Looks like we’ve entered the Even Greater Moderation:
Expectations for price swings in the dollar-yen currency pair fell to a record as signs of an uneven U.S. economic recovery fueled bets the Federal Reserve will keep borrowing costs at unprecedented lows.
…
Three-month implied volatility in dollar-yen was at 5.795 percent at 6:46 a.m. in London after declining to 5.715 percent, the lowest level since Bloomberg began compiling the data in December 1995.
The SEC has demanded a test of small-stock tick-sizes to see whether a larger tick-size improves liquidity of these stocks:
The experiment was sought by exchange operators including Nasdaq OMX Group Inc. (NDAQ) and Intercontinental Exchange Inc. (ICE), which have seen their share of trading fall as private platforms such as dark pools have taken 37 percent of total share volume, according to data compiled by Bloomberg. The test will prevent trading outside the exchanges unless a competing venue or broker offers a significantly better price or size lot to investors, according to an order posted on the SEC’s website.
Other features of the program, which will last one year, will strictly test the impact of rolling back penny pricing in stocks of smaller-cap companies. Under that experiment, the shares of companies with market values under $5 billion will only be quoted in five-cent increments.
Supporters of the test say it will encourage market makers that facilitate trading to buy and sell more shares and create conditions that would persuade more companies to go public. The SEC has been considering the experiment for more than a year as some lawmakers in Congress have pushed legislation to force a change.
Regrettably, other tests have not been announced – repealing Sarbanes-Oxley for these companies, for instance, or reducing capital requirements for market-makers who are banks, or actually increasing maker-taker exchange pricing for these issues.
Manulife Financial, proud issuer of MFC.PR.A, MFC.PR.B, MFC.PR.C, MFC.PR.E, MFC.PR.F, MFC.PR.G, MFC.PR.H, MFC.PR.I, MFC.PR.J, MFC.PR.K and MFC.PR.L, has been confirmed at Pfd-2(high) by DBRS:
DBRS has today confirmed the ratings on Manulife Financial Corporation (Manulife or the Company) and its affiliates, including The Manufacturers Life Insurance Company, its primary operating company. The rating on the Senior Unsecured Notes issued by Manulife Finance Holdings Limited has been discontinued due to repayment. All trends are Stable.
The ratings reflect the Company’s strong position in a number of geographic and product markets, including Canada and the fast-growing Asian market through the Manulife brand, and in the United States through the John Hancock brand. The Company is also well diversified by customer, distribution channel and product line. Risk management policies and procedures are rigourous, giving rise to a high-quality asset portfolio, though legacy issues associated with the Company’s policy liabilities continue to be a potential source of adverse reserve development given the macroeconomic and regulatory environments. While DBRS regards Manulife’s reduction of market-related risks over the past few years as having been critical to maintaining the Company’s high rating, it also notes that with unexceptional financial risk metrics, under DBRS’s methodology it is the Company’s franchise strength and business that provide most of the rating strength.
It was a mixed day for the Canadian preferred share market, with PerpatualDiscounts down 19bp, FixedResets up 9bp and DeemedRetractibles gaining 1bp. Volatility was a little more than usual, heavily skewed towards winning FixedResets. Volume was very low.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.5185 % | 2,504.3 |
| FixedFloater | 4.39 % | 3.64 % | 28,725 | 18.03 | 1 | 1.0733 % | 3,914.8 |
| Floater | 2.93 % | 3.02 % | 45,055 | 19.66 | 4 | 0.5185 % | 2,704.0 |
| OpRet | 4.37 % | -12.88 % | 22,215 | 0.08 | 2 | 0.1557 % | 2,715.8 |
| SplitShare | 4.82 % | 4.50 % | 56,226 | 4.09 | 5 | 0.0080 % | 3,106.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1557 % | 2,483.3 |
| Perpetual-Premium | 5.51 % | -1.92 % | 82,567 | 0.08 | 17 | 0.0762 % | 2,408.5 |
| Perpetual-Discount | 5.27 % | 5.24 % | 112,025 | 15.00 | 20 | -0.1905 % | 2,551.3 |
| FixedReset | 4.45 % | 3.69 % | 205,566 | 6.66 | 78 | 0.0896 % | 2,546.0 |
| Deemed-Retractible | 4.98 % | 1.23 % | 141,528 | 0.17 | 43 | 0.0148 % | 2,539.0 |
| FloatingReset | 2.66 % | 2.25 % | 111,025 | 3.87 | 6 | 0.1846 % | 2,499.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.M | Perpetual-Discount | -1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.61 % |
| ENB.PR.D | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 23.22 Evaluated at bid price : 24.83 Bid-YTW : 3.94 % |
| BAM.PR.G | FixedFloater | 1.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 21.91 Evaluated at bid price : 21.66 Bid-YTW : 3.64 % |
| BAM.PR.C | Floater | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 3.02 % |
| CIU.PR.C | FixedReset | 1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 3.65 % |
| BAM.PR.X | FixedReset | 2.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 22.19 Evaluated at bid price : 22.61 Bid-YTW : 3.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PF.C | FixedReset | 221,485 | RBC crossed 50,000 at 25.13; Nesbitt crossed 65,000 at 25.14; TD crossed 80,000 at 25.13. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 23.16 Evaluated at bid price : 25.12 Bid-YTW : 4.19 % |
| BNS.PR.K | Deemed-Retractible | 155,730 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-24 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 0.77 % |
| TRP.PR.A | FixedReset | 105,705 | Desjardins crossed 99,200 at 23.20. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 22.37 Evaluated at bid price : 23.22 Bid-YTW : 3.80 % |
| BMO.PR.S | FixedReset | 83,525 | Scotia crossed 70,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 3.76 % |
| BAM.PF.F | FixedReset | 64,615 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 4.34 % |
| RY.PR.H | FixedReset | 40,230 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-06-24 Maturity Price : 23.21 Evaluated at bid price : 25.18 Bid-YTW : 3.74 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.H | FixedReset | Quote: 26.27 – 26.70 Spot Rate : 0.4300 Average : 0.2570 YTW SCENARIO |
| ENB.PR.H | FixedReset | Quote: 23.70 – 24.14 Spot Rate : 0.4400 Average : 0.2783 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 22.07 – 22.53 Spot Rate : 0.4600 Average : 0.3189 YTW SCENARIO |
| GWO.PR.L | Deemed-Retractible | Quote: 25.59 – 25.94 Spot Rate : 0.3500 Average : 0.2355 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 17.10 – 17.43 Spot Rate : 0.3300 Average : 0.2163 YTW SCENARIO |
| BAM.PR.K | Floater | Quote: 17.15 – 17.44 Spot Rate : 0.2900 Average : 0.1952 YTW SCENARIO |