There’s a bit more detail on the FX pseudo-scandal:
From at least January 2008 through early 2012 traders adopted an array of strategies to maximize their profits at the fix, regulators said. If one of them had orders that ran counter to the rest of the group, he would attempt to offload his position with an unsuspecting counterpart at another bank to avoid clashing with co-conspirators.
If the traders all had orders in the same direction, they would seek to turbocharge any price moves. In the minutes before the fix, they would attempt to sniff out any banks with large orders in the other direction and trade with them in advance, a process known in the market as “taking out the filth.” At other times they would trade with third parties outside the chat room with the intention of giving them orders in the same direction to execute at the fix.
A lot of the so-called scandal is just empire building and cash-grabbing:
Two years ago, after losing patience with the pace of negotiations between the Justice Department, the Federal Reserve, the U.S. Treasury and the Manhattan District Attorney’s office over alleged sanctions violations by Standard Chartered, Lawsky decided to publish a public letter to the bank demanding to know why he shouldn’t revoke their license to operate in New York.
The missive sent the bank’s shares down 16 percent and infuriated his fellow enforcers, who fumed over the action, which had upstaged and embarrassed them, according to people briefed on the matter at the time.
Standard Chartered (STAN), which is based in London, settled with Lawsky that month for $340 million and agreed to hire a monitor. The other regulators wound up with a smaller settlement — $327 million — four months later.
But the regulatory extortion will fill government coffers …:
Citigroup will pay $1.02 billion to three regulators in the U.S. and U.K., and JPMorgan $6 million less, according to statements from the firms today. They are among six firms that will pay $4.3 billion to four regulators ranging from the U.S. to Switzerland’s Financial Market Supervisory Authority.
… and is popular with the hoi polloi, so everything’s fine, right? Especially since the world is now a safer place for incompetent portfolio managers.
Despite all the posturing, the world’s on skids, which is why distraction is so important:
The Japanese economy is expected to expand by a meagre 0.5 per cent in the current fiscal year. And it is losing ground on the inflation front, as consumer demand falters and business spending remains weak.
In Britain, the central bank now forecasts that consumer prices will rise at a mere 1 per cent annual rate in the first half of next year; and it doesn’t expect to reach its target of 2 per cent before the last quarter of 2017 – and then only barely. Inflation rose 1.2 per cent on an annual basis in September, the lowest level in five years.
It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts down 10bp, FixedResets off 6bp and DeemedRetractibles gaining 3bp. Volatility was minimal. Volume was low.
Update, 2014-11-13: As pointed out by eagle-eyed Assiduous Reader Adrian2 in the comments, I screwed up the dividend dates for ENB.PF.E in my first try. The index table and performance highlights table have now been corrected
| 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 | -0.1689 % | 2,545.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1689 % | 4,029.9 |
| Floater | 2.96 % | 3.07 % | 64,673 | 19.51 | 4 | -0.1689 % | 2,706.0 |
| OpRet | 4.03 % | 1.71 % | 105,194 | 0.08 | 1 | 0.0000 % | 2,743.3 |
| SplitShare | 4.24 % | 3.93 % | 53,581 | 3.76 | 5 | -0.0942 % | 3,188.9 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,508.4 |
| Perpetual-Premium | 5.45 % | -5.59 % | 64,633 | 0.08 | 19 | -0.0957 % | 2,481.7 |
| Perpetual-Discount | 5.15 % | 5.04 % | 106,989 | 15.32 | 16 | -0.1033 % | 2,656.9 |
| FixedReset | 4.18 % | 3.58 % | 175,874 | 4.52 | 74 | -0.0247 % | 2,582.7 |
| Deemed-Retractible | 4.97 % | 1.39 % | 97,529 | 0.13 | 41 | 0.0271 % | 2,599.5 |
| FloatingReset | 2.56 % | 0.96 % | 65,251 | 0.16 | 6 | -0.1304 % | 2,551.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| No individual gains or losses exceeding 1%! | |||
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.S | FixedReset | 99,234 | TD crossed 35,000 at 25.51; Scotia crossed blocks of 40,000 and 15,000, both at the same price. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.42 Bid-YTW : 3.58 % |
| ENB.PF.C | FixedReset | 87,308 | RBC crossed blocks of 13,900 and 49,600, both at 25.10. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-12 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 4.11 % |
| TRP.PR.E | FixedReset | 75,400 | RBC crossed blocks of 20,000 and 30,000, both at 25.40. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-12 Maturity Price : 23.28 Evaluated at bid price : 25.35 Bid-YTW : 3.81 % |
| ENB.PR.F | FixedReset | 64,299 | Scotia crossed 50,000 at 24.63. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-12 Maturity Price : 23.16 Evaluated at bid price : 24.61 Bid-YTW : 4.02 % |
| ENB.PF.G | FixedReset | 60,325 | RBC crossed 50,000 at 25.12. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-11-12 Maturity Price : 23.15 Evaluated at bid price : 25.09 Bid-YTW : 4.19 % |
| TD.PF.B | FixedReset | 58,669 | Nesbitt crossed blocks of 30,000 and 20,000, both at 25.37. YTW SCENARIO Maturity Type : Call Maturity Date : 2019-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 3.50 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| ENB.PR.B | FixedReset | Quote: 24.45 – 24.83 Spot Rate : 0.3800 Average : 0.2288 YTW SCENARIO |
| MFC.PR.G | FixedReset | Quote: 26.10 – 26.40 Spot Rate : 0.3000 Average : 0.2228 YTW SCENARIO |
| SLF.PR.C | Deemed-Retractible | Quote: 23.00 – 23.22 Spot Rate : 0.2200 Average : 0.1465 YTW SCENARIO |
| MFC.PR.B | Deemed-Retractible | Quote: 23.75 – 24.09 Spot Rate : 0.3400 Average : 0.2681 YTW SCENARIO |
| BNS.PR.Z | FixedReset | Quote: 24.55 – 24.78 Spot Rate : 0.2300 Average : 0.1589 YTW SCENARIO |
| ENB.PR.D | FixedReset | Quote: 24.32 – 24.48 Spot Rate : 0.1600 Average : 0.0999 YTW SCENARIO |
Re: ENB.PF.E, down 1.06%
It went ex-first (fat) dividend yesterday!
Oops! Fixed it.