August 25, 2011

Only four months until Christmas!

Oh, those naughty European speculators! No matter how often they’re told everything is fine, they keep panicking!

Stocks retreated as panic selling pushed Germany’s DAX Index (DAX) down 4 percent in 15 minutes amid speculation that Germany’s public finances are deteriorating and that regulators may impose restrictions on the market. The dollar and Treasuries advanced, while oil fell and Bank of America Corp. shares surged.

There was concern Germany’s debt rating would be reduced, said Walter Todd, the chief investment officer at Greenwood Capital Inc. in Greenwood, South Carolina. CNBC reported that S&P, Moody’s Investors Service and Fitch Ratings all affirmed their ratings.

Investors also speculated that Germany would impose a short-selling ban, said Ryan Larson, head of U.S. equity trading at RBC Global Asset Management Inc. in Chicago. German regulator BaFin has “all the regulation in place” regarding short selling in equities, press officer Dominika Kula said, in response to a question on whether the agency may ban the practice.

I propose that anybody wishing to sell a stock should submit a form in triplicate to the regulators, who will ensure that the decision has been made in accordance with the required process. That’ll fix those pesky speculators!
On cue:

French, Italian and Spanish stock- market regulators extended temporary bans on short selling introduced this month in a bid to stem market volatility.

Spain and Italy extended their bans through Sept. 30, regulators in both countries said in a statement. France’s Autorite des Marches Financiers said its ban could last as long as Nov. 11. The “objective” is to lift the temporary ban on short-selling of financial stocks “as soon as market conditions allow,” Spain’s CNMV market regulator said.

YLO took a break on its MTN buyback today, with no filings. However, it appears that they continued buying YLO.PR.B, YLO.PR.C and YLO.PR.D on the exchange through their Normal Course Issuer Bid.

DBRS confirmed Toronto at AA:

DBRS has today confirmed the ratings of the debentures issued by the City of Toronto (the City) at AA. The trends remain Stable, supported by the City’s relatively wealthy tax base and strong resolve in restraining spending and finding permanent solutions to eliminate the budget gap. However, debt remains under considerable pressure as a result of heavy capital spending, which is eroding financial flexibility and could affect the City’s rating if increases are not contained.

DBRS commends management for the thorough review underway, which is probably the most extensive cost-containment effort undertaken by the City in recent memory. However, it remains unclear whether Council will approve the full range of measures necessary to protect fiscal sustainability. Significant concerns also remain with respect to the rising tax-supported debt burden, which stood at a moderate $964 per capita at December 31, 2010, but is set to grow by more than 50% to approximately $1,550 per capita by 2014 due to capital investments. While still manageable, the projected debt peak is up notably from the forecasts available at the time of last year’s rating review and is expected to consume a significant portion of the remaining flexibility within the current rating category. Since the capital plan excludes more than $8 billion in transit needs, the risk of further sizeable revisions to debt projections and their potentially adverse effect on the rating remains material.

I received notice today that a neighbor is seeking a zoning variance. It would appear that supporting documents are not filed electronically and are not available on the Internet. I have get to the York Civic Centre and ask a bureaucrat if I can look at them. Hymas Bonehead Rating Service confirms Toronto at AAAA++.

The Canadian preferred share market pulled back today, with PerpetualDiscounts down 13bp, FixedResets off 10bp and DeemedRetractibles losing 26bp. Good volatility – albeit highly skewed to the negatives! – and volume was merely average, although several issues traded more than 100,000 shares.

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 -0.5241 % 2,137.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5241 % 3,214.0
Floater 2.84 % 2.54 % 27,520 20.96 4 -0.5241 % 2,307.4
OpRet 4.89 % 2.09 % 58,766 0.58 9 0.1034 % 2,443.6
SplitShare 5.38 % 0.95 % 60,686 0.51 4 -0.2902 % 2,493.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1034 % 2,234.4
Perpetual-Premium 5.67 % 5.02 % 128,728 1.14 14 0.0565 % 2,103.8
Perpetual-Discount 5.35 % 5.46 % 99,653 14.63 16 -0.1280 % 2,232.1
FixedReset 5.14 % 3.17 % 208,063 2.68 60 -0.1009 % 2,319.5
Deemed-Retractible 5.07 % 4.70 % 261,784 7.96 46 -0.2614 % 2,182.1
Performance Highlights
Issue Index Change Notes
IAG.PR.F Deemed-Retractible -2.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.68 %
BAM.PR.T FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 22.79
Evaluated at bid price : 24.10
Bid-YTW : 4.10 %
BAM.PR.K Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 3.37 %
BNA.PR.E SplitShare -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 6.67 %
POW.PR.D Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.29 %
SLF.PR.D Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.68
Bid-YTW : 6.17 %
SLF.PR.E Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.19 %
FTS.PR.G FixedReset 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Deemed-Retractible 225,954 Nesbitt crossed 108,200 at 21.80; Desjardins crossed 101,500 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 6.18 %
PWF.PR.H Perpetual-Premium 124,575 RBC crossed blocks of 70,000 and 21,800 at 25.05; then another block of 21,800 at 25.06.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 24.77
Evaluated at bid price : 25.05
Bid-YTW : 5.79 %
CM.PR.J Deemed-Retractible 113,495 TD crossed blocks of 49,600 and 50,000, both at 25.04.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.58 %
RY.PR.I FixedReset 112,951 Nesbitt crossed 100,000 at 26.10.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.26 %
BNS.PR.L Deemed-Retractible 111,512 Nesbitt crossed 50,000 at 25.00; Desjardins crossed 50,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 4.65 %
FTS.PR.E OpRet 75,300 Nesbitt crossed blocks of 50,000 and 18,000, both at 26.90.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-06-01
Maturity Price : 25.75
Evaluated at bid price : 26.92
Bid-YTW : 2.09 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.G FixedReset Quote: 26.10 – 27.18
Spot Rate : 1.0800
Average : 0.6021

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-09-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.96 %

IAG.PR.F Deemed-Retractible Quote: 25.26 – 26.00
Spot Rate : 0.7400
Average : 0.5124

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.68 %

POW.PR.D Perpetual-Discount Quote: 23.90 – 24.34
Spot Rate : 0.4400
Average : 0.2816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.29 %

BAM.PR.J OpRet Quote: 25.89 – 26.44
Spot Rate : 0.5500
Average : 0.4013

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2018-03-30
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.94 %

RY.PR.Y FixedReset Quote: 27.15 – 27.48
Spot Rate : 0.3300
Average : 0.2135

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-11-24
Maturity Price : 25.00
Evaluated at bid price : 27.15
Bid-YTW : 3.32 %

CIU.PR.A Perpetual-Discount Quote: 23.32 – 23.99
Spot Rate : 0.6700
Average : 0.5587

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-08-25
Maturity Price : 22.90
Evaluated at bid price : 23.32
Bid-YTW : 4.93 %

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