{"id":15241,"date":"2011-06-03T22:09:22","date_gmt":"2011-06-04T02:09:22","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=15241"},"modified":"2011-06-03T22:09:22","modified_gmt":"2011-06-04T02:09:22","slug":"june-3-2011","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=15241","title":{"rendered":"June 3, 2011"},"content":{"rendered":"

Greece may be getting some money<\/a>:<\/p>\n

European Union and International Monetary Fund officials agreed to pay the next installment to Greece under last year\u2019s 110 billion-euro ($161 billion) bailout, paving the way for an upgraded aid package that includes a \u201cvoluntary\u201d role for investors.<\/p>\n

\u201cI expect the eurogroup to agree to additional financing to be provided to Greece under strict conditionality,\u201d Luxembourg Prime Minister Jean-Claude Juncker said after meeting with Greek Prime Minister George Papandreou in Luxembourg today. \u201cThis conditionality will include private sector involvement on a voluntary basis.\u201d<\/p><\/blockquote>\n

It should be remembered, however, that Jean-Claude Juncker is a liar<\/a>, unworthy of respect or position.<\/p>\n

The Bank of Canada has released<\/a> a working paper by Alexandre Lazarow titled Lessons from International Central Counterparties: Benchmarking and Analysis<\/a>:<\/p>\n

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\u2010offs and resulting international benchmarks for a certain set of issues. Four CCPs \u2013 FINet, CME Clearing, Eurex Clearing and LCH.Clearnet \u2013 are considered in terms of risk management, CCP links, governance and operational risk.<\/p><\/blockquote>\n

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.<\/p>\n

Today, they called it mellow yellow.<\/p>\n

\n\n\n\n\n\n\n\n
YLO Issues, 2011-6-2<\/td>\n<\/tr>\n
Ticker<\/td>\nQuote
6\/2<\/td>\n		Quote
6\/3<\/td>\n		Bid YTW
6\/3<\/td>\n		YTW
Scenario
6\/3<\/td>\n		Performance
6\/3
(bid\/bid)<\/td>\n<\/tr>\n
YLO.PR.A<\/td>\n23.05-15<\/td>\n22.84-91<\/td>\n10.93%<\/td>\nSoft Maturity
2012-12-30<\/td>\n		-0.91%<\/td>\n<\/tr>\n
YLO.PR.B<\/td>\n16.30-38<\/td>\n16.32-49<\/td>\n13.97%<\/td>\nSoft Maturity
2017-06-29<\/td>\n		+0.12%<\/td>\n<\/tr>\n
YLO.PR.C<\/td>\n17.76-90<\/td>\n18.08-25<\/td>\n9.22%<\/td>\nLimit Maturity<\/td>\n+1.80%<\/td>\n<\/tr>\n
YLO.PR.D<\/td>\n18.44-51<\/td>\n18.45-70<\/td>\n9.21%<\/td>\nLimit Maturity<\/td>\n+0.05%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0932 %<\/td>\n2,464.9<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0932 %<\/td>\n3,707.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.44 %<\/td>\n2.24 %<\/td>\n43,116<\/td>\n21.63<\/td>\n4<\/td>\n0.0932 %<\/td>\n2,661.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.86 %<\/td>\n3.15 %<\/td>\n65,912<\/td>\n0.40<\/td>\n9<\/td>\n0.0686 %<\/td>\n2,424.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.23 %<\/td>\n0.12 %<\/td>\n60,925<\/td>\n0.53<\/td>\n6<\/td>\n-0.0854 %<\/td>\n2,507.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0686 %<\/td>\n2,216.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.65 %<\/td>\n4.89 %<\/td>\n156,497<\/td>\n1.42<\/td>\n12<\/td>\n-0.0066 %<\/td>\n2,077.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.43 %<\/td>\n5.47 %<\/td>\n121,615<\/td>\n14.57<\/td>\n18<\/td>\n0.0722 %<\/td>\n2,186.1<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.14 %<\/td>\n3.16 %<\/td>\n194,190<\/td>\n2.84<\/td>\n57<\/td>\n0.0998 %<\/td>\n2,315.6<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.06 %<\/td>\n4.86 %<\/td>\n295,302<\/td>\n8.14<\/td>\n47<\/td>\n0.2131 %<\/td>\n2,157.6<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nDeemed-Retractible<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.91
\nBid-YTW : 4.62 %<\/td>\n<\/tr>\n
FTS.PR.G<\/td>\nFixedReset<\/td>\n1.31 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 2.94 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetual-Discount<\/td>\n153,040<\/td>\nRBC crossed 35,000 at 24.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-03
\nMaturity Price : 24.27
\nEvaluated at bid price : 24.58
\nBid-YTW : 5.00 %<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nDeemed-Retractible<\/td>\n82,953<\/td>\nCalled for redemption<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-07-03
\nMaturity Price : 25.75
\nEvaluated at bid price : 25.93
\nBid-YTW : 1.43 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n61,216<\/td>\nRBC crossed blocks of 24,900 and 25,000 at 27.86.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.75
\nBid-YTW : 2.88 %<\/td>\n<\/tr>\n
BAM.PR.X<\/td>\nFixedReset<\/td>\n59,200<\/td>\nRBC bought 37,700 from HSBC at 24.85, then crossed 20,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-03
\nMaturity Price : 23.05
\nEvaluated at bid price : 24.84
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nDeemed-Retractible<\/td>\n51,178<\/td>\nTD crossed 30,000 at 24.70.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 24.86
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
HSE.PR.A<\/td>\nFixedReset<\/td>\n45,813<\/td>\nRBC crossed 15,000 at 25.60.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-03
\nMaturity Price : 25.53
\nEvaluated at bid price : 25.58
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n
There were 27 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\nQuote: 26.11 – 26.50
\nSpot Rate : 0.3900
\nAverage : 0.2967<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2041-06-03
\nMaturity Price : 23.47
\nEvaluated at bid price : 26.11
\nBid-YTW : 4.46 %<\/td>\n<\/tr>\n

SLF.PR.A<\/td>\nDeemed-Retractible<\/td>\nQuote: 23.63 – 23.88
\nSpot Rate : 0.2500
\nAverage : 0.1613<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.63
\nBid-YTW : 5.42 %<\/td>\n<\/tr>\n

ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.24 – 25.50
\nSpot Rate : 0.2600
\nAverage : 0.1762<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-07-03
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.24
\nBid-YTW : -5.70 %<\/td>\n<\/tr>\n

NA.PR.O<\/td>\nFixedReset<\/td>\nQuote: 27.37 – 27.63
\nSpot Rate : 0.2600
\nAverage : 0.1775<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.37
\nBid-YTW : 3.18 %<\/td>\n<\/tr>\n

TDS.PR.C<\/td>\nSplitShare<\/td>\nQuote: 10.27 – 10.52
\nSpot Rate : 0.2500
\nAverage : 0.1848<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-12-15
\nMaturity Price : 10.00
\nEvaluated at bid price : 10.27
\nBid-YTW : 0.12 %<\/td>\n<\/tr>\n

RY.PR.B<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.00 – 25.17
\nSpot Rate : 0.1700
\nAverage : 0.1145<\/p>\n

YTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.00
\nBid-YTW : 4.74 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Greece may be getting some money: European Union and International Monetary Fund officials agreed to pay the next installment to Greece under last year\u2019s 110 billion-euro ($161 billion) bailout, paving the way for an upgraded …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-15241","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15241","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=15241"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/15241\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=15241"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=15241"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=15241"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}