Greek CDSs are being settled at 21.5%:
Sellers of credit-default swaps on Greece will have to pay as much as $2.5 billion to settle contracts triggered by the nation’s debt restructuring.
The settlement was determined after dealers agreed a final value for Greek bonds of 21.5 percent of face value at an auction, according to administrators Markit Group Ltd. and Creditex Group Inc., and is in line with where the notes have been trading.
Greek credit-default swaps are being settled after investors were forced to exchange their bonds at a loss in the biggest ever debt restructuring. The auction ends more than two years of speculation over whether the derivatives are reliable for insuring sovereign debt after European policy makers sought to prevent payouts on concern they’d worsen the region’s crisis.
OSFI has gone to the unprecedented step of issuing a news release regarding mortgage underwriting guidelines. Naturally, there is no meat at all in the release, but the referenced draft guidelines create the usual paperwork increase.
DBRS has imposed new website conditions:
SITE Lockdown – Public Users must register
So now there will be more moronic spam for me to delete every day. And I just got less inclined to be civil when somebody calls from DBRS. Oh, well.
I wrote a Letter to Toronto City Council regarding the Sheppard Avenue East subway.
It was a quiet day for the Canadian preferred share market, with PerpetualPremiums gaining 1bp, FixedResets flat and DeemedRetractibles losing 19bp. The Performance Highlights table is suitably short; volume was 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 | 0.5991 % | 2,463.0 |
| FixedFloater | 4.54 % | 3.93 % | 38,170 | 17.39 | 1 | 0.5772 % | 3,432.2 |
| Floater | 2.93 % | 2.93 % | 48,264 | 19.92 | 3 | 0.5991 % | 2,659.4 |
| OpRet | 4.92 % | 2.82 % | 52,366 | 1.25 | 6 | -0.0707 % | 2,504.5 |
| SplitShare | 5.27 % | -2.64 % | 84,103 | 0.74 | 4 | 0.1994 % | 2,680.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0707 % | 2,290.1 |
| Perpetual-Premium | 5.40 % | 2.75 % | 100,443 | 0.12 | 25 | 0.0140 % | 2,215.1 |
| Perpetual-Discount | 5.11 % | 5.09 % | 189,382 | 15.25 | 7 | -0.1591 % | 2,421.0 |
| FixedReset | 5.05 % | 2.97 % | 194,293 | 2.19 | 67 | -0.0023 % | 2,385.2 |
| Deemed-Retractible | 4.96 % | 3.93 % | 199,262 | 2.88 | 46 | -0.1884 % | 2,301.7 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.M | Deemed-Retractible | -1.51 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-05-15 Maturity Price : 26.00 Evaluated at bid price : 26.80 Bid-YTW : 3.51 % |
| MFC.PR.C | Deemed-Retractible | -1.09 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.51 Bid-YTW : 5.31 % |
| SLF.PR.D | Deemed-Retractible | -1.04 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.86 Bid-YTW : 5.60 % |
| BAM.PR.C | Floater | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-19 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 2.93 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PR.E | FixedReset | 105,856 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 27.03 Bid-YTW : 2.68 % |
| BAM.PF.A | FixedReset | 59,706 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-03-19 Maturity Price : 23.07 Evaluated at bid price : 24.92 Bid-YTW : 4.46 % |
| RY.PR.N | FixedReset | 42,788 | Scotia crossed 39,900 at 26.75. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-24 Maturity Price : 25.00 Evaluated at bid price : 26.71 Bid-YTW : 2.84 % |
| CM.PR.J | Deemed-Retractible | 35,156 | ITG (who?) bought 19,800 from Nesbitt at 26.22. YTW SCENARIO Maturity Type : Call Maturity Date : 2012-04-30 Maturity Price : 26.00 Evaluated at bid price : 26.22 Bid-YTW : 2.01 % |
| BNS.PR.Z | FixedReset | 26,469 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 3.27 % |
| MFC.PR.H | FixedReset | 25,928 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 4.55 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| NA.PR.P | FixedReset | Quote: 27.16 – 27.80 Spot Rate : 0.6400 Average : 0.4320 YTW SCENARIO |
| FBS.PR.C | SplitShare | Quote: 10.56 – 10.93 Spot Rate : 0.3700 Average : 0.2357 YTW SCENARIO |
| NA.PR.M | Deemed-Retractible | Quote: 26.80 – 27.10 Spot Rate : 0.3000 Average : 0.2250 YTW SCENARIO |
| IAG.PR.E | Deemed-Retractible | Quote: 25.80 – 26.30 Spot Rate : 0.5000 Average : 0.4265 YTW SCENARIO |
| PWF.PR.P | FixedReset | Quote: 25.77 – 26.04 Spot Rate : 0.2700 Average : 0.1967 YTW SCENARIO |
| RY.PR.I | FixedReset | Quote: 26.10 – 26.36 Spot Rate : 0.2600 Average : 0.1882 YTW SCENARIO |