I sincerely hope that the banks have shot themselves in the foot:
The Bay Street firms that weren’t invited into the Maple Group plan to buy TMX Group Inc. (X-T39.94-0.42-1.04%) are lining up their options to ensure that competition and low-priced trading services remain should the deal to create a market-dominating company goes through.
…
The Maple plan would combine the two biggest players in the country in trading, and create a for-profit system to replace the current not-for-profit clearing system for shuttling cash between buyers and sellers of stocks after trades take place.
…
That’s why sources said some brokerages are already mulling the idea of starting a new trading system to compete in the business of matching stock buy-and-sell orders, and pushing regulators to adopt a strict cost control system for the clearing business based on the utility industry.
Eric Reguly of the Globe speculates that the LSE might come back with a new offer.
European debt problems are causing a little bit of what some might call hanky panky:
It appears that some companies are not following IAS 39 when determining whether the Greek government bonds that they classify as AFS are impaired. They are using the assessed impact on the present value of future cash flows arising from the proposed restructure of those bonds, rather than using the amount reflected by current market prices as required in IAS 39.
In addition, some companies holding Greek government bonds classified as AFS have stated that they are relying on internal valuation methodologies, rather than on market prices, to measure the fair value of the assets as at 30 June 2011. The reason generally given for using models rather than market prices is that the market for Greek government bonds is currently inactive (and therefore, in their view, does not provide reliable pricing information).
One bank pulling a fast one is BNP Paribas:
However, you wouldn’t normally discover government bonds in Level 3.
BNP Paribas’ argument seems to be that the market for Greek debt is now so illiquid that this accounting shift is justified. The bank explains its determination of fair value and what it counts as an ‘active’ market from page 23 of the full Q2 consolidated financial statements onwards.
Greek debt is hugely illiquid, but the price also reflects a market bet on a massive haircut at some point, and it has done for a while. The influence of Level 3 is in a way appropriate more than you’d think however, as it seems that mathematical modelling has been used during the construction of the Greece bond swap itself. Option 4′s valuation seems to depend on stochastic modelling in some way, for instance.
But for now we’ll just wonder if BNP’s Level 3 will be a guide to other banks taking their Greek impairments medicine…
On a brighter note, sovereign debt is sometimes upgraded:
Peru had its foreign debt rating raised one level by Standard & Poor’s, which said it expects recently elected President Ollanta Humala to continue policies that support the country’s economic expansion.
S&P raised Peru to BBB, the second-lowest investment grade, from BBB-. The outlook is stable. S&P also lifted Paraguay’s rating to BB-, three steps below investment grade, from B+, because an agreement with Brazil to boost its revenue share from a hydroelectric power plant has improved the country’s “fiscal flexibility.”
No new YLO MTN buy-backs but the Normal Course Issuer Bid for the preferreds is still being pursued vigorously, with the fund spending its usual $80,000+ today.
It was a good day for the Canadian preferred share market, with PerpetualDiscounts up 7bp, FixedResets winning 17bp and DeemedRetractibles gaining 9bp. Volatility was OK, with several BAM issues doing well. Volume was a little on the light side of average.
| 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 | 0.7930 % | 2,165.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7930 % | 3,256.2 |
| Floater | 2.80 % | 2.48 % | 26,019 | 21.12 | 4 | 0.7930 % | 2,337.6 |
| OpRet | 4.88 % | 3.68 % | 59,362 | 0.81 | 9 | 0.1764 % | 2,448.8 |
| SplitShare | 5.37 % | 0.98 % | 59,574 | 0.49 | 4 | 0.1456 % | 2,495.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1764 % | 2,239.2 |
| Perpetual-Premium | 5.65 % | 4.49 % | 127,866 | 1.12 | 14 | 0.1267 % | 2,110.9 |
| Perpetual-Discount | 5.34 % | 5.36 % | 98,091 | 14.78 | 16 | 0.0679 % | 2,238.2 |
| FixedReset | 5.14 % | 3.19 % | 212,000 | 2.67 | 60 | 0.1691 % | 2,322.8 |
| Deemed-Retractible | 5.06 % | 4.71 % | 266,166 | 7.99 | 46 | 0.0893 % | 2,185.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| FTS.PR.F | Perpetual-Discount | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-30 Maturity Price : 24.02 Evaluated at bid price : 24.31 Bid-YTW : 5.05 % |
| BAM.PR.N | Perpetual-Discount | 1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-30 Maturity Price : 22.01 Evaluated at bid price : 22.37 Bid-YTW : 5.38 % |
| BAM.PR.T | FixedReset | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-30 Maturity Price : 22.90 Evaluated at bid price : 24.38 Bid-YTW : 4.16 % |
| BAM.PR.M | Perpetual-Discount | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-30 Maturity Price : 22.11 Evaluated at bid price : 22.45 Bid-YTW : 5.36 % |
| IAG.PR.C | FixedReset | 2.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.68 Bid-YTW : 2.99 % |
| PWF.PR.A | Floater | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2041-08-30 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 2.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BNS.PR.N | Deemed-Retractible | 161,172 | Nesbitt crossed 50,000 at 25.80 and two blocks of 35,000 each at the same price. RBC crossed 24,400 at the same price again. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 4.77 % |
| BMO.PR.K | Deemed-Retractible | 109,343 | Desjardins crossed 103,000 at 25.91. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.84 Bid-YTW : 4.56 % |
| MFC.PR.B | Deemed-Retractible | 83,844 | TD crossed 75,400 at 22.05. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.14 Bid-YTW : 6.16 % |
| SLF.PR.D | Deemed-Retractible | 82,343 | Desjardins crossed 25,000 at 21.77; TD 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 : 21.85 Bid-YTW : 6.09 % |
| BNS.PR.P | FixedReset | 80,320 | RBC crossed 17,000 at 25.90; Nesbitt crossed 50,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-04-25 Maturity Price : 25.00 Evaluated at bid price : 25.81 Bid-YTW : 3.26 % |
| IFC.PR.C | FixedReset | 57,155 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.30 % |
| There were 29 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BNS.PR.Z | FixedReset | Quote: 24.86 – 25.45 Spot Rate : 0.5900 Average : 0.4071 YTW SCENARIO |
| FTS.PR.G | FixedReset | Quote: 25.80 – 26.60 Spot Rate : 0.8000 Average : 0.6192 YTW SCENARIO |
| FTS.PR.F | Perpetual-Discount | Quote: 24.31 – 24.75 Spot Rate : 0.4400 Average : 0.3013 YTW SCENARIO |
| ELF.PR.F | Perpetual-Discount | Quote: 22.85 – 23.34 Spot Rate : 0.4900 Average : 0.3793 YTW SCENARIO |
| BAM.PR.I | OpRet | Quote: 25.42 – 25.98 Spot Rate : 0.5600 Average : 0.4738 YTW SCENARIO |
| GWO.PR.J | FixedReset | Quote: 26.80 – 27.20 Spot Rate : 0.4000 Average : 0.3174 YTW SCENARIO |
At a market price of 16.30 YLO.PR.A is much higher than the expected exercice price of 10.62 (12.5 times market price of YLO). Yellow Media must have figured that it is cheaper to wait then to buy these on the market. There was no buyback lately.
See the comments to the 8/26 buyback report.