Category: Market Action

Torys securities lawyer Joel Wiesenfeld says Securities officials should defend deals:

A principal rationale by a financial institution for settlement in the first place is to limit the reputational harm caused by long-term media exposure, such as is common if there is a contested hearing, no matter which party wins the hearing.

It is far more difficult to understand why securities regulators do not mount spirited defences of the settlements they enter into, including the purpose of the investigation, the decision to settle, and the terms of the settlement. Inasmuch as that analysis will likely not be forthcoming from the media, it is imperative that securities regulators learn that their job is not complete following the approval of a settlement, for it is in the public interest for the regulator to explain how and why its regulatory imperative in investigating and settling has been achieved. Until that begins to occur, all we will be left with is the usual rant.

I’ve got a better idea: no deals. If they’re guilty, nail ’em to the wall. If they’re not guilty, eschew extortion.

Meanwhile the SEC’s war on competition continues:

The SEC, the top U.S. securities regulator, must address the use of algorithms, the computer codes that power high-frequency trading and disrupt the marketplace, SEC Chairman Mary Schapiro told the Securities Industry and Financial Markets Association annual conference on Monday.

“We hope this will lead to a more stable marketplace,” she said.
…
“Some high-frequency traders are not registered or regulated at all,” Schapiro told reporters on the sidelines of the conference. “There’s an issue about the use of disruptive algorithms in the marketplace, that contribute dramatically to volatility and instability.”

The SEC is considering “certain throttles” that would govern the way algorithms impact the marketplace, possibly slowing them down, she said.
…
Other SEC steps since the crash included adding circuit breakers that pause trading when stocks plunge or soar. Schapiro on Monday said one algorithm recently triggered a breaker when it “tried to sell 10 percent of the daily volume of a stock in two seconds.

“That’s a huge volume disruption,” she said.

Golly! Can you imagine? Somebody trading stocks without being regulated! It’s a scandal!

It strikes me that the new circuit breakers are very prone to moral hazard … even if they’re not already written and in place, I bet a lot of programmers and developers are having a good think about how automatic circuit breakers and automatic trade busts can be used to their advantage. Moral hazard is profitable!

Allied Irish Bank was able to sell senior bonds earlier this year by making them retractible. Guess what’s happening?:

Ireland’s second-largest lender, which has a market capitalization of 418 million euros ($569 million), was able to raise debt this year by giving buyers the right to sell the notes back at face value at set dates prior to final maturity, according to data compiled by Bloomberg. Today the bank said an investor requested repayment of 120 million euros of its floating-rate bonds due in February at the Nov. 30 put date.

And the Europeans are bickering:

Greek 10-year bond yields surged 20 basis points to 11.62 percent amid concern that the nation, which received a 110 billion-euro bailout in May, won’t be able to cut its budget deficit fast enough. Austria is threatening to block its next transfer of funds to Greece unless the government gets back on track a deficit-cutting plan agreed just six months ago with the European Union and International Monetary Fund.

“We are getting indications that the Greeks can’t stick to their plan in a sufficient manner, in particular on the revenue side,” Finance Minister Josef Proell said according to a government e-mail that confirmed remarks made after a cabinet meeting today. “The data we have at the moment doesn’t give any reason to approve the December tranche from the Austrian point of view.”

Greece led a surge in the cost of insuring European government debt. Credit-default swaps on Greece soared 86 basis points to 944, the highest since June 29, according to data provider CMA. Contracts on Ireland rose 22 basis points to 515, Portugal climbed 13 to 426, Italy increased 7 to 188 and Spain was up 8 at 259.

The competitive position of European hedge funds vs. the banks is getting better:

Funds may have the option to explain to the Financial Services Authority why they are unable to comply with rules that require half of bonuses to be paid in shares, said the people, some of whom declined to be identified because negotiations are private. The regulator is reviewing whether the largest hedge funds must fully comply with the rules, according to the people.

The FSA in July proposed expanding the companies covered by its bonus rules from 27 banks to 2,500 firms, including building societies and hedge funds, to comply with European Union legislation on bank capital. The regulator proposed the possibility of giving firms a “comply or explain” exception and the Committee of European Banking Supervisors supported that position last month, said Darren Fox, a partner at Simmons & Simmons, who represents hedge funds.

This may be a good thing. It may be bad. I don’t think anybody’s really thought about it.

The Cleveland Fed has published the November, 2010 edition of Economic Trends:

This, in effect, is like the CPI asking the question, “What does it cost to maintain this fixed basket of goods and services?” while the PCE asks, “What does it cost to maintain this given level of satisfaction?” Because the CPI updates the expenditure weightings only every few years, it doesn’t allow for substitution effects. For example, if the price of coffee suddenly doubles, people may start to drink more tea. Thus, the CPI may tend to overstate the aggregate price level during periods of volatile relative price swings.

The last diff erence between the two series is called the “weight” effect. Due to the differences in the scope of the measures and in the source data for some items, the PCE and CPI have different weights on similar items. The largest difference comes from the shelter (housing) components, which in the CPI carry a relative importance value of roughly 32 percent, while in the PCE it is a little less than half of that. Such a huge difference in weights means that housing prices exert much more of an influence over the trajectory of the CPI than that of the PCE, leading to differences in their growth rates over time.

It was clobberin’ time on the Canadian preferred share market today, with PerpetualDiscounts losing 80bp and FixedResets down 43bp – taking the median weighted average yield on the latter index back above 3%. Volume continued at very high levels. This is great, just like the old days of two years ago! Still, on the theory that misery loves company, have a look at …

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	-0.1012 %	2,238.3
FixedFloater	4.89 %	3.51 %	27,266	19.14	1	-0.2242 %	3,441.5
Floater	2.66 %	2.33 %	62,126	21.40	4	-0.1012 %	2,416.8
OpRet	4.74 %	2.92 %	61,076	2.44	8	-0.3125 %	2,399.0
SplitShare	5.36 %	-0.67 %	122,599	1.06	3	0.0328 %	2,486.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.3125 %	2,193.7
Perpetual-Premium	5.65 %	5.23 %	160,159	3.06	24	-0.3396 %	2,020.3
Perpetual-Discount	5.35 %	5.41 %	259,589	14.73	53	-0.8007 %	2,039.5
FixedReset	5.23 %	3.02 %	335,198	3.19	50	-0.4277 %	2,282.4

Performance Highlights
Issue	Index	Change	Notes
CM.PR.J	Perpetual-Discount	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 21.52 Evaluated at bid price : 21.86 Bid-YTW : 5.17 %
MFC.PR.B	Perpetual-Discount	-2.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 20.95 Evaluated at bid price : 20.95 Bid-YTW : 5.55 %
RY.PR.W	Perpetual-Discount	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.67 Evaluated at bid price : 23.95 Bid-YTW : 5.12 %
CM.PR.H	Perpetual-Discount	-1.92 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.79 Evaluated at bid price : 23.00 Bid-YTW : 5.25 %
CM.PR.I	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.45 Evaluated at bid price : 22.61 Bid-YTW : 5.24 %
NA.PR.N	FixedReset	-1.83 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-09-14 Maturity Price : 25.00 Evaluated at bid price : 26.31 Bid-YTW : 3.34 %
POW.PR.B	Perpetual-Discount	-1.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.59 Evaluated at bid price : 23.86 Bid-YTW : 5.66 %
RY.PR.C	Perpetual-Discount	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.45 Evaluated at bid price : 22.61 Bid-YTW : 5.10 %
TRP.PR.C	FixedReset	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 25.50 Evaluated at bid price : 25.55 Bid-YTW : 3.77 %
SLF.PR.D	Perpetual-Discount	-1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 5.41 %
SLF.PR.G	FixedReset	-1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 25.65 Evaluated at bid price : 25.70 Bid-YTW : 3.64 %
IAG.PR.E	Perpetual-Premium	-1.68 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.80 Bid-YTW : 5.67 %
RY.PR.G	Perpetual-Discount	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.13 Evaluated at bid price : 22.26 Bid-YTW : 5.07 %
BNS.PR.K	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.29 Evaluated at bid price : 23.54 Bid-YTW : 5.13 %
RY.PR.D	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.17 Evaluated at bid price : 22.30 Bid-YTW : 5.06 %
BNS.PR.L	Perpetual-Discount	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.17 Evaluated at bid price : 22.30 Bid-YTW : 5.08 %
SLF.PR.E	Perpetual-Discount	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.45 %
CIU.PR.B	FixedReset	-1.41 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 27.90 Bid-YTW : 3.24 %
RY.PR.E	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.04 Evaluated at bid price : 22.17 Bid-YTW : 5.09 %
BAM.PR.H	OpRet	-1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-16 Maturity Price : 25.25 Evaluated at bid price : 25.52 Bid-YTW : 1.58 %
TD.PR.O	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.92 Evaluated at bid price : 24.18 Bid-YTW : 5.04 %
MFC.PR.E	FixedReset	-1.19 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.47 Bid-YTW : 3.84 %
RY.PR.A	Perpetual-Discount	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.26 Evaluated at bid price : 22.41 Bid-YTW : 4.98 %
SLF.PR.A	Perpetual-Discount	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 21.87 Evaluated at bid price : 22.21 Bid-YTW : 5.41 %
BNS.PR.M	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 22.24 Evaluated at bid price : 22.37 Bid-YTW : 5.07 %
RY.PR.B	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.01 Evaluated at bid price : 23.21 Bid-YTW : 5.07 %
PWF.PR.F	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 23.52 Evaluated at bid price : 23.80 Bid-YTW : 5.55 %
RY.PR.Y	FixedReset	-1.04 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 27.71 Bid-YTW : 3.25 %
IAG.PR.C	FixedReset	-1.03 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.01 Bid-YTW : 3.81 %
ELF.PR.G	Perpetual-Discount	2.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-16 Maturity Price : 20.69 Evaluated at bid price : 20.69 Bid-YTW : 5.81 %

Volume Highlights
Issue	Index	Shares Traded	Notes
GWO.PR.F	Perpetual-Premium	302,334	RBC crossed 300,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-10-30 Maturity Price : 25.00 Evaluated at bid price : 25.44 Bid-YTW : 5.39 %
CM.PR.E	Perpetual-Premium	250,941	RBC crossed three blocks, of 210,000 shares, 18,700 and 15,000, all at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-30 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 5.23 %
TD.PR.M	OpRet	168,800	RBC crossed blocks of 99,000 and 67,700, both at 25.86. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-16 Maturity Price : 25.75 Evaluated at bid price : 25.86 Bid-YTW : 1.79 %
IAG.PR.F	Perpetual-Premium	155,060	Desjardins crossed 150,000 at 25.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 5.73 %
PWF.PR.M	FixedReset	150,900	Nesbitt bought two blocks from National, 25,000 and 18,400 shares, both at 27.65, then crossed 100,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-02 Maturity Price : 25.00 Evaluated at bid price : 27.60 Bid-YTW : 2.72 %
BMO.PR.P	FixedReset	83,530	Scotia crossed 74,700 at 27.40. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-03-27 Maturity Price : 25.00 Evaluated at bid price : 27.32 Bid-YTW : 3.05 %
There were 53 other index-included issues trading in excess of 10,000 shares.

Government Motors will be profitable, provided subsidies are increased:

The Electrification Coalition, a Washington-based group of 21 company executives that formed a year ago to advocate for electric vehicles, released a report requesting the tax credits for corporations that make purchases for fleets, and to extend assistance through 2018 for building charging stations.

Coalition members are promoting their agenda ahead of a new Congress that will take office in January, with Republicans replacing Democrats in control of the House. General Electric Co. announced Nov. 11 that it plans to buy as many as 25,000 rechargeable cars, almost half from General Motors Co.

“I would almost guarantee you we will be successful in the next two years” in advancing the electric-vehicle agenda, Representative Edward Markey, a Massachusetts Democrat, said at the news conference.

DBRS had some good commentary on the G-20:

DBRS continues to believe the Canadian banks are well positioned to comply with the new minimum capital ratios given their existing tangible common equity ratios, expectation of internal capital generation, extended implementation period of adjustments and the lengthy phase-in period.

Going forward, DBRS believes the identification of systemically important financial institutions (SIFI) and globally SIFI (G-SIFI) will be an issue that could negatively impact one or more of the largest Canadian Banks as SIFIs and G-SIFI will be required to have higher loss absorbency capacity to reflect the greater risk that the failure of these firms poses to the global financial system. Currently, based on DBRS’s global bank rating methodology, the five largest Canadian Banks (Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, and Toronto-Dominion Bank) are all deemed systemically important in Canada, which positively impacts DBRS’s senior and subordinated debt ratings of these banks.

Given that the comment period for Basel’s consultative paper “Proposal to ensure the loss absorbency of regulatory capital at the point of non-viability,” which includes the issue of contingent capital, ended on October 1, 2010, DBRS did not expect any significant announcements to be made surrounding this topic in the G-20 meeting in South Korea. The timeline for an announcement on contingent capital looks to be in or after 2011 as the Financial Stability Board and BCBS continue their work. Notwithstanding, DBRS believes the uncertainty surrounding contingent capital has been a contributing factor to spur significant subordinated debt issuances over the last month by several large Canadian banks.

Threats of easy sovereign default are having an effect in Europe:

Greece’s Prime Minister George Papandreou, speaking in Paris at a meeting of the Socialist International group, said Germany’s plan to force private bond investors to share the cost of sovereign bailouts with taxpayers was responsible for creating “a spiral of higher interest rates for countries that seemed to be in a difficult position, such as Ireland and Portugal … It could force economies toward bankruptcy.”
…
On Monday, Portuguese Finance Minister Fernando Teixeira dos Santos said Portugal might have to seek a bailout package if only to prevent other euro zone countries from getting infected.
…
The economic outlook for Portugal is so bleak that Foreign Affairs Minister Luis Amado said his country “faces a scenario of exit from the euro zone” – the 16 EU countries that share the euro – if it doesn’t get its financial house in order.

Gee … it’s not too long ago we were told such a thing couldn’t possibly happen!

The Canadian preferred share market took a hit today on very heavy volume, with PerpetualDiscounts down 37bp and FixedResets losing 17bp.

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	0.2919 %	2,240.6
FixedFloater	4.88 %	3.49 %	27,445	19.16	1	0.2247 %	3,449.2
Floater	2.66 %	2.33 %	64,655	21.40	4	0.2919 %	2,419.2
OpRet	4.73 %	2.70 %	59,272	2.45	8	0.1660 %	2,406.6
SplitShare	5.36 %	-0.76 %	121,141	1.07	3	2.4615 %	2,485.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1660 %	2,200.6
Perpetual-Premium	5.63 %	5.03 %	161,345	2.74	24	0.0310 %	2,027.1
Perpetual-Discount	5.31 %	5.37 %	262,096	14.84	53	-0.3734 %	2,056.0
FixedReset	5.20 %	2.93 %	339,426	3.19	50	-0.1680 %	2,292.2

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.G	Perpetual-Discount	-2.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.94 %
MFC.PR.C	Perpetual-Discount	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 20.56 Evaluated at bid price : 20.56 Bid-YTW : 5.48 %
MFC.PR.B	Perpetual-Discount	-1.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.43 %
PWF.PR.K	Perpetual-Discount	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 22.56 Evaluated at bid price : 22.75 Bid-YTW : 5.48 %
PWF.PR.L	Perpetual-Discount	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 23.07 Evaluated at bid price : 23.27 Bid-YTW : 5.52 %
FTS.PR.H	FixedReset	-1.31 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.67 Bid-YTW : 3.56 %
GWO.PR.I	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-15 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.39 %
CM.PR.K	FixedReset	-1.13 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.20 Bid-YTW : 2.89 %
BMO.PR.H	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-03-27 Maturity Price : 25.00 Evaluated at bid price : 25.34 Bid-YTW : 4.64 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TDS.PR.C	SplitShare	216,183	New issue settled today. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-12-15 Maturity Price : 10.00 Evaluated at bid price : 10.56 Bid-YTW : -0.76 %
CL.PR.B	Perpetual-Premium	117,670	Nesbitt crossed 27,500 at 25.40 and 80,000 at 25.38. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.35 Bid-YTW : 3.32 %
TD.PR.S	FixedReset	104,439	National crossed 99,800 at 26.65. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 2.57 %
GWO.PR.J	FixedReset	72,232	Nesbitt bought two blocks of 10,000 from anonymous, both at 27.75, then bought 32,700 from TD at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.71 Bid-YTW : 2.72 %
TD.PR.M	OpRet	63,700	Nesbitt crossed 18,400 at 25.90; RBC crossed 16,000 at 25.88. Scotia crossed 19,800 at 25.86. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-15 Maturity Price : 25.75 Evaluated at bid price : 25.85 Bid-YTW : 2.12 %
BNS.PR.X	FixedReset	52,864	RBC crossed 12,700 at 27.95; TD crossed 13,400 at the same price. RBC crossed 10,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.93 Bid-YTW : 2.87 %
There were 61 other index-included issues trading in excess of 10,000 shares.

The Europeans have been distracted from the G-20:

Finance ministers from Germany, France and the U.K. met in Seoul to discuss Ireland’s debt crisis after bond yields soared on concern the European Union will need to step in with a bailout.

Ministers are monitoring developments and will probably issue a joint statement later today, said Steffen Seibert, a spokesman for German Chancellor Angela Merkel.

The premium investors charge to hold Irish debt over German bunds climbed to a record yesterday and the euro fell to the lowest level against the dollar since September. Yields on 10- year Irish bonds added 31 basis points to 9.07 percent. Bailing out Ireland’s financial system could cost as much as 50 billion euros ($68 billion) under a “stress case” scenario compiled by the finance ministry and central bank.

Germany is the biggest contributor to this year’s 860 billion euros in loans and pledges to stem Europe’s debt crisis. Bonds of the euro area’s so-called peripheral nations have tumbled since EU leaders on Oct. 29 backed Merkel’s demand to set up a permanent rescue system by 2013 that makes bondholders foot part of the cost of any future debt crisis.

Wow! Higher chance of default has brought with it higher yield demands! Who woulda thunk it? It must be those nasty hedge funds and short sellers at the bottom of this.

Charges have been laid in a tipping scandal. What I find most interesting is that the alpha-tipper (ground-zero tipper? primary tipper?), Mitchell Finkelstein, got his information in three of the four transactions by simply poking around in the Davies Ward Phillips Vineberg LLP document management system – I would have thought that material of this nature would be password protected with access logs maintained and reviewed. Who knows? It might have been; the OSC Statement of Allegations doesn’t go into much detail about it, but it’s an interesting question.

The Canadian preferred share market took a loss today on average volume, with PerpetualDiscounts down 18bp and FixedResets losing 2bp.

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	0.1143 %	2,234.0
FixedFloater	4.89 %	3.50 %	27,188	19.16	1	1.0904 %	3,441.5
Floater	2.66 %	2.34 %	63,145	21.39	4	0.1143 %	2,412.2
OpRet	4.78 %	2.84 %	82,077	1.86	9	0.1297 %	2,402.6
SplitShare	5.80 %	-26.83 %	66,640	0.09	2	0.1202 %	2,425.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1297 %	2,196.9
Perpetual-Premium	5.63 %	5.10 %	162,660	2.75	24	-0.1066 %	2,026.5
Perpetual-Discount	5.29 %	5.32 %	253,831	14.92	53	-0.1829 %	2,063.7
FixedReset	5.19 %	2.87 %	343,632	3.20	50	-0.0211 %	2,296.1

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.A	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.44 %
SLF.PR.E	Perpetual-Discount	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 5.37 %
GWO.PR.I	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.32 %
BAM.PR.G	FixedFloater	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 3.50 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.A	OpRet	76,502	RBC bought 10,000 from Nesbitt at 25.65, then crossed 63,400 at the same price. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 3.52 %
BAM.PR.T	FixedReset	34,060	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 23.12 Evaluated at bid price : 25.08 Bid-YTW : 4.33 %
MFC.PR.C	Perpetual-Discount	30,145	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.34 %
RY.PR.I	FixedReset	28,316	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.57 Bid-YTW : 2.92 %
BNS.PR.M	Perpetual-Discount	26,269	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-12 Maturity Price : 22.50 Evaluated at bid price : 22.65 Bid-YTW : 5.00 %
FTS.PR.H	FixedReset	25,180	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.24 %
There were 31 other index-included issues trading in excess of 10,000 shares.

France has joined Germany in urging easy sovereign defaults:

French Finance Minister Christine Lagarde said investors must share the cost of sovereign debt restructurings, backing a German call that helped send yields on Irish and Portuguese bonds to record highs.

“All stakeholders must participate in the gains and losses of any particular situation,” Lagarde said during an interview yesterday in Paris for Bloomberg Television’s “On the Move” with Francine Lacqua. “There are many, many ways to address this point of principle.”
…
Lagarde’s comments mark France’s most explicit backing of German proposals to make bondholders contribute in bailouts, which deepened the slump in bonds of the so-called euro peripherals. Risk premiums that investors demand to buy their debt have risen since an Oct. 29 European Union summit when German Chancellor Angela Merkel sparred with European Central Bank President Jean-Claude Trichet over her demand “to see that it’s not just taxpayers who are on the hook, but also private investors.”

Merkel’s views on sovereign default were reported on November 2.

The EU stands vigilant with a policy of quantitative wheezing:

The European Union said Thursday it is prepared to financially help Ireland as investors continued dumping bonds issued by the Irish government and other fiscally weak countries in the euro zone.

“We have all the necessary instruments,” European Commission President Jose Manuel Barroso told reporters in South Korea, where he was attending the summit of the Group of 20 industrialized and emerging nations. “The EU is ready to support Ireland.” He declined to speculate on whether the EU’s new €440 billion sovereign rescue fund would be needed.
…
“With three countries in the euro area now having virtually lost access to capital markets, the implications for the region as a whole could easily become systemic again,” market analysts at the Royal Bank of Scotland said in a note.

RBS said the ECB’s government bond-purchasing program will “be scaled up meaningfully” by another €100 billion by early next year. “The more it waits the bigger the purchase program will have to be,” it said.

Econbrowser‘s Jim Hamilton highlights a paper by Ke Tang and Wei Xiong titled Index Investment and Financialization of Commodities:

This paper finds that concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJUBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in the US in 2006-2008. In contrast, such commodity price comovements were absent in China, which refutes growing commodity demands from emerging economies as the driver.

In his post Commodity inflation, Prof. Hamilton highlights the correlations against the USD.

My view has been that the Fed needs to prevent a repeat of Japan’s deflationary experience of the 1990s, but that it also needs to watch commodity prices as an early indicator that it’s gone far enough in that objective. In terms of concrete advice, I would worry about the potential for the policy to do more harm than good if it results in the price of oil moving above $90 a barrel.

And we’re uncomfortably close to that point already.

It was a restful, slightly negative day for the Canadian preferred share market, as PerpetualDiscounts were down 2bp on the day, while FixedResets lost 6bp. Volume was relatively low.

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	0.1017 %	2,231.5
FixedFloater	4.94 %	3.55 %	26,950	19.11	1	0.0455 %	3,404.4
Floater	2.67 %	2.34 %	65,737	21.40	4	0.1017 %	2,409.4
OpRet	4.78 %	3.05 %	77,665	1.86	9	0.1144 %	2,399.5
SplitShare	5.81 %	-24.66 %	67,053	0.09	2	0.4225 %	2,422.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1144 %	2,194.1
Perpetual-Premium	5.62 %	5.05 %	161,091	3.07	24	-0.0447 %	2,028.7
Perpetual-Discount	5.28 %	5.29 %	256,901	14.94	53	-0.0202 %	2,067.4
FixedReset	5.19 %	2.85 %	346,008	3.20	50	-0.0550 %	2,296.6

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.C	FixedReset	-1.81 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.06 Bid-YTW : 3.73 %
ENB.PR.A	Perpetual-Premium	-1.56 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-11 Maturity Price : 25.00 Evaluated at bid price : 25.32 Bid-YTW : -13.20 %
ELF.PR.F	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-11 Maturity Price : 22.77 Evaluated at bid price : 23.00 Bid-YTW : 5.82 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.T	FixedReset	62,650	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-11 Maturity Price : 23.10 Evaluated at bid price : 25.01 Bid-YTW : 4.24 %
TRP.PR.A	FixedReset	62,203	TD crossed 57,400 at 26.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 3.21 %
RY.PR.X	FixedReset	55,002	RBC crosse 25,000 at 28.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.06 Bid-YTW : 2.85 %
BAM.PR.B	Floater	43,550	Desjardins crossed 30,000 at 17.11. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-11 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 3.09 %
GWO.PR.G	Perpetual-Discount	29,590	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-11 Maturity Price : 23.82 Evaluated at bid price : 24.11 Bid-YTW : 5.45 %
BMO.PR.J	Perpetual-Discount	21,550	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-11 Maturity Price : 22.91 Evaluated at bid price : 23.09 Bid-YTW : 4.88 %
There were 24 other index-included issues trading in excess of 10,000 shares.

People sometimes pretend that mutual fund MERs are too high. But that’s what people want:

Value of Canadian mutual fund assets: $720-billion

Value of Canadian-listed exchange-traded funds: $36.2-billion

Value of segregated fund assets in Canada: $83.3-billion

Value of hedge fund assets in Canada: $45.7-billion

Value of closed-end funds: $24.1-billion

The Financial Post reports that a real newspaper reports that RBC is too big to fail on a global basis:

Royal Bank of Canada has appeared on a list of banks that have been deemed by global authorities as being too big to fail, according to the Financial Times.
…
The G20 will put off a decision on whether to impose an international capital surcharge for the world’s most vital banks, which would force them to maintain additional capital buffers to help them withstand market shocks, the Financial Times report said.

While it may not be explicitly settled at this week’s G20 meeting, it is understood that the banks that are deemed too big to fail will need to raise even more capital than their peers as extra insurance against their sizable reach and influence over the world’s economy.

There are signs the US fiscal deficit is intractable:

The co-chairmen of President Barack Obama’s debt-reduction commission will propose cuts to Social Security and Medicare, as well as reductions in income tax rates in exchange for curbing tax breaks, according to a Republican aide who attended the meeting.

The chairmen’s plan is already causing some Democrats and Republicans on the 18-member commission to balk. The plan will be announced at 1 p.m. Washington time today, said commission spokesman Fred Baldassaro.

Fearless forecast: the problem will remain intractable until the President gets a call from the Treasury saying they’re having big problems selling a bond issue and can he please start working the ‘phones. Then whichever party’s in power will start showing some sense.

The 30-year Treasury auction was disappointing:

Treasury 30-year bonds declined for a sixth day as the U.S. sold $16 billion of the securities amid concern yields will continue to climb as the Federal Reserve focuses its purchases on shorter-maturity debt.

The bonds drew a yield of 4.32 percent, compared with the average forecast of 4.288 percent in a Bloomberg News survey of eight of the Fed’s 18 primary dealers. The bid-to-cover ratio, which gauges demand by comparing total bids with the amount of securities offered, was 2.31, the lowest since November 2009.

In a primer titled A Survival Guide to Bonds, by Rob Carrick of the Globe and Mail, there is a most interesting quote:

“For most of the time in the past 13 years or so, bonds have been negatively correlated to stocks,” explains Michael Herring, managing director and investment strategist at BMO Nesbitt Burns. “When stocks are down, bonds are up. So they provide a nice diversification effect, a counterbalance that dampens the volatility of the overall portfolio.”

That’s not what the Kansas City Fed thinks! In the construction of their Financial Stress Index, they indicate that the “Negative value of correlation between stock and Treasury returns” is an indicator of “Flight to Quality” and therefore a stress indicator. They cite other studies showing that this holds true for other government bond returns; specifically, the measure used is computed over rolling three month periods using the S&P500 and a 2-year Treasury bond index.

MSCI-BARRA published an interesting piece on stock-bond correlation in 2009.

The Canadian preferred share market showed little direction today – for a change! – although volume continued to be high. PerpetualDiscounts lost 3bp, while FixedResets gained 6bp, taking the median weighted average Yield to Worst on the latter index down to 2.84% – yet another new low.

PerpetualDiscounts now yield 5.28%, equivalent to 7.39% interest at the standard equivalency factor of 1.4x. Long Corporates now yiel about 5.3%, so the pre-tax interest-equivalent spread is now about 210bp, a sharp tightening from the 230bp reported on November 3.

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	-0.1270 %	2,229.2
FixedFloater	4.94 %	3.55 %	27,261	19.12	1	-0.2268 %	3,402.8
Floater	2.67 %	2.34 %	65,952	21.40	4	-0.1270 %	2,407.0
OpRet	4.78 %	2.89 %	80,621	1.86	9	0.0127 %	2,396.7
SplitShare	5.84 %	-16.73 %	67,067	0.09	2	0.1007 %	2,412.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0127 %	2,191.6
Perpetual-Premium	5.62 %	5.07 %	162,883	2.75	24	0.0779 %	2,029.6
Perpetual-Discount	5.28 %	5.28 %	256,830	14.86	53	-0.0274 %	2,067.9
FixedReset	5.19 %	2.84 %	351,316	3.21	50	0.0557 %	2,297.8

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.I	Perpetual-Discount	-1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-10 Maturity Price : 21.60 Evaluated at bid price : 21.60 Bid-YTW : 5.28 %
FTS.PR.G	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-01 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.22 %
MFC.PR.C	Perpetual-Discount	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-10 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 5.34 %
ENB.PR.A	Perpetual-Premium	1.22 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-10 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : -30.35 %
BAM.PR.M	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-10 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.61 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Q	FixedReset	122,290	RBC crossed blocks of 70,000 and 25,000, both at 26.61. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 2.75 %
TD.PR.M	OpRet	110,555	Scotia crossed 97,900 at 25.90. YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-10 Maturity Price : 25.75 Evaluated at bid price : 25.86 Bid-YTW : 0.88 %
HSB.PR.D	Perpetual-Discount	93,734	RBC crossed blocks of 32,000 and 27,400, both at 23.48, then another 24,500 at 23.50. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-10 Maturity Price : 23.27 Evaluated at bid price : 23.50 Bid-YTW : 5.38 %
TD.PR.Y	FixedReset	76,481	RBC sold blocks of 10,000 and 21,400 to anonymous, both at 26.75, then crossed 10,700 at 26.72. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-30 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 2.64 %
MFC.PR.A	OpRet	73,532	Nesbitt crossed 30,000 at 25.60. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.61 Bid-YTW : 3.72 %
TD.PR.E	FixedReset	44,033	TD crossed 35,000 at 27.85. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.92 Bid-YTW : 2.85 %
There were 49 other index-included issues trading in excess of 10,000 shares.

Here’s another exhibit regarding the reluctance of asset management firms to promote star managers:

Roger Guy and Guillaume Rambourg, Gartmore Group Ltd.’s two star managers, won European fund of the year at a black-tie gala at London’s Grosvenor House Hotel on Jan. 21. Ten months later, both have quit and the company is considering putting itself up for sale.
…
Rambourg and Guy together managed about a third of the company’s assets after its IPO. Three other managers have departed, prompting the company to hire Goldman Sachs Group Inc. to help find a buyer after investors including Skandia Investment Management Ltd. pulled or planned to pull 3.3 billion pounds ($5.3 billion), or about 14 percent of its assets under management, since Rambourg was suspended in March. The performance of their funds has lagged behind competitors this year, according to data compiled by Bloomberg.

… and here’s one about the usual effect of politicized regulation:

U.S. airlines canceled 4,754 flights in September, a 62 percent jump from the same month a year ago, as the government requires carriers to let passengers off stuck flights within three hours.
…
Carriers are seeking to avoid fines as high as $27,500 per customer stuck on a plane during a lengthy delay under the rule by Transportation Secretary Ray LaHood. Airlines said the requirement would lead to cancellations, and as of September an additional 5,000 flights were scrapped, an 18 percent rise, since the rule took effect.
…
“Cancellations are a much worse result for passengers” than long delays, said David Stempler, president of the Air Travelers Association, an advocacy group in Chevy Chase, Maryland. “The time it takes them to get to their destinations may last up to days” after a flight is scrubbed, he said.

One of China’s major credit rating agencies has downgraded the US to A+:

China’s Dagong Global Credit Rating Co. reduced its credit rating for the U.S. to A+ from AA, citing a deteriorating intent and ability to repay debt obligations after the Federal Reserve announced more monetary easing.

The credit outlook for the U.S. is “negative,” as the Fed’s plan to buy government debt will erode the value of the dollar and “entirely encroaches” on the interests of creditors, analysts at Dagong, one of China’s five official ratings companies, said in a statement.
…
Dagong, seeking to become an alternative to S&P, Moody’s and Fitch Ratings, ranks China’s debt higher than that of the U.S. and Japan, citing widening deficits in the developed world. Global ratings methodology is “irrational,” Dagong Chairman Guan Jianzhong said in July, and “cannot truly reflect repayment ability.”

In September, the Securities and Exchange Commission denied the application of Dagong to become a Nationally Recognized Statistical Rating Organization in the U.S.

Life will become even more fun if the EU sets up its own captive credit rater!

I ran across an interesting essay … The Impact of High Frequency Trading on the Canadian Market by members of the BMO-CM Quantitative Execution Services, dated July 2009 … it’s filled with the familiar booHooHoos about Portfolio Managers having their lunch eaten. I mean, look at this:

Liquidity has become less obvious – As predatory high frequency trading creates extra volume without creating additional real liquidity, it become increasing difficult for fund managers to discern the real achievable liquidity in a given stock. To date we have witnessed many instances where portfolio managers looking at total trading volume attempt to buy (sell) too much of a given stock resulting in additional market impact. This cost is again shouldered by the individual end clients

They hired an incompetent manager and it cost them. I’m not wringing my hands.

We have had several discussions with Canadian buy side accounts who have noted the decreasing effectiveness of their pre-trade analytic tools. Typically these tools rely on volume and a number of other market metrics (e.g. spread, volatility) to predict the impact a given order will have on the market for that issue. As ‘real’ volume becomes less discernable these tools have greater difficulty determining this number. Portfolio managers, who have become increasingly reliant on these tools over the last several years, are becoming increasingly frustrated with their performance.

Not frustrated enough, apparently, to do a damn bit of work to fix the problem.

The Bank of Canada has released a working paper by Céline Gauthier, Zhongfang He and Moez Souissi titled Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings:

We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin (2009), we introduce funding liquidity risk as an endogenous outcome of the interaction between market liquidity risk, solvency risk, and the funding structure of banks. To assess the overall impact of different mix of capital and liquidity, we simulate the framework under a severe but plausible macro scenario for different balance-sheet structures. Of particular interest, we find that (1) capital has a decreasing marginal effect on systemic risk, (2) increasing capital alone is much less effective in reducing liquidity risk than solvency risk, (3) high liquid asset holdings reduce the marginal effect of increasing short term liability on systemic risk, and (4) changing liquid asset holdings has little effect on systemic risk when short term liability is sufficiently low.

I don’t like it much becaue it does not address the role of the Central Bank in reducing liquidity risk.

Regulators continue to run amok in the UK, once best known as the home of Magna Charta:

Traders’ mobile-telephone calls may be taped in an effort to stamp out insider trading under new rules scheduled to be published by the U.K. financial regulator as soon as this week.

The Financial Services Authority has said cell phones used for business shouldn’t be exempt from rules requiring banks and brokerages to record employees’ calls so that they can be listened to later. In March, the agency said in draft proposals that around 22,000 phones would be covered.
…
The regulator in September warned companies to prevent leaks to the media as part of its effort to crack down on market abuse. The FSA started to cold-call traders to interview them under caution two years ago about possible insider trading, a strategy that fell prey to hoax calls.
…
“We continue to work to keep undesirable people out of our financial services industry,” FSA enforcement chief Margaret Cole said in a speech yesterday. “We use information and intelligence from a range of sources to consider whether those who own or run financial firms, as well as people in sensitive roles within those businesses, are ‘fit and proper.’”

There’s more about the cold-calling here. For now, it’s all to the good – I know some fine immigrants from the UK who came here out of disgust with the ubiquitous camera monitors, ASBOs and so on. But this trend will eventually hurt us all.

Another strong day on the Canadian preferred share market, but this time with a big difference in inter-sector performance. PerpetualDiscounts gained 41bp, while FixedResets lost 3bp; today’s performance takes the Bozo Spread (the difference between PerpetualDiscount and FixedReset Current Yields) down to a mere 9bp. I am all agog to see if this spread goes negative … it is my theory that this spread shows the retail perception of the interest rate risk inherent in a Straight Perpetual … but who knows? Maybe it doesn’t. Volume was very heavy.

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	0.1272 %	2,232.1
FixedFloater	4.93 %	3.53 %	27,559	19.14	1	-0.6757 %	3,410.6
Floater	2.67 %	2.34 %	64,550	21.40	4	0.1272 %	2,410.0
OpRet	4.78 %	2.87 %	80,881	1.87	9	-0.1875 %	2,396.4
SplitShare	5.84 %	-14.84 %	66,296	0.09	2	-0.0403 %	2,410.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1875 %	2,191.3
Perpetual-Premium	5.62 %	5.01 %	160,386	3.08	24	-0.0805 %	2,028.0
Perpetual-Discount	5.28 %	5.27 %	257,751	14.96	53	0.4123 %	2,068.4
FixedReset	5.19 %	2.86 %	352,075	3.21	50	-0.0298 %	2,296.6

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.H	OpRet	-1.53 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-09 Maturity Price : 25.25 Evaluated at bid price : 25.70 Bid-YTW : -8.13 %
FTS.PR.H	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-07-01 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.23 %
RY.PR.D	Perpetual-Discount	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.57 Evaluated at bid price : 22.73 Bid-YTW : 4.96 %
RY.PR.E	Perpetual-Discount	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.49 Evaluated at bid price : 22.65 Bid-YTW : 4.97 %
SLF.PR.C	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 21.53 Evaluated at bid price : 21.53 Bid-YTW : 5.24 %
SLF.PR.E	Perpetual-Discount	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 21.46 Evaluated at bid price : 21.77 Bid-YTW : 5.22 %
FTS.PR.F	Perpetual-Discount	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 23.21 Evaluated at bid price : 23.42 Bid-YTW : 5.23 %
TD.PR.O	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 24.30 Evaluated at bid price : 24.57 Bid-YTW : 4.96 %
RY.PR.F	Perpetual-Discount	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.41 Evaluated at bid price : 22.56 Bid-YTW : 4.94 %
RY.PR.A	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.62 Evaluated at bid price : 22.80 Bid-YTW : 4.88 %
NA.PR.L	Perpetual-Discount	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 23.59 Evaluated at bid price : 23.85 Bid-YTW : 5.09 %
MFC.PR.B	Perpetual-Discount	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 21.79 Evaluated at bid price : 22.10 Bid-YTW : 5.33 %
GWO.PR.I	Perpetual-Discount	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 21.65 Evaluated at bid price : 22.00 Bid-YTW : 5.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.A	OpRet	151,540	RBC bought 35,700 from Nesbitt at 25.59. RBC then crossed 24,300 at 25.59, while Nesbitt crossed 57,000 at 25.60. YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2015-12-18 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.72 %
BNS.PR.N	Perpetual-Discount	120,002	Desjardins crossed 10,000 at 25.09; RBC crossed 70,500 at 25.14. Anonymous crossed (?) 13,000 at 25.14. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-02-26 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 5.27 %
PWF.PR.P	FixedReset	117,485	TD crossed 10,700 at 26.25, then sold 10,000 to Desjardins at 26.27. Finally, TD crossed 39,500 at 26.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 23.44 Evaluated at bid price : 26.00 Bid-YTW : 3.44 %
BNS.PR.J	Perpetual-Discount	89,000	RBC crossed 76,500 at 25.15. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 23.41 Evaluated at bid price : 25.11 Bid-YTW : 5.17 %
RY.PR.F	Perpetual-Discount	88,487	RBC crossed 50,000 at 22.56. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.41 Evaluated at bid price : 22.56 Bid-YTW : 4.94 %
RY.PR.A	Perpetual-Discount	87,814	RBC crossed 47,900 at 22.78. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-09 Maturity Price : 22.62 Evaluated at bid price : 22.80 Bid-YTW : 4.88 %
There were 64 other index-included issues trading in excess of 10,000 shares.

The Canadian Securities Administrators have brought in proposals to maximize the risk of single-point failure in Canada, titled Consultation Paper 91‐401 on Over‐the‐Counter Derivatives Regulation in Canada. One of the risks outlined is the potential for doing business in a productive manner:

Regulatory inaction is not an option given the commitments Canada has made as part of the G20. Notwithstanding Canada’s G20 commitments, there are compelling reasons to introduce regulation. Because OTC derivatives trading takes place across borders, if other countries adopt stringent regulations, and Canada does not act, it may gain a reputation as a haven, resulting in regulatory arbitrage and a flight of risky trading to Canada.

Mind you, the scare factor of “risky trading” is inflammatory bullshit. The proposals are all about central clearing, not “risky trading”.

The Canadian Securities Law blog advises:

CNSX Markets Inc., the operator of the Canadian National Stock Exchange and Pure Trading has proposed amendments to its Policy 2 that would extend listing eligibility to certain prospectus-exempt debt securities. The amendments to Policy 2 would mirror language contained in its Restated Order. Comments are being accepted on the amendments for 30 days from today.

OSC Notice 2010-006 specifies:

The prospectus-exempt debt securities that CNSX Markets seeks to list are currently distributed to the public in Canada under the exemptions set out in the Restated Order, following which the securities are freely traded over-the-counter with settlement through FundServ.

This might mean simply GICs: FundSERV is making a push in this market:

FundSERV announces the launch of GICSERV, an industry wide network for automating brokered GIC transactions. The first release of industry standards are now available for comment.

“We saw the brokered GIC market as a perfect chance for FundSERV to utilize its business and technical capabilities to further support our existing distribution customers and other participants in this financial services segment,” said Brian Gore, president and chief executive officer at FundSERV. “Our goal is to allow our existing network to facilitate standards and automation in the brokered GIC market.”

It will be most interesting to see how the CNSX proposal unfolds. Will it be strictly a new issue market – for instance, if you bid 2.55% for a five year GIC and somebody hits you, will you get a brand new GIC with a 2.55% coupon? Probably not, since that would restrict the sellers to issuers only. Perhaps there will be conversion formulas and such, so that when you get hit on your 2.55% bid, you get whatever the seller wants to deliver … a higher (lower) coupon with a lower (higher) price. In such a case, I will be fascinated to see whether the brokerages start showing account statments with the price of the GIC marked to market.

However, PPNs might be the securities in question:

Treatment of Deposit Products

SSI commented that clarification is required to address the treatment of deposit products held in dealer client accounts, such as Guaranteed Investment Certificates (“GICs”) or Principal Protected Notes (“PPNs”) and asked how accrued interest is to be addressed in determining market values.

MFDA Response

The market value of GICs should be reported as the principle amount plus accrued interest earned as at the end of the account statement period.

With respect to reporting the value of PPNs, certain PPNs have market values that are available on FundSERV. However, for PPNs that do not have a reliable market value, the book value should be reported.

Political manoeuvering over the Volcker Rule was mentioned briefly on November 4. Jim Hamilton’s World of Securities Regulation has more details and supporting documentation, and a post detailing support for the Rule. There is also some reason to hope that US Covered Bonds will be forthcoming.

Pam Martens writes an entertaining, if paranoid, account of the Flash Crash titled The “Flash Crash” Cover-Up:

The official report does not break out the wealth destruction to the small investor on May 6, but Ms. Schapiro shared that information on September 7 with the Economic Club of New York: “A staggering total of more than $2 billion in individual investor stop loss orders is estimated to have been triggered during the half hour between 2:30 and 3 p.m. on May 6. As a hypothetical illustration, if each of those orders were executed at a very conservative estimate of 10 per cent less than the closing price, then those individual investors suffered losses of more than $200 million compared to the closing price on that day.”

A stop-loss order is the dull Boy Scout knife with which the small investor attempts to protect himself from the star wars gang. It is an order placed with an unlimited time frame that sits in the system and says if my stock trades down to this level, sell me out. Unfortunately, most of these orders are placed as market orders rather than indicating a specific “limit” price that the investor will accept. (That alternative order is called a stop-loss limit order.) Stop-loss market orders go off on the next tick after the designated price is reached. In a liquid and orderly market, that should be only a fraction away from the last trade. On the day of the Flash Crash during that pivotal half hour, the next tick was frequently 10 to 60 per cent away from the last trade.

The SEC has banned stub-quotes:

The new rules address the problem of stub quotes by requiring market makers in exchange-listed equities to maintain continuous two-sided quotations during regular market hours that are within a certain percentage band of the national best bid and offer (NBBO). The band would vary based on different criteria:

• For securities subject to the circuit breaker pilot program approved this past summer, market makers must enter quotes that are not more than 8% away from the NBBO.
• For the periods near the opening and closing where the circuit breakers are not applicable, that is before 9:45 a.m. and after 3:35 p.m., market makers in these securities must enter quotes no further than 20% away from the NBBO.
• For exchange-listed equities that are not included in the circuit breaker pilot program, market makers must enter quotes that are no more than 30% away from the NBBO.
• In each of these cases, a market maker’s quote will be allowed to “drift” an additional 1.5% away from the NBBO before a new quote within the applicable band must be entered.

The new market maker quoting requirements will become effective on Dec. 6, 2010.

For the life of me, I don’t understand why the exchanges and the SEC ever permitted stub quotes in the first place. Market Makers get special privileges – from the SEC’s perspective, exemptions from the various short-sale rules – so why were they allowed to pay for them with debased coin?

Here’s one reason QE2 might not work:

Rather than providing money to businesses and consumers, U.S. commercial banks are increasingly using the cash available at interest rates set by the Federal Reserve that are next to zero and lending it back to the government. Since June, the biggest banks bought about $127 billion of Treasuries, compared with $47 billion in the first half, according to the central bank. Commercial and industrial loans outstanding have fallen by about $68.5 billion this year, central bank data show.
…
The Basel III regulations set by the Bank for International Settlements in Basel, Switzerland, may trim economic growth by 0.1 percent and 0.9 percent, and result in $400 billion of additional Treasury purchases by U.S. commercial banks by 2015, a committee of bond dealers and investors that advises Treasury Secretary Timothy Geithner said in a Nov. 2 report.
…
Lenders are on pace this year to buy the most Treasury and agency debt since the Fed began tracking the data in 1950, adding $186.2 billion of the securities through Oct. 20 and bringing the total to $1.62 trillion. At the same time, commercial and industrial loans fell by 5.3 percent to $1.23 trillion, Fed data show.

Of interest in the November 2 TBAC Report:

Against this economic backdrop, the Committee’s first charge was to examine what adjustments to debt issuance, if any, Treasury should make in consideration of its financing needs. In the near term, given the uncertain economic and fiscal situation, the Committee felt stabilizing nominal coupon issuance at current levels was appropriate. To the extent the Committee has greater clarity, it will likely recommend further reductions to nominal coupon issuance at the February refunding. Consistent with the August meeting, the Committee felt maintaining flexibility was necessary.

There was continued debate regarding the average maturity of outstanding Treasury debt. Although the Committee felt meaningful progress had been made, there was broad agreement that continuing down this path was appropriate. One concerning consequence of raising the average maturity of debt is the decline in T-bills as a percentage of marketable debt. A majority felt that a further lengthening of the average maturity should take precedence.

With regard to TIPS, the Committee suggested an auction every month. To accomplish this, the Committee recommended two 30-year TIPS re-openings, in June and October, and a discontinuation of the 30-year TIPS re-opening in August. Likewise, in five year TIPS, the Committee recommended two re-openings, in August and December, and a discontinuation of the October re-opening. This auction schedule should allow for growth in gross TIPS issuance to approximately $120 billion in calendar year 2011 from approximately $86 billion in calendar year 2010.

Despite the aforementioned recommendation on TIPS issuance, there was continued debate at the Committee regarding the success of the TIPS program. A number of members cited that relative to nominal issuance, TIPS issuance was more expensive, less liquid, and lacked the flight to quality aspect experienced in 2008. One Committee member recommended further detailed analysis into the costs and benefits of the TIPS program.

… and with respect to Basel 3 …

The third charge examined the potential impacts of Basel III (presentation attached). The member documented the tighter definitions of Tier-1 capital, prescribed leverage and liquidity ratios, counter-cyclical capital buffers, additional capital requirements for systemically important firms, and new limits on counterparty credit risk. The member remarked that while institutions had years to comply, markets were pushing institutions to convey and implement adoption plans today. As a result, extension of liquidity, credit, and capital are being curtailed at a time of slow economic growth. The member included estimates of Basel III’s negative impact on growth. Furthermore, members expressed concern that specific U.S. regulatory reforms in conjunction with Basel III adoption may put U.S. financial firms at a competitive disadvantage versus international peers. Lastly, the member pointed out that compliance with liquidity coverage ratios will lead to increased demand by designated institutions for U.S. Treasuries.

How ’bout that Goldman Sachs, eh? They’ve done a Maple Issue:

Goldman Sachs Group Inc. (GS) raised C$500 million from an issue of five-year, so-called Maple bonds, according to people familiar with the matter.

Maple bonds are debt securities denominated in Canadian dollars that are issued by foreign companies.

The Goldman issue, which matures in November 2015, was priced at 208 basis points over the relevant government of Canada benchmark curve, or at the low end of the guidance, to yield 4.102%.

The bonds carry a coupon of 4.10%.

Goldman’s offering provides the latest evidence of a recovery in the Maple-bond market this year following a slow period in 2009, reflecting a combination of improved credit conditions and larger syndicates underwriting the deals. A larger number of dealers in a syndicate often lends itself to better trading conditions for the securities in the secondary market.

… and an ultralong issue:

The Goldman issue is a poster child for the continuing frenzy in the capital market for long-dated instruments. The Wall Street bank originally hoped investors might have the appetite for $250-million (U.S.) worth of the securities, according to market chatter at the time of the issue last month.

But Goldman sold more than five times as much – $1.3-billion. Ordinary ma and pa investors were the target buyers, signified by Goldman chopping the bonds into minuscule $25 amounts. This is an unusual size. Bonds typically trade in minimum multiples of $1,000.

It’s not clear how many of the small investors who bought Goldman’s bonds realize the fine points of the deal. According to the prospectus, Goldman has reserved for itself the right to redeem the bonds at their face value of $25 on five days’ written notice any time after Nov. 1, 2015.

If interest rates stay low, Goldman, which didn’t respond to a request for comment, will likely call the bonds and pay off investors. Those seemingly high yields will then vanish.

Meanwhile, if market interest rates return to more normal levels because the economy recovers or inflation resumes, it’s likely that the cost of borrowing for extremely long terms could rise well above the 6.125 per cent that Goldman is paying. In that case, Goldman won’t redeem them, and buyers will be stuck with losses because bond prices move inversely to interest rates.

It’s telling that, while Goldman has the right to redeem, buyers weren’t given the same right to force Goldman to buy back the securities if interest rates surge.

By way of comparison, the Long Term Corporate Bond ETF (VCLT) has a “SEC Yield” of 5.42% … but mind you, the SEC Yield is basically Current Yield, so it doesn’t mean much.

Efforts to destroy banking in the UK continue:

Business Secretary Vince Cable dismissed warnings from U.K. banks of a potential brain drain to Asia if the government follows through on its pledge to crack down on bonuses.

Warnings that banks may quit London are “a familiar negotiating technique and clearly one has to listen to them — one has to take these things seriously,” Cable said in an interview with Bloomberg Television in Beijing yesterday. “But it is clear that you have got to balance that against our national interest. Banks have to be safe and that means that the regulations have to take into account the potential problems created by cash bonuses.”

Royal Bank of Scotland Group Plc Chairman Philip Hampton and Standard Chartered Plc Chief Executive Officer Peter Sands said during a trade mission to Beijing with Cable and Chancellor of the Exchequer George Osborne that tighter bonus rules would drive bankers and traders away from London.
…
In April, the U.K. introduced a new 50 percent tax band for those earning more than 150,000 pounds a year. Osborne said last month he will block the payment of large bonuses unless banks show they are extending credit to households and companies.

HSBC Bank of Canada is redeeming its HaTS-series 2010. This Innovative Tier 1 Capital Issue is described as:

Each Series 2010 unit was issued at $1,000 per unit to provide an effective annual yield of 7.78 per cent to December 31, 2010 and the six month bankers’ acceptance rate plus 2.37 per cent thereafter. The units are not redeemable by the holders. The Trust may redeem the units on any distribution date, subject to regulatory approval.

Hellzapoppin’ on the Canadian preferred share market today, with PerpetualDiscounts rocketting up 55bp and FixedResets soaring 17bp, taking the median weighted average pre-tax yield to worst on the latter index down to 2.86%. Volume continued at elevated levels. All entries in the Performance table are in the black and my snarky remarks about MFC on the weekend appear to have attracted considerable interest … from contrarians.

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	0.9241 %	2,229.2
FixedFloater	4.90 %	3.49 %	26,665	19.20	1	-0.0900 %	3,433.8
Floater	2.67 %	2.34 %	61,573	21.40	4	0.9241 %	2,407.0
OpRet	4.77 %	2.71 %	81,117	1.87	9	0.3562 %	2,400.9
SplitShare	5.84 %	-12.93 %	67,059	0.08	2	0.0403 %	2,411.2
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3562 %	2,195.4
Perpetual-Premium	5.62 %	4.96 %	164,121	3.08	24	0.2291 %	2,029.6
Perpetual-Discount	5.30 %	5.29 %	257,807	14.87	53	0.5459 %	2,059.9
FixedReset	5.19 %	2.86 %	343,587	3.21	50	0.1738 %	2,297.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 17.05 Evaluated at bid price : 17.05 Bid-YTW : 3.10 %
BAM.PR.P	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 28.09 Bid-YTW : 3.82 %
PWF.PR.A	Floater	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.88 Evaluated at bid price : 22.12 Bid-YTW : 2.34 %
SLF.PR.C	Perpetual-Discount	1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 5.30 %
ELF.PR.G	Perpetual-Discount	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 5.83 %
SLF.PR.D	Perpetual-Discount	1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.28 %
SLF.PR.A	Perpetual-Discount	1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 22.53 Evaluated at bid price : 22.72 Bid-YTW : 5.29 %
BAM.PR.I	OpRet	1.81 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-08 Maturity Price : 25.50 Evaluated at bid price : 27.00 Bid-YTW : -49.79 %
MFC.PR.B	Perpetual-Discount	1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.75 Evaluated at bid price : 21.75 Bid-YTW : 5.43 %
MFC.PR.C	Perpetual-Discount	3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.33 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.I	FixedReset	227,675	National crossed 80,000 at 26.61; RBC crossed 94,200 at 26.62. National crossed two more blocs, of 20,000 and 18,000 shares, both at 26.61. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 2.87 %
TD.PR.P	Perpetual-Premium	196,484	Desjardins crossed 175,000 at 25.19. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.14 Bid-YTW : 5.19 %
SLF.PR.E	Perpetual-Discount	138,425	Nesbitt crossed blocks of 45,000 and 20,000, both at 21.40. RBC crossed 55,400 at 21.51. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-08 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.30 %
RY.PR.X	FixedReset	114,790	RBC crossed 20,200 at 28.10; Scotia crossed 50,000 at the same price; RBC crossed another 10,000 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 28.05 Bid-YTW : 2.86 %
CM.PR.D	Perpetual-Premium	108,060	Nesbitt crossed blocks of 40,000 and 59,800, both at 25.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-05-30 Maturity Price : 25.25 Evaluated at bid price : 25.56 Bid-YTW : 3.71 %
MFC.PR.E	FixedReset	73,900	RBC crossed blocks of 25,000 and 16,600, both at 26.90. Nesbitt crossed 20,000 at 27.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.85 Bid-YTW : 3.78 %
There were 50 other index-included issues trading in excess of 10,000 shares.

Gregg Berman of the SEC has contradicted Nanex:

There is no indication thus far that “one or more parties flooded the market with quotes” to cause delays in exchange feeds that list stock prices,Gregg Berman, a senior adviser to the SEC’s trading and markets division, said today at a Washington meeting to discuss the May 6 plunge.

Berman’s comments were at odds with speculation by Nanex LLC, a market-data provider, which said high-frequency traders destabilized New York Stock Exchange trading by submitting and then canceling thousands of rapid-fire orders.

OK, Mr. Berman, you say there’s no evidence that there was quote-stuffing to destabilize the markets. Fair enough. But (a) do you agree that a very high volume of orders led to delays in the tape? and (b) If so, what is your explanation?

And, of course, the booHooHoo brigade is fighting for the rights of twerps from good schools to make a fat living:

Brooksley Born, a former CFTC chairman serving on the panel advising the agencies, said investor confidence has been eroded by concerns that high-frequency traders have better access to markets and information.

Born said she sees “major problems” with the level of order cancellations by high-frequency traders. She said she’s worried that some firms submit “fraudulent” quotes to get a sense of where asset prices are heading.
…
Regulators should consider placing restrictions on algorithmic transactions and limiting how many contracts a single firm can trade, said CFTC Commissioner Bart Chilton. Permitting high-frequency traders to buy and sell 10 percent of a market 10 times in 10 seconds doesn’t seem to provide any benefit to financial markets, he said.

“It seems there is a good argument that this type of trading is, in essence, parasitical trading,” Chilton said. “Given what we saw on May 6th, appropriate limits on financial futures and robotic algos seems warranted.”

Um … why should you care whether any benefit is provided to financial markets? Isn’t your job to ensure there is no harm done to the financial markets? It’s a totally different mind-set. It’s too bad Chilton didn’t let the rest of us know what the “good argument” is. And by the way, Ms. Born, in what way are the quotes submitted “fraudulent”?

One semi-legitimate worry is the idea that momentum trading causes negative convexity:

Robert Cook, director of the SEC’s trading and markets unit, said regulators are examining how brokers and other firms create algorithms, how they test the computer programs and what information is disclosed to customers about how they work. An SEC task force began looking at algorithm use before the crash, and it is an area of “further inquiry,” Cook said.

Regulators are also examining whether a firm’s algorithm could “cascade,” causing executions to affect market prices in ways that trigger further action by the computerized-trading system, said Andrei Kirilenko, a senior economist at the CFTC.

… but frankly I don’t see how that becomes an SEC problem. The Nanex critique of the SEC report has been discussed on PrefBlog.

It was another hot day on heavy volume for the Canadian preferred share market, with PerpetualDiscounts gaining 24bp and FixedResets up 3bp.

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	0.2961 %	2,208.8
FixedFloater	4.89 %	3.48 %	25,289	19.22	1	1.2762 %	3,436.9
Floater	2.70 %	2.37 %	57,000	21.32	4	0.2961 %	2,384.9
OpRet	4.79 %	2.85 %	81,355	1.88	9	-0.0297 %	2,392.4
SplitShare	5.84 %	-13.63 %	66,403	0.09	2	0.1614 %	2,410.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0297 %	2,187.6
Perpetual-Premium	5.62 %	5.03 %	166,311	3.09	24	0.1132 %	2,025.0
Perpetual-Discount	5.32 %	5.34 %	258,068	14.87	53	0.2447 %	2,048.7
FixedReset	5.19 %	2.86 %	340,951	3.22	50	0.0272 %	2,293.3

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.I	OpRet	-1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2010-12-05 Maturity Price : 25.50 Evaluated at bid price : 26.52 Bid-YTW : -32.90 %
SLF.PR.A	Perpetual-Discount	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 21.97 Evaluated at bid price : 22.35 Bid-YTW : 5.36 %
BAM.PR.G	FixedFloater	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 25.00 Evaluated at bid price : 22.22 Bid-YTW : 3.48 %
SLF.PR.B	Perpetual-Discount	2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 22.62 Evaluated at bid price : 22.81 Bid-YTW : 5.32 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.P	FixedReset	224,830	Nesbitt crossed blocks of 112,700 and 100,000, both at 26.59. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.59 Bid-YTW : 2.37 %
RY.PR.I	FixedReset	104,625	TD crossed 97,700 at 26.62. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.65 Bid-YTW : 2.79 %
SLF.PR.D	Perpetual-Discount	65,456	Nesbitt crossed two blocks of 25,000 each, both at 21.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 21.01 Evaluated at bid price : 21.01 Bid-YTW : 5.37 %
BAM.PR.T	FixedReset	65,435	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 23.09 Evaluated at bid price : 25.00 Bid-YTW : 4.17 %
MFC.PR.B	Perpetual-Discount	50,784	TD crossed 25,000 at 21.41. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.53 %
BMO.PR.K	Perpetual-Discount	46,345	TD crossed 25,000 at 24.80. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-05 Maturity Price : 24.58 Evaluated at bid price : 24.82 Bid-YTW : 5.29 %
There were 54 other index-included issues trading in excess of 10,000 shares.

The mortgage rep & warranty issue in the States, briefly mentioned on October 25 is getting more interesting:

Total losses from repurchases by the banks, which also include Wells Fargo & Co., Citigroup Inc., PNC Financial Services Group Inc. and U.S. Bancorp, may amount to about $43 billion from 2009 to 2012, Vandana Sharma, an S&P credit analyst, wrote in a report today. The banks have accounted for about $12.4 billion so far, she said.

Fannie Mae, Freddie Mac and bond insurers such as MBIA Inc. are pressing lenders to honor promises to buy back mortgages if they’re later found to be based on inaccurate data. Known as representations and warranties, the promises cover defects such as inflated appraisals or misstatements about borrowers.
…
The repurchases will only become “systemic” and affect credit ratings if more so-called private-label mortgage investors pursue the six lenders, according to the report.

A group of such investors, including Bill Gross’s Pacific Investment Management C
o. and BlackRock Inc., last month moved to use Bank of America’s allegedly faulty mortgage servicing to overcome hurdles blocking them from seeking repurchases. Typically, mortgage bond trustees must make the claim on their behalf.

I trust nobody thinks that you get appointed to a nice job as mortgage bond trustee by making waves and rocking the boat.

The Kansas City Fed has released a working paper by Nada Mora titled Lender Exposure and Effort in
the Syndicated Loan Market:

This paper tests for agency problems between the lead arranger and syndicate participants in the syndicated loan market. One problem comes from adverse selection, whereby the lead arranger has a private informational advantage over participants. A second problem comes from moral hazard, whereby the lead arranger puts less effort in monitoring when it retains a smaller loan portion. Applying an instrumental variables strategy, I find that borrowers’ performance is influenced by the lead’s share. Dynamic tests extract active contributions made by the lead, supporting a monitoring interpretation. Loan covenants serve as a mechanism to induce the lead arranger to monitor.

Monitoring and skin in the game are more important than might be otherwise thought, because nearly half of the borrowers are “opaque”, where opacity is defined as:

Dummy = 1 indicating publicly traded borrowers without a debt rating, and 0 otherwise. This information is from Compustat.

The Republican majority in the House may be seeking to undermine Dodd-Frank:

Hours after Republicans secured control of the U.S. House, the council of federal regulators studying how to implement the so-called Volcker rule received a warning from the lawmaker in line to be their new overseer.

U.S. Representative Spencer Bachus, the Alabama Republican who may become chairman of the House Financial Services Committee, said in a Nov. 3 comment letter to the new Financial Stability Oversight Council that the rule barring bank holding companies from trading on their own accounts will undermine U.S. competitiveness and cut profits at the largest banks.

“Depending on how U.S. regulators choose to implement it, the Volcker rule may spark a mass exodus of clients from U.S. banks to banks based abroad,” wrote Bachus, who offered an amendment during the legislative process that would have disabled the rule until other countries established similar regulation.

I regret to advise that the “Market Action” portion of this report will be delayed. My internet connection has decided to become useless – I can connect to the internet, but I can’t get any data. Thank you, Bell Canada! These words are being typed via my Blackberry, but unfortunately HIMIPref™ is not (yet) an app downloadable for $1.99 from the App Store! I will update this post when Bell replaces the hamsters in the wheel.

Update, 2010-11-5: Sorry for the delays.

November 4 was another red-hot day on the Canadian preferred share market, with PerpetualDiscounts up 23bp and FixedResets gaining 14bp.

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	-0.2184 %	2,202.3
FixedFloater	4.96 %	3.54 %	26,300	19.15	1	-0.2727 %	3,393.5
Floater	2.70 %	2.38 %	54,764	21.29	4	-0.2184 %	2,377.9
OpRet	4.79 %	2.87 %	81,466	1.88	9	0.2252 %	2,393.1
SplitShare	5.85 %	-13.84 %	66,140	0.09	2	0.1212 %	2,406.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2252 %	2,188.3
Perpetual-Premium	5.63 %	5.02 %	164,378	3.09	24	0.0685 %	2,022.7
Perpetual-Discount	5.34 %	5.38 %	257,621	14.85	53	0.2321 %	2,043.7
FixedReset	5.20 %	2.88 %	339,797	3.22	50	0.1404 %	2,292.6

Performance Highlights
Issue	Index	Change	Notes
POW.PR.B	Perpetual-Discount	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-04 Maturity Price : 23.88 Evaluated at bid price : 24.15 Bid-YTW : 5.58 %
ELF.PR.G	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-04 Maturity Price : 20.28 Evaluated at bid price : 20.28 Bid-YTW : 5.92 %
BAM.PR.P	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-30 Maturity Price : 25.00 Evaluated at bid price : 28.03 Bid-YTW : 3.87 %
CIU.PR.B	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-01 Maturity Price : 25.00 Evaluated at bid price : 28.80 Bid-YTW : 2.67 %
MFC.PR.B	Perpetual-Discount	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-04 Maturity Price : 21.43 Evaluated at bid price : 21.43 Bid-YTW : 5.51 %
TRP.PR.A	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 2.96 %
BAM.PR.O	OpRet	1.15 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 2.85 %
IAG.PR.C	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.49 Bid-YTW : 3.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.N	Perpetual-Discount	213,701	RBC crossed blocks of 123,500 at 25.08 and then 74,100 at 25.14. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-04 Maturity Price : 24.80 Evaluated at bid price : 25.04 Bid-YTW : 5.27 %
RY.PR.I	FixedReset	104,630	Desjardins crossed 98,500 at 26.62. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.62 Bid-YTW : 2.82 %
CM.PR.P	Perpetual-Premium	101,780	Desjardins crossed blocks of 20,000 and 50,000, both at 25.26. RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-28 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 5.14 %
MFC.PR.D	FixedReset	57,159	TD crossed 25,000 at 27.85; Nesbitt crossed 12,600 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.95 Bid-YTW : 3.44 %
BNS.PR.O	Perpetual-Premium	46,270	Desjardins crossed 40,000 at 25.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-26 Maturity Price : 25.00 Evaluated at bid price : 25.79 Bid-YTW : 5.08 %
GWO.PR.M	Perpetual-Premium	43,495	Nesbitt crossed blocks of 12,000 and 19,600, both at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : 5.69 %
There were 45 other index-included issues trading in excess of 10,000 shares.

Naked access has been banned:

SEC commissioners voted 5-0 today to approve a rule that requires brokers to implement pre-trade risk controls when clients use the firms’ identification codes to trade directly on exchanges. Agency officials proposed the regulation in January, saying they were concerned that a computer malfunction or human error might trigger an order that would erode a broker’s capital.

The SEC rule targets so-called naked-sponsored access, in which a customer uses a broker’s identification code while bypassing pre-trade risk controls. The tactic is used by traders whose strategy of buying and selling thousands of shares in milliseconds would be slowed if they executed through a broker.

I would have thought that the potential for erosion of the brokers’ capital was the brokers’ problem. But nowadays, I guess, everything is a public utility.

The FOMC statement was pretty much as expected:

Employers remain reluctant to add to payrolls. Housing starts continue to be depressed. Longer-term inflation expectations have remained stable, but measures of underlying inflation have trended lower in recent quarters.
…
To promote a stronger pace of economic recovery and to help ensure that inflation, over time, is at levels consistent with its mandate, the Committee decided today to expand its holdings of securities. The Committee will maintain its existing policy of reinvesting principal payments from its securities holdings. In addition, the Committee intends to purchase a further $600 billion of longer-term Treasury securities by the end of the second quarter of 2011, a pace of about $75 billion per month. The Committee will regularly review the pace of its securities purchases and the overall size of the asset-purchase program in light of incoming information and will adjust the program as needed to best foster maximum employment and price stability.
…
Voting against the policy was Thomas M. Hoenig. Mr. Hoenig believed the risks of additional securities purchases outweighed the benefits. Mr. Hoenig also was concerned that this continued high level of monetary accommodation increased the risks of future financial imbalances and, over time, would cause an increase in long-term inflation expectations that could destabilize the economy.

The FRBNY gave details of the implementation; it should be noted that they are also reinvesting principal repayments received from their mortgage portfolio. However, the market was unimpressed by the term-structure of the proposed purchases:

Treasury 30-year bond fell the most in two months after the Federal Reserve said it will buy fewer of the securities than anticipated by investors in its $600 billion program of purchases to boost the economy.

The difference between rates on 30-year bonds and Treasury Inflation Protected Securities touched the highest since May 2008 on concern the Fed will be successful in reigniting inflation.
…
“The yield curve should start to steepen because the Fed will focus on 5- to 6- years,” said William Larkin, a fixed income portfolio manager in Salem, Massachusetts at Cabot Money Management, which manages $500 million. “The risk once they finish is that inflation will be elevated. There’s a good chance we’ll be rip-roaring in terms of growth and inflation.”

Thirty-year bond yields rose 13 basis points to yield 4.06 percent at 4:02 p.m. in New York, the biggest rise since Sept. 9. The 3.875 percent bonds due in August 2040 rose [sic – I think they meant “declined” – JH] 2 8/32, or $22.50 per $1,000, to 96 26/32.
…
The difference between rates on 30-year bonds and Treasury Inflation Protected Securities, touched 2.74 percent, the highest since May 2008 when the financial crisis was intensifying.

The Potash takeover has been blocked; apparently if Canadians are allowed sell their (minority) position in the company at a good price, we’re too damn stupid to reinvest the money and will just waste it on beer and prostitutes. I eagerly await the next sermon on productivity.

Today’s most surprising news is that Premier Dad has done something intelligent:

Premier Dalton McGuinty announced Wednesday that 75 PhD students will receive full four-year scholarships, each worth $40,000 annually, starting in the 2011-12 school years. The program is billed as the first of its kind in Canada.

It remains to be seen just what fields of study will be emphasized.

The Canadian preferred share market had another good day, with both PerpetualDiscounts and FixedResets up 20bp, on continued high volume (Desjardins had a good day!). This is getting really dull. Remember the good old days of the Panic of 2007, when you read this blog just to find out how much money you’d lost? And it took half an hour just to scan the Performance Highlights table? That was fund. FixedResets set a new all-time yield low … I’ll post about it in a while.

PerpetualDiscounts now yield 5.37%, equivalent to 7.52% interest at the standard equivalency factor of 1.4x. Long Corporates now yield 5.2% (OK, a little over. Sue me) so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 230bp, a slight (and perhaps meaningless) tightening from the 235bp reported on October 29.

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	0.3739 %	2,207.1
FixedFloater	4.94 %	3.52 %	26,120	19.18	1	1.1494 %	3,402.8
Floater	2.70 %	2.37 %	56,997	21.33	4	0.3739 %	2,383.1
OpRet	4.80 %	3.31 %	79,275	1.88	9	-0.0467 %	2,387.7
SplitShare	5.86 %	-14.48 %	65,974	0.09	2	0.4056 %	2,403.5
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0467 %	2,183.3
Perpetual-Premium	5.63 %	5.12 %	160,469	3.09	24	0.0530 %	2,021.3
Perpetual-Discount	5.35 %	5.37 %	257,574	14.80	53	0.2031 %	2,039.0
FixedReset	5.20 %	2.88 %	344,769	3.23	50	0.2047 %	2,289.4

Performance Highlights
Issue	Index	Change	Notes
IAG.PR.C	FixedReset	-1.53 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-30 Maturity Price : 25.00 Evaluated at bid price : 27.08 Bid-YTW : 3.67 %
BMO.PR.K	Perpetual-Discount	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 24.21 Evaluated at bid price : 24.44 Bid-YTW : 5.37 %
BNA.PR.C	SplitShare	1.07 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 22.75 Bid-YTW : 5.89 %
MFC.PR.B	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.57 %
BAM.PR.G	FixedFloater	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 25.00 Evaluated at bid price : 22.00 Bid-YTW : 3.52 %
MFC.PR.E	FixedReset	1.20 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-10-19 Maturity Price : 25.00 Evaluated at bid price : 26.91 Bid-YTW : 3.69 %
MFC.PR.C	Perpetual-Discount	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.57 %
ELF.PR.G	Perpetual-Discount	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.85 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.K	Perpetual-Discount	176,198	Desjardins crossed blocks of 76,200 and 86,700, both at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 23.73 Evaluated at bid price : 24.00 Bid-YTW : 5.02 %
TD.PR.R	Perpetual-Premium	120,060	Desjardins crossed blocks of 69,000 shares, 32,900 and 11,800, all at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-05-30 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 5.14 %
CM.PR.P	Perpetual-Premium	94,780	Desjardins crossed blocks of 25,000 and 68,400, both at 25.26. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-28 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 5.12 %
SLF.PR.C	Perpetual-Discount	85,594	RBC crossed blocks of 50,000 and 22,800, both at 20.69. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 5.41 %
BAM.PR.T	FixedReset	81,735	Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-11-03 Maturity Price : 23.07 Evaluated at bid price : 24.92 Bid-YTW : 4.19 %
BMO.PR.L	Perpetual-Premium	64,960	Desjardins crossed 56,700 at 26.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-24 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 5.05 %
There were 54 other index-included issues trading in excess of 10,000 shares.