum.

“We had a dilemma: either real consensus or referendum,” Papandreou told ministers, according to an e-mailed transcript of his statements. “As I said yesterday, coming out of the meeting, if there were consensus we wouldn’t need a referendum. I said if the opposition comes to the table to agree on the loan, there’s no need for a referendum.”

Some say no:

Greek Finance Minister Evangelos Venizelos, speaking to party lawmakers in Parliament in Athens today, said the nation won’t hold a referendum. Just hours after saying Greeks need to decide on whether their future is in the euro, Papandreou said the country belongs in the currency bloc.

“Papandreou absolutely blinked in this game of chicken,” Michael Holland, chairman and founder of New York-based Holland & Co., said in a telephone interview. His firm oversees more than $4 billion. “The interesting thing is that it took him so long to blink. The world’s markets told him he was wrong and he still persisted for an extended period of time. It was insane.”

It’s not clear to me whether the world’s markets get any say in the matter. The question is: can he simultaneously meet the EU requirements and reduce the incidence of riots and national strikes to a dull roar? I suggest he’s between a rock and a hard place; and if the Greek government pledges to meet the demands, the Greek population will make it impossible. Remember, we’re not talking about some professional snivellers snivelling about shooting the hippo – we’re talking about a dramatic and broadly based reduction in living standards.

Speaking of snivelling, we may be in for a new round of the HFT debate:

Estimates vary, but some traders say that as much as 35 per cent of volume on Canadian stock markets is now generated by high frequency trading firms that are jumping in and out of markets with buy and sell orders in hopes of profiting from tiny inefficiencies. In the U.S., some estimates place the amount of volume generated by HFTs at 60 per cent of all trading.

Canadian regulators are grappling with what to do about dark pools. Who should be allowed to trade on them, and on what terms? While dark pools do allow money managers to avoid high frequency traders, they can also sap volume from stock markets, eroding their value as a place for others to trade. Too many dark pools is most definitely not a good thing. In the U.S., so much trading takes place away from stock markets that what’s left on the public markets like NYSE and Nasdaq is “the exhaust,” as [LiquidNet CEO] Mr. [Seth] Merrin puts it.

The implication is that dark pools shouldn’t allow small orders, and shouldn’t be just ways for brokerages to avoid fees on their order flow. They should be reserved truly for orders that can’t be efficiently traded in light markets.

That’s right – make sure that retail doesn’t get any cut of the efficiencies! That’s what pays regulators’ salaries!

S&P confirmed MFC:

  • Manulife Financial Corp. reported third-quarter net losses driven by equity-market and interest rate declines and net charges from its annual review of actuarial methods and assumptions.
  • We are affirming our ‘A-‘ long-term counterparty credit rating on Manulife and our ratings on its subsidiaries.The company’s Canadian fair-value accounting framework is considerably more volatile, for comparable risks, than the relatively
    book-value-focused U.S. accounting framework.
  • We expect Manulife to sustain its extensive global competitive advantages and its favorable capitalization.

TMX DataLinx seems to have resolved their networking problems – the quotes listed today are official.

It was a day of uneven strength for the Canadian preferred share market, with PerpetualDiscounts winning 40bp, FixedResets up 6bp and DeemedRetractibles gaining 18bp. There was a long list of Performance Highlights, heavily skewed towards winners. Volume was quite 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 0.00 % 0.00 % 0 0.00 0 1.5707 % 2,126.9
FixedFloater 4.86 % 4.57 % 24,128 17.22 1 0.5141 % 3,171.3
Floater 3.38 % 3.40 % 162,561 18.73 2 1.5707 % 2,296.5
OpRet 4.94 % 0.66 % 50,622 1.52 7 0.4236 % 2,478.1
SplitShare 5.75 % 6.24 % 60,720 5.16 3 0.4350 % 2,518.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4236 % 2,266.0
Perpetual-Premium 5.56 % -0.21 % 106,268 0.10 13 0.2778 % 2,150.2
Perpetual-Discount 5.34 % 5.43 % 108,907 14.73 17 0.4003 % 2,280.3
FixedReset 5.12 % 2.95 % 209,051 2.45 62 0.0591 % 2,346.6
Deemed-Retractible 5.04 % 4.40 % 216,707 3.91 46 0.1763 % 2,217.2
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.39 %
CU.PR.C FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.75 %
ELF.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 22.30
Evaluated at bid price : 22.58
Bid-YTW : 5.91 %
BAM.PR.B Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 3.40 %
CM.PR.P Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2012-10-29
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 1.93 %
BAM.PR.M Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 5.25 %
GWO.PR.L Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 5.50 %
GWO.PR.F Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-12-03
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : 2.33 %
GWO.PR.G Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.30 %
PWF.PR.F Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
FTS.PR.E OpRet 1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 27.62
Bid-YTW : 0.66 %
BAM.PR.K Floater 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.41 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.Z FixedReset 221,540 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 23.09
Evaluated at bid price : 24.95
Bid-YTW : 4.58 %
IAG.PR.C FixedReset 120,532 Nesbit sold blocks of 24,000 and 15,000 to RBC, both at 26.50. Desjardins crossed 20,000 at the same price. RBC crossed blocks of 10,000 and 25,000 at the same price again.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.59 %
CM.PR.E Perpetual-Discount 107,455 Desjardins crossed 62,600 at 25.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-03
Maturity Price : 24.69
Evaluated at bid price : 25.00
Bid-YTW : 5.63 %
MFC.PR.F FixedReset 107,300 RBC crossed 80,300 at 24.50.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 4.00 %
BMO.PR.Q FixedReset 92,435 Nesbitt crossed 75,000 at 25.60.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 3.09 %
ENB.PR.B FixedReset 62,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.57 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSB.PR.D Deemed-Retractible Quote: 25.07 – 25.49
Spot Rate : 0.4200
Average : 0.2497

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.05 %

BAM.PR.H OpRet Quote: 25.40 – 25.82
Spot Rate : 0.4200
Average : 0.2592

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-12-03
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -7.00 %

MFC.PR.F FixedReset Quote: 24.36 – 24.74
Spot Rate : 0.3800
Average : 0.2466

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 4.00 %

SLF.PR.H FixedReset Quote: 24.17 – 24.45
Spot Rate : 0.2800
Average : 0.1702

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.39 %

TD.PR.O Deemed-Retractible Quote: 25.51 – 25.75
Spot Rate : 0.2400
Average : 0.1650

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.51
Bid-YTW : 4.30 %

MFC.PR.D FixedReset Quote: 26.87 – 27.10
Spot Rate : 0.2300
Average : 0.1624

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.94 %

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