Greece may be getting some money:
European Union and International Monetary Fund officials agreed to pay the next installment to Greece under last year’s 110 billion-euro ($161 billion) bailout, paving the way for an upgraded aid package that includes a “voluntary” role for investors.
“I expect the eurogroup to agree to additional financing to be provided to Greece under strict conditionality,” Luxembourg Prime Minister Jean-Claude Juncker said after meeting with Greek Prime Minister George Papandreou in Luxembourg today. “This conditionality will include private sector involvement on a voluntary basis.”
It should be remembered, however, that Jean-Claude Juncker is a liar, unworthy of respect or position.
The Bank of Canada has released a working paper by Alexandre Lazarow titled Lessons from International Central Counterparties: Benchmarking and Analysis:
Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. However, internationally accepted standards and the academic literature have left unanswered many practical questions related to the design of CCPs. The author analyzes the inherent trade‐offs and resulting international benchmarks for a certain set of issues. Four CCPs – FINet, CME Clearing, Eurex Clearing and LCH.Clearnet – are considered in terms of risk management, CCP links, governance and operational risk.
This may be viewed as part of the global regulators’ desperate attempts to convince fools that single point failure and moral hazard is not a problem as long as they’re in charge, oh no.
Today, they called it mellow yellow.
| YLO Issues, 2011-6-2 | |||||
| Ticker | Quote 6/2 |
Quote 6/3 |
Bid YTW 6/3 |
YTW Scenario 6/3 |
Performance 6/3 (bid/bid) |
| YLO.PR.A | 23.05-15 | 22.84-91 | 10.93% | Soft Maturity 2012-12-30 |
-0.91% |
| YLO.PR.B | 16.30-38 | 16.32-49 | 13.97% | Soft Maturity 2017-06-29 |
+0.12% |
| YLO.PR.C | 17.76-90 | 18.08-25 | 9.22% | Limit Maturity | +1.80% |
| YLO.PR.D | 18.44-51 | 18.45-70 | 9.21% | Limit Maturity | +0.05% |
A very positive day in the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets gaining 10bp and DeemedRetractibles winning 21bp. Volatility was muted. Volume was sub-par.
| 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 | 0.0932 % | 2,464.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0932 % | 3,707.2 |
| Floater | 2.44 % | 2.24 % | 43,116 | 21.63 | 4 | 0.0932 % | 2,661.4 |
| OpRet | 4.86 % | 3.15 % | 65,912 | 0.40 | 9 | 0.0686 % | 2,424.5 |
| SplitShare | 5.23 % | 0.12 % | 60,925 | 0.53 | 6 | -0.0854 % | 2,507.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0686 % | 2,216.9 |
| Perpetual-Premium | 5.65 % | 4.89 % | 156,497 | 1.42 | 12 | -0.0066 % | 2,077.5 |
| Perpetual-Discount | 5.43 % | 5.47 % | 121,615 | 14.57 | 18 | 0.0722 % | 2,186.1 |
| FixedReset | 5.14 % | 3.16 % | 194,190 | 2.84 | 57 | 0.0998 % | 2,315.6 |
| Deemed-Retractible | 5.06 % | 4.86 % | 295,302 | 8.14 | 47 | 0.2131 % | 2,157.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BNS.PR.L | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 4.62 % |
| FTS.PR.G | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-10-01 Maturity Price : 25.00 Evaluated at bid price : 26.25 Bid-YTW : 2.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.W | Perpetual-Discount | 153,040 | RBC crossed 35,000 at 24.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-03 Maturity Price : 24.27 Evaluated at bid price : 24.58 Bid-YTW : 5.00 % |
| CM.PR.H | Deemed-Retractible | 82,953 | Called for redemption. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-07-03 Maturity Price : 25.75 Evaluated at bid price : 25.93 Bid-YTW : 1.43 % |
| CM.PR.L | FixedReset | 61,216 | RBC crossed blocks of 24,900 and 25,000 at 27.86. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.75 Bid-YTW : 2.88 % |
| BAM.PR.X | FixedReset | 59,200 | RBC bought 37,700 from HSBC at 24.85, then crossed 20,000 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-03 Maturity Price : 23.05 Evaluated at bid price : 24.84 Bid-YTW : 4.16 % |
| BNS.PR.M | Deemed-Retractible | 51,178 | TD crossed 30,000 at 24.70. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 4.64 % |
| HSE.PR.A | FixedReset | 45,813 | RBC crossed 15,000 at 25.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-06-03 Maturity Price : 25.53 Evaluated at bid price : 25.58 Bid-YTW : 4.05 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.R | FixedReset | Quote: 26.11 – 26.50 Spot Rate : 0.3900 Average : 0.2967 YTW SCENARIO |
| SLF.PR.A | Deemed-Retractible | Quote: 23.63 – 23.88 Spot Rate : 0.2500 Average : 0.1613 YTW SCENARIO |
| ENB.PR.A | Perpetual-Premium | Quote: 25.24 – 25.50 Spot Rate : 0.2600 Average : 0.1762 YTW SCENARIO |
| NA.PR.O | FixedReset | Quote: 27.37 – 27.63 Spot Rate : 0.2600 Average : 0.1775 YTW SCENARIO |
| TDS.PR.C | SplitShare | Quote: 10.27 – 10.52 Spot Rate : 0.2500 Average : 0.1848 YTW SCENARIO |
| RY.PR.B | Deemed-Retractible | Quote: 25.00 – 25.17 Spot Rate : 0.1700 Average : 0.1145 YTW SCENARIO |