Bloomberg’s Matt Levine pens a good review of JPMorgan’s $1.7-billion Madoff fine:
If you think of JPMorgan’s businesses as operating more or less independently, but occasionally making each other money by cross-selling, then this mess makes more sense. A London investment bank that considered and rejected a derivative-linked investment in Madoff would have no obligations to report its suspicions to U.S. regulators. A boring custody bank that ran Madoff’s checking accounts but had no derivatives traders to get suspicious about him also probably wouldn’t be in trouble for missing the Madoff red flags. Combine the two businesses and the same behavior gets you in trouble. In that sense, JPMorgan’s $1.7 billion forfeiture here looks a bit like a tax on bigness and integration: You can grow huge, offer a loosely integrated set of every conceivable financial product, and bask in the cross-selling opportunities, but every now and then it’ll cost you a couple of billion dollars. So far that trade-off still seems to be worth it for JPMorgan.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 8bp, FixedResets up 16bp and DeemedRetractibles off 11bp. The Performance Highlights table is heavily skewed towards winners. Volume was well above average.
Today’s new issue from PPL is the second this week (too bad they’re both junk), so I win the nickel I bet last Friday. Now let’s go for #3!
| 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 | -0.2419 % | 2,544.8 |
| FixedFloater | 4.47 % | 3.76 % | 34,467 | 17.76 | 1 | 0.0471 % | 3,756.3 |
| Floater | 2.94 % | 2.95 % | 66,918 | 19.88 | 3 | -0.2419 % | 2,747.7 |
| OpRet | 4.63 % | 1.80 % | 76,771 | 0.39 | 3 | -0.0515 % | 2,663.9 |
| SplitShare | 4.86 % | 4.81 % | 69,916 | 4.44 | 5 | -0.0241 % | 3,016.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0515 % | 2,435.9 |
| Perpetual-Premium | 5.62 % | 4.92 % | 128,767 | 0.31 | 13 | 0.0781 % | 2,316.5 |
| Perpetual-Discount | 5.62 % | 5.63 % | 169,206 | 14.38 | 25 | 0.0750 % | 2,354.9 |
| FixedReset | 4.96 % | 3.56 % | 212,700 | 3.40 | 82 | 0.1576 % | 2,481.2 |
| Deemed-Retractible | 5.13 % | 4.38 % | 169,093 | 2.01 | 42 | -0.1064 % | 2,408.6 |
| FloatingReset | 2.60 % | 2.32 % | 241,288 | 4.34 | 5 | 0.1190 % | 2,471.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IAG.PR.A | Deemed-Retractible | -1.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.61 Bid-YTW : 6.37 % |
| CU.PR.D | Perpetual-Discount | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 22.32 Evaluated at bid price : 22.66 Bid-YTW : 5.46 % |
| BNS.PR.O | Deemed-Retractible | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-06 Maturity Price : 26.00 Evaluated at bid price : 26.11 Bid-YTW : -4.20 % |
| PWF.PR.L | Perpetual-Discount | 1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 23.07 Evaluated at bid price : 23.47 Bid-YTW : 5.52 % |
| CIU.PR.C | FixedReset | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 20.07 Evaluated at bid price : 20.07 Bid-YTW : 4.24 % |
| ELF.PR.F | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 22.69 Evaluated at bid price : 22.98 Bid-YTW : 5.78 % |
| PWF.PR.P | FixedReset | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 22.49 Evaluated at bid price : 22.80 Bid-YTW : 4.03 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.D | FixedReset | 110,755 | TD crossed two blocks of 50,000 each, both at 25.20. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.13 Bid-YTW : 3.86 % |
| TRP.PR.A | FixedReset | 100,542 | Desjardins crossed 76,200 at 24.00. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-01-07 Maturity Price : 23.46 Evaluated at bid price : 24.01 Bid-YTW : 4.04 % |
| TD.PR.I | FixedReset | 76,510 | Scotia crossed 75,000 at 25.45. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 2.47 % |
| BNS.PR.R | FixedReset | 58,695 | Will reset at 3.83%. Yield to Deemed Maturity 2022-1-31 is 3.71%. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-02-25 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : -3.76 % |
| CM.PR.M | FixedReset | 55,525 | Scotia crossed 50,000 at 25.46. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.47 Bid-YTW : 2.44 % |
| BAM.PR.P | FixedReset | 46,672 | Scotia crossed 30,000 at 25.63. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 3.86 % |
| There were 43 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TCA.PR.Y | Perpetual-Premium | Quote: 50.00 – 50.37 Spot Rate : 0.3700 Average : 0.2308 YTW SCENARIO |
| PWF.PR.T | FixedReset | Quote: 25.48 – 25.84 Spot Rate : 0.3600 Average : 0.2261 YTW SCENARIO |
| CU.PR.E | Perpetual-Discount | Quote: 22.69 – 23.03 Spot Rate : 0.3400 Average : 0.2662 YTW SCENARIO |
| PWF.PR.H | Perpetual-Premium | Quote: 25.08 – 25.31 Spot Rate : 0.2300 Average : 0.1574 YTW SCENARIO |
| TRP.PR.D | FixedReset | Quote: 25.13 – 25.31 Spot Rate : 0.1800 Average : 0.1119 YTW SCENARIO |
| HSB.PR.C | Deemed-Retractible | Quote: 25.14 – 25.35 Spot Rate : 0.2100 Average : 0.1463 YTW SCENARIO |