PrefBlog

Revolving-door regulation is at least getting a little scrutiny:

A Senate panel asked the Securities and Exchange Commission’s inspector general to review the agency’s “revolving door,” which shuttles many SEC staffers into jobs with the companies they once regulated.

In a letter sent Monday, Sen. Charles Grassley (R., Iowa), the ranking minority member on the Senate Finance Committee, asked David Kotz, the inspector general, to review the recent departure of a top official in the SEC’s Division of Trading and Markets who took a job with a prominent high-frequency trading firm.

Nice to see that the HFT guys have figured out how the game is played, anyway!

BP cancelled its dividend:

BP Plc canceled three quarterly payments of its $10 billion-a-year dividend after President Barack Obama demanded it put up cash for victims of the Gulf of Mexico spill. BP said it will reduce expenditures and sell more assets than planned to free up cash.
…
Svanberg and Chief Executive Officer Tony Hayward agreed to set aside $20 billion over several years to compensate victims of the spill after Obama in an Oval Office address yesterday called for the creation of a fund.

… and its perceived credit risk is rising …

Credit investors are pricing in a 36 percent chance BP Plc will default within five years as it tangles with the Obama administration over cleanup costs and claims for the biggest oil spill in U.S. history.

The default risk implied by credit-default swaps is up from 7 percent a month ago, according to CMA DataVision prices using a standard model used to value the derivatives. BP swaps climbed 70.5 basis points to 576.5. BP debt due next year traded today at distressed levels, with investors demanding as much as 1,251 basis points in yield more than Treasuries.

… but PIMCO thinks it’s an overreaction:

Bill Gross, co-chief investment officer at Pacific Investment Management Co., recently bought $100 million of shorter maturity BP Plc bonds and some Anadarko Petroleum Corp. debt, spokesman Mark Porterfield wrote today in an e-mail.

BP’s 5.25 percent notes due in 2013 rose 2.5 cents to 93.5 cents on the dollar as of 4:20 p.m. in New York, according to Trace, the bond-price reporting system of the Financial Industry Regulatory Authority. BP is based in London.

Congratulations to Sarah Hymas on the launch of her debut poetry book, Host.

PerpetualDiscounts managed to squeak out a gain of 2bp on the day to keep the streak alive, while FixedResets roared ahead, up 21bp. Volume as moderate.

PerpetualDiscounts now yield 6.03%, equivalent to 8.44% interest at the standard equivalency factor of 1.4x. Long corporates now yield about 5.75% (maybe a little under?) so the pre-tax interest-equivalent spread (also called the Seniority Spread) is now about 270bp, a significant tightening from the 285bp reported on June 9.

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	2.70 %	2.77 %	36,571	20.57	1	0.0000 %	2,092.7
FixedFloater	5.18 %	3.30 %	24,381	19.86	1	0.0000 %	3,092.2
Floater	2.41 %	2.78 %	79,461	20.29	3	0.1470 %	2,253.9
OpRet	4.88 %	3.72 %	92,705	0.92	11	-0.0778 %	2,325.8
SplitShare	6.30 %	4.40 %	98,204	0.08	2	-0.0651 %	2,202.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0778 %	2,126.7
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.0152 %	1,897.7
Perpetual-Discount	5.97 %	6.03 %	200,013	13.82	77	0.0152 %	1,796.4
FixedReset	5.40 %	3.87 %	377,262	3.48	45	0.2060 %	2,191.3

Performance Highlights
Issue	Index	Change	Notes
ELF.PR.F	Perpetual-Discount	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 6.89 %
CIU.PR.A	Perpetual-Discount	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.90 %
PWF.PR.L	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 6.22 %
BNS.PR.Q	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2013-11-24 Maturity Price : 25.00 Evaluated at bid price : 26.21 Bid-YTW : 3.68 %
BAM.PR.M	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 17.95 Evaluated at bid price : 17.95 Bid-YTW : 6.65 %
CM.PR.K	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 26.71 Bid-YTW : 3.78 %
POW.PR.B	Perpetual-Discount	1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 22.03 Evaluated at bid price : 22.29 Bid-YTW : 6.11 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PR.K	FixedReset	105,813	TD crossed 25,000 at 27.52; RBC crossed 75,000 at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-08-30 Maturity Price : 25.00 Evaluated at bid price : 27.51 Bid-YTW : 3.88 %
TRP.PR.A	FixedReset	89,180	Nesbitt crossed blocks of 50,000 and 25,000, both at 25.50. YTW SCENARIO Maturity Type : Call Maturity Date : 2015-01-30 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.10 %
TD.PR.G	FixedReset	88,800	Nesbitt crosed blocks of 50,000 and 20,000, both at 27.41. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-30 Maturity Price : 25.00 Evaluated at bid price : 27.43 Bid-YTW : 3.88 %
TD.PR.O	Perpetual-Discount	60,230	RBC crossed 25,000 at 21.25. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.81 %
RY.PR.A	Perpetual-Discount	57,914	RBC crossed 25,000 at 19.60. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2040-06-16 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 5.75 %
TD.PR.M	OpRet	50,600	RBC crossed two blocks of 25,000 each, both at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2011-05-30 Maturity Price : 25.50 Evaluated at bid price : 25.91 Bid-YTW : 3.54 %
There were 26 other index-included issues trading in excess of 10,000 shares.

This entry was posted on Wednesday, June 16th, 2010 at 10:19 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.