IIROC has repealed the tick-test on short sales, effective 2012-9-1. But fear not, regulation fans! They will also be “enhancing monitoring of short sales and failed trades”, so there will still be plenty of paperwork.
Greece’s credit ratings were cut to “C” by Moody’s Investors Service after it negotiated the biggest sovereign debt restructuring ever.
Moody’s dropped Greece’s rating to the lowest level from Ca, saying in a statement today that investors who participate in the nation’s debt exchange will get about 70 percent less than the face value of their holdings. The deal constitutes “a distressed exchange, and hence a default,” the New York-based rating company said.
It was a relatively uneventful day for the Canadian preferred share market, with PerpetualPremiums unchanged, FixedResets up 9bp and DeemedRetractibles down 4bp; however the Performance Highlights table is fairly lengthy considering the lack of overall movement. Volume was below average – and surprisingly, only one of the recent new issues made the Volume Highlights list.
| 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 | 0.7506 % | 2,382.3 |
| FixedFloater | 4.53 % | 3.91 % | 39,661 | 17.45 | 1 | 0.0956 % | 3,438.8 |
| Floater | 3.01 % | 3.04 % | 50,782 | 19.56 | 3 | 0.7506 % | 2,572.3 |
| OpRet | 4.87 % | 2.83 % | 52,352 | 1.27 | 6 | -0.1906 % | 2,513.9 |
| SplitShare | 5.27 % | -0.93 % | 87,183 | 0.77 | 4 | 0.2994 % | 2,680.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1906 % | 2,298.7 |
| Perpetual-Premium | 5.39 % | -1.65 % | 113,693 | 0.16 | 25 | 0.0008 % | 2,218.0 |
| Perpetual-Discount | 5.06 % | 5.11 % | 192,502 | 15.24 | 7 | -0.2450 % | 2,435.5 |
| FixedReset | 5.04 % | 2.86 % | 212,449 | 2.24 | 66 | 0.0872 % | 2,389.1 |
| Deemed-Retractible | 4.92 % | 3.72 % | 236,029 | 2.92 | 46 | -0.0356 % | 2,315.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.C | FixedReset | -2.39 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.22 % |
| IFC.PR.C | FixedReset | -1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.91 Bid-YTW : 3.52 % |
| BAM.PR.R | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-02 Maturity Price : 23.66 Evaluated at bid price : 26.62 Bid-YTW : 3.65 % |
| PWF.PR.P | FixedReset | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-02 Maturity Price : 23.54 Evaluated at bid price : 25.95 Bid-YTW : 2.94 % |
| HSE.PR.A | FixedReset | 1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-02 Maturity Price : 23.55 Evaluated at bid price : 26.05 Bid-YTW : 3.01 % |
| MFC.PR.C | Deemed-Retractible | 1.28 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.65 Bid-YTW : 5.20 % |
| BAM.PR.B | Floater | 1.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-02 Maturity Price : 17.54 Evaluated at bid price : 17.54 Bid-YTW : 3.02 % |
| BAM.PR.X | FixedReset | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-02 Maturity Price : 23.24 Evaluated at bid price : 25.31 Bid-YTW : 3.38 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.P | FixedReset | 174,753 | TD crossed blocks of 25,000 shares, 50,000 and 59,300, all at 26.87. RBC crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.87 Bid-YTW : 2.82 % |
| BMO.PR.K | Deemed-Retractible | 81,555 | RBC crossed 35,000 at 26.54. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-11-25 Maturity Price : 26.00 Evaluated at bid price : 26.51 Bid-YTW : 2.48 % |
| SLF.PR.F | FixedReset | 78,035 | RBC crossed blocks of 35,800 and 13,900, both at 26.60. Desjardins crossed 25,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.64 Bid-YTW : 3.52 % |
| POW.PR.G | Perpetual-Premium | 65,602 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-15 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 5.22 % |
| BMO.PR.J | Deemed-Retractible | 30,590 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.76 Bid-YTW : 3.72 % |
| BAM.PR.H | OpRet | 27,797 | TD crossed 12,300 at 25.35. YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2012-04-01 Maturity Price : 25.00 Evaluated at bid price : 25.36 Bid-YTW : -0.03 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IGM.PR.B | Perpetual-Premium | Quote: 26.95 – 27.30 Spot Rate : 0.3500 Average : 0.2314 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 52.27 – 52.65 Spot Rate : 0.3800 Average : 0.2963 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 23.78 – 24.13 Spot Rate : 0.3500 Average : 0.2732 YTW SCENARIO |
| GWO.PR.I | Deemed-Retractible | Quote: 24.21 – 24.48 Spot Rate : 0.2700 Average : 0.1946 YTW SCENARIO |
| PWF.PR.H | Perpetual-Premium | Quote: 25.51 – 25.79 Spot Rate : 0.2800 Average : 0.2092 YTW SCENARIO |
| NA.PR.M | Deemed-Retractible | Quote: 27.05 – 27.33 Spot Rate : 0.2800 Average : 0.2126 YTW SCENARIO |