Europe’s going to solve the crisis by subordinating privately held debt:
Italy today paid the most to sell 10-year debt since December, selling the notes to yield 6.19 percent. Spanish 10- year yields rose to 6.94 percent today. The focus should be on helping Spain’s banks and reducing Italian yields to around or slightly under 4 percent, Irish Finance Minister Michael Noonan said to reporters in Dublin today.
…
“The EFSF or ESM could stand ready to intervene in the primary market to facilitate successful issuance of the covered bonds,” [Finnish Prime Minister Jyrki] Katainen said. “Italy and Spain have lots of state properties they could use in raising money. Selling covered bonds would send a strong message they stand behind their debt.”Katainen said the proposal is based on Finland’s experience with the sale of covered bonds during its economic troubles in the early 1990s.
It’s odd … when the bank regulators want to boost bank capital requirements, they say it won’t matter since they’ll be able to borrow cheaper and sell equity at a higher multiple, since Modigliani-Miller says enterprise value is constant. This doesn’t seem to apply to sovereigns. Gee, I wonder why that is.
Greece may get bailed out of its bail-out:
An International Monetary Fund team will start negotiating possible changes to the conditions attached to a loan to Greece after a fact-finding mission travels to Athens early next week, a fund spokesman said.
The regulators have released an electronic trading press release
IIROC released a plethora of proposed new rules regarding electronic trading – a request for comments on rules:
The most significant impacts of the Proposed Amendments would be to:
- ensure that Participants and Access Persons adopt, document and maintain a system of risk management and supervisory controls, policies and procedures reasonably designed to manage the risks associated with electronic trading and access to marketplaces;
- ensure that Participants and Access Persons are effectively supervising trading activity and are accounting for the risks associated with electronic access to marketplaces in their supervisory and compliance monitoring procedures; and
- require an appropriate level of understanding, ongoing testing and appropriate monitoring of any automated order systems in use by a Participant, Access Person, or any client of the Participant.
Lots and lots of paperwork! Lots and lots of jobs for regulatory and compliance types! Lots and lots of opportunity to nail people with 20-20 hindsight when things go wrong! Yay!
… and a request for comments on guidance:
At a minimum, the post-order entry compliance procedures for clients who have been provided access to a marketplace should address the procedures for testing:
….
orders that have been entered which may constitute “spoofing” contrary to Rule 2.2 of UMIR (the entry of an order or orders which are not intended to be executed for the purpose of determining the depth of the market, checking for the presence of an iceberg order, affecting an opening price or other similar purpose);
Strikes me that this will be very difficult to enforce.
It was another quiet mixed day for the Canadian preferred share market, with PerpetualPremiums off 5bp, FixedResets down 4bp and DeemedRetractibles gaining 3bp. Volatility was good. Volume was below 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 | -0.2415 % | 2,290.1 |
| FixedFloater | 4.57 % | 3.95 % | 21,350 | 17.36 | 1 | 0.0481 % | 3,450.0 |
| Floater | 3.18 % | 3.17 % | 74,840 | 19.28 | 3 | -0.2415 % | 2,472.7 |
| OpRet | 4.79 % | 2.05 % | 36,889 | 0.98 | 5 | 0.1777 % | 2,518.2 |
| SplitShare | 5.25 % | -7.13 % | 41,217 | 0.48 | 4 | 0.0000 % | 2,725.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1777 % | 2,302.7 |
| Perpetual-Premium | 5.44 % | 3.72 % | 84,230 | 0.54 | 27 | -0.0473 % | 2,239.7 |
| Perpetual-Discount | 5.03 % | 5.01 % | 117,009 | 15.38 | 7 | 0.3645 % | 2,471.5 |
| FixedReset | 5.04 % | 3.19 % | 193,321 | 7.77 | 71 | -0.0430 % | 2,398.1 |
| Deemed-Retractible | 5.02 % | 3.88 % | 139,582 | 2.88 | 45 | 0.0289 % | 2,309.8 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.C | Deemed-Retractible | -1.37 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.29 Bid-YTW : 6.05 % |
| IAG.PR.C | FixedReset | -1.19 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.70 Bid-YTW : 4.27 % |
| CM.PR.M | FixedReset | -1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 3.25 % |
| FTS.PR.E | OpRet | 1.14 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2013-06-01 Maturity Price : 25.75 Evaluated at bid price : 26.67 Bid-YTW : 1.27 % |
| ELF.PR.F | Perpetual-Discount | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-06-28 Maturity Price : 24.15 Evaluated at bid price : 24.65 Bid-YTW : 5.36 % |
| CIU.PR.A | Perpetual-Discount | 1.35 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-06-28 Maturity Price : 24.29 Evaluated at bid price : 24.75 Bid-YTW : 4.67 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.M | FixedReset | 154,350 | TD crossed 149,900 at 25.59. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.52 Bid-YTW : 2.95 % |
| ELF.PR.H | Perpetual-Premium | 127,780 | Scotia crossed blocks of 50,000 and 69,300, both at 25.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-17 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.41 % |
| IAG.PR.G | FixedReset | 116,092 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 4.25 % |
| HSB.PR.D | Deemed-Retractible | 101,960 | Desjardins crossed 97,800 at 25.80. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.25 Evaluated at bid price : 25.42 Bid-YTW : 4.49 % |
| GWO.PR.P | Deemed-Retractible | 97,960 | Nesbitt crossed 83,000 at 25.64. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 5.11 % |
| CU.PR.C | FixedReset | 94,455 | RBC crossed blocks of 49,500 and 39,900, both at 25.70. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-06-01 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.42 % |
| There were 25 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| IGM.PR.B | Perpetual-Premium | Quote: 26.11 – 26.98 Spot Rate : 0.8700 Average : 0.5510 YTW SCENARIO |
| MFC.PR.A | OpRet | Quote: 25.33 – 25.97 Spot Rate : 0.6400 Average : 0.3928 YTW SCENARIO |
| MFC.PR.C | Deemed-Retractible | Quote: 22.29 – 22.80 Spot Rate : 0.5100 Average : 0.3285 YTW SCENARIO |
| RY.PR.H | Deemed-Retractible | Quote: 26.66 – 27.04 Spot Rate : 0.3800 Average : 0.2345 YTW SCENARIO |
| CM.PR.M | FixedReset | Quote: 26.50 – 26.97 Spot Rate : 0.4700 Average : 0.3437 YTW SCENARIO |
| FTS.PR.C | OpRet | Quote: 25.50 – 25.85 Spot Rate : 0.3500 Average : 0.2268 YTW SCENARIO |