Bloomberg’s Jonathan Weil points out that the Barclays rate fixing scandal was reported over four years ago.
Barclays was clearly naughty, and there are some tales of twopenny-halfpenny corruption that indicate a few people need to get taken out to the toolshed. But it seems clear to me that the regulators knew all about it but, as I’ve said before, were either willfully blind or grossly negligent. In hindsight, Barclays should have resigned from the BBA panel – but that’s hindsight.
The BoE’s Paul Tucker denies doing anything bad. I’m glad that’s settled!
It was a fine day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets gaining 7bp and DeemedRetractibles winning 13bp. Enbridge FixedResets got smacked down on news of today’s new issue: could it be that the market is tired of new issues paying 4%? These issues were also well-represented on the volume table; looks like a lot of swapping is going on! Volume overall was very low.
| 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 | -0.1205 % | 2,298.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1205 % | 3,437.6 |
| Floater | 3.17 % | 3.17 % | 73,820 | 19.33 | 3 | -0.1205 % | 2,481.2 |
| OpRet | 4.79 % | 2.73 % | 43,737 | 0.95 | 5 | 0.1466 % | 2,520.6 |
| SplitShare | 5.51 % | 4.97 % | 82,990 | 4.72 | 3 | 0.0671 % | 2,745.8 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1466 % | 2,304.8 |
| Perpetual-Premium | 5.38 % | 3.20 % | 87,702 | 0.56 | 28 | 0.0996 % | 2,252.4 |
| Perpetual-Discount | 5.01 % | 4.95 % | 113,821 | 15.53 | 6 | 0.3384 % | 2,486.3 |
| FixedReset | 5.01 % | 2.92 % | 192,692 | 2.44 | 70 | 0.0656 % | 2,412.5 |
| Deemed-Retractible | 4.99 % | 3.79 % | 145,717 | 2.85 | 46 | 0.1348 % | 2,327.1 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| ENB.PR.H | FixedReset | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.10 Evaluated at bid price : 25.00 Bid-YTW : 3.42 % |
| ENB.PR.F | FixedReset | -1.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.18 Evaluated at bid price : 25.22 Bid-YTW : 3.63 % |
| ENB.PR.D | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.20 Evaluated at bid price : 25.25 Bid-YTW : 3.51 % |
| ENB.PR.B | FixedReset | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.26 Evaluated at bid price : 25.29 Bid-YTW : 3.51 % |
| BAM.PR.R | FixedReset | 1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.61 Evaluated at bid price : 26.26 Bid-YTW : 3.48 % |
| IGM.PR.B | Perpetual-Premium | 1.03 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-31 Maturity Price : 26.00 Evaluated at bid price : 26.48 Bid-YTW : 4.75 % |
| IAG.PR.A | Deemed-Retractible | 1.14 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.01 Bid-YTW : 5.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.Q | Deemed-Retractible | 146,310 | Recent new issue. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.04 Bid-YTW : 5.17 % |
| ENB.PR.F | FixedReset | 108,398 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.18 Evaluated at bid price : 25.22 Bid-YTW : 3.63 % |
| ENB.PR.D | FixedReset | 105,651 | Scotia crossed 23,000 at 25.25 and 16,000 at 25.23. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.20 Evaluated at bid price : 25.25 Bid-YTW : 3.51 % |
| CU.PR.E | Perpetual-Premium | 73,207 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 4.80 % |
| ENB.PR.H | FixedReset | 60,251 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-09 Maturity Price : 23.10 Evaluated at bid price : 25.00 Bid-YTW : 3.42 % |
| MFC.PR.G | FixedReset | 54,081 | Nesbitt bought blocks of 23,100 and 15,100 from Scotia at 25.15 each. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.16 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| W.PR.H | Perpetual-Premium | Quote: 25.67 – 26.19 Spot Rate : 0.5200 Average : 0.3234 YTW SCENARIO |
| TCA.PR.Y | Perpetual-Premium | Quote: 51.30 – 51.70 Spot Rate : 0.4000 Average : 0.2479 YTW SCENARIO |
| IAG.PR.C | FixedReset | Quote: 26.02 – 26.35 Spot Rate : 0.3300 Average : 0.2034 YTW SCENARIO |
| IAG.PR.E | Deemed-Retractible | Quote: 25.95 – 26.55 Spot Rate : 0.6000 Average : 0.4820 YTW SCENARIO |
| W.PR.J | Perpetual-Premium | Quote: 25.27 – 25.56 Spot Rate : 0.2900 Average : 0.1807 YTW SCENARIO |
| TD.PR.Q | Deemed-Retractible | Quote: 26.56 – 26.80 Spot Rate : 0.2400 Average : 0.1513 YTW SCENARIO |