A story on the potential for LIBOR lawsuits:
Plaintiffs would face difficulties, such as proving how much money they lost, said Roy Smith, a finance professor at New York University’s Stern School of Business and a former Goldman Sachs partner. Because Libor rates excluded some of the highest and lowest estimates, it may be hard to calculate which firms were culpable for influencing the outcome, he said.
Regulators may also have known that banks were fixing Libor and neglected to stop it, which could make a court case yet more complex, Smith said. U.K. lawmakers have been questioning Bank of England Governor Mervyn King and his deputy Paul Tucker on their roles in the scandal. The Federal Reserve Bank of New York last week released documents showing it knew Barclays underreported rates and recommended changes to Libor.
“It makes it even more complicated when the regulators appear to have known about it and not have objected to it, which means it wasn’t illegal,” Smith said. “All I can say is, ‘Good luck with your lawsuit.’”
Meanwhile, in news of the Great Financial Repression:
The Treasury sold $15 billion in 10- year inflation-indexed notes at a record negative yield as investors sought a hedge against rising consumer prices amid speculation the Federal Reserve will add more stimulus.
The Treasury Inflation Protected Securities, or TIPS, were sold at a so-called high yield of negative 0.637 percent, the fourth consecutive auction of the securities where investors were willing to pay the U.S. to hold their principal. Five-year TIPS have also been sold at negative yields at the past five auctions of the securities.
Will wonders never cease? Asset managers are competing on price:
Federated Investors Inc. (FII) will replace Fidelity’s Pyramis Global Advisors in providing management services for the Massachusetts Municipal Depository Trust, which oversees money for the state and about 290 local governments, state Treasurer Steven Grossman announced today. Pyramis has managed the funds for the trust since it was created in 1977, he said.
The new contract will cut costs by 34 percent, or almost $8.2 million, over three years through lower investment fees, Grossman said in a statement. Federated, based in Pittsburgh, has also committed to expanding its Boston office and the three- year contract can be extended for two years, he said.
Of course, there’s such a thing as doing asset management too cheaply!
Here’s yet another revolving door:
Air Canada says a senior aide to Prime Minister Stephen Harper will become the airline’s vice-president for corporate strategy and government affairs, starting in September.
Derek Vanstone is currently Harper’s deputy chief of staff and was previously chief of staff to Finance Minister Jim Flaherty from 2007 to 2010.
TMX DataLinx had collywobbles last night when I attempted to retrieve prices, so this report is a day late. Sorry!
| 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 | -0.5045 % | 2,277.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5045 % | 3,407.2 |
| Floater | 3.19 % | 3.21 % | 75,081 | 19.21 | 3 | -0.5045 % | 2,459.3 |
| OpRet | 4.77 % | 2.43 % | 41,681 | 0.92 | 5 | 0.0461 % | 2,528.0 |
| SplitShare | 5.47 % | 4.87 % | 70,166 | 4.70 | 3 | 0.0133 % | 2,764.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0461 % | 2,311.6 |
| Perpetual-Premium | 5.36 % | 2.51 % | 92,266 | 0.53 | 28 | -0.0837 % | 2,259.2 |
| Perpetual-Discount | 4.97 % | 4.92 % | 103,533 | 15.60 | 6 | 0.1162 % | 2,506.2 |
| FixedReset | 4.99 % | 2.94 % | 180,052 | 4.66 | 71 | -0.0119 % | 2,416.7 |
| Deemed-Retractible | 4.97 % | 3.65 % | 144,539 | 2.65 | 46 | -0.0026 % | 2,338.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.B | Floater | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-19 Maturity Price : 16.40 Evaluated at bid price : 16.40 Bid-YTW : 3.22 % |
| POW.PR.A | Perpetual-Premium | -1.25 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2012-08-18 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : -9.41 % |
| SLF.PR.H | FixedReset | 1.10 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.82 Bid-YTW : 3.74 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.N | FixedReset | 286,870 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-19 Maturity Price : 23.12 Evaluated at bid price : 25.08 Bid-YTW : 3.75 % |
| TD.PR.G | FixedReset | 180,338 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-04-30 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 2.21 % |
| ENB.PR.F | FixedReset | 146,812 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-07-19 Maturity Price : 23.25 Evaluated at bid price : 25.45 Bid-YTW : 3.59 % |
| BNS.PR.Y | FixedReset | 103,302 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 2.58 % |
| MFC.PR.I | FixedReset | 81,974 | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.07 Bid-YTW : 4.32 % |
| BNS.PR.L | Deemed-Retractible | 67,296 | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-04-27 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.62 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.L | Deemed-Retractible | Quote: 27.00 – 27.40 Spot Rate : 0.4000 Average : 0.2398 YTW SCENARIO |
| POW.PR.A | Perpetual-Premium | Quote: 25.33 – 25.77 Spot Rate : 0.4400 Average : 0.2921 YTW SCENARIO |
| BAM.PR.B | Floater | Quote: 16.40 – 16.71 Spot Rate : 0.3100 Average : 0.2051 YTW SCENARIO |
| TRP.PR.B | FixedReset | Quote: 25.25 – 25.47 Spot Rate : 0.2200 Average : 0.1356 YTW SCENARIO |
| PWF.PR.R | Perpetual-Premium | Quote: 26.15 – 26.39 Spot Rate : 0.2400 Average : 0.1616 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 50.70 – 51.00 Spot Rate : 0.3000 Average : 0.2224 YTW SCENARIO |