July 20, 2012

The Bank of England knew that the BBA was taking a lackadaisical approach to LIBOR reform:

The Bank of England favored having its name removed from the 2008 review of Libor by the British Bankers’ Association over concern its improvement of governance didn’t go far enough.

The view was contained in 80 pages of correspondence between the central bank and the BBA and the New York Federal Reserve on the London interbank offered rate. The documents were published today after a request earlier this week from U.K. lawmakers investigating the scandal over the global rate.

“On governance, what the BBA say they will do seems broadly incrementally sensible as far as it goes, although we have concerns that they may not go far enough,” Bank of England official Michael Cross said in a note to colleagues. “Given this, we might want to have direct and indirect references to the Bank (and the Fed) removed.”

The note is dated June 4, 2008, a week before the BBA published a consultation document on its review of Libor. In a response the same day, a memo says Bank of England Governor Mervyn King “agrees the BOE references should be removed and replaced with ‘all interested parties.’” King had said in a note dated May 31 that the BBA’s initial proposals seemed “wholly inadequate.”

Contained into today’s release was an internal Bank of England document sent to Tucker on May 22, 2008, stating that the BBA, which oversees the setting of Libor, warned banks to submit honest rates on April 16, 2008. The spread between three- month dollar Libor and the overnight indexed swap rate widened 12 basis points in the three days following the warning, according to the note.

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums up 10bp, FixedResets off 2bp and DeemedRetractibles gaining 7bp. Volatility was normal.

And now I’m caught up with the market reports! Sorry for the recent lateness.

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 0.5477 % 2,290.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5477 % 3,425.8
Floater 3.18 % 3.21 % 74,396 19.22 3 0.5477 % 2,472.7
OpRet 4.79 % 3.79 % 40,298 0.92 5 -0.3765 % 2,518.4
SplitShare 5.47 % 4.87 % 67,868 4.69 3 0.0399 % 2,765.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3765 % 2,302.9
Perpetual-Premium 5.34 % 2.35 % 97,322 0.49 27 0.1047 % 2,261.6
Perpetual-Discount 4.96 % 4.89 % 104,060 15.60 6 0.0683 % 2,507.9
FixedReset 4.99 % 3.00 % 181,955 3.99 71 -0.0163 % 2,416.3
Deemed-Retractible 4.97 % 3.61 % 143,803 2.65 46 0.0734 % 2,340.0
Performance Highlights
Issue Index Change Notes
BAM.PR.O OpRet -1.36 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.94 %
CIU.PR.B FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-06-01
Maturity Price : 25.00
Evaluated at bid price : 27.13
Bid-YTW : 2.52 %
BMO.PR.L Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-25
Maturity Price : 26.00
Evaluated at bid price : 27.31
Bid-YTW : 0.58 %
BAM.PR.B Floater 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.M Deemed-Retractible 243,201 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-05-15
Maturity Price : 26.00
Evaluated at bid price : 26.86
Bid-YTW : 1.17 %
FTS.PR.H FixedReset 173,269 Deleted from TXPR.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 23.51
Evaluated at bid price : 25.31
Bid-YTW : 2.68 %
PWF.PR.R Perpetual-Premium 159,855 National Bank crossed five blocks: two of 23,300 each, one of 50,000 and two of 28,400 each, all at 26.37.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.82 %
ENB.PR.N FixedReset 135,450 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 23.13
Evaluated at bid price : 25.10
Bid-YTW : 3.74 %
ENB.PR.F FixedReset 88,266 TD crossed 80,900 at 25.50.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 23.26
Evaluated at bid price : 25.47
Bid-YTW : 3.59 %
RY.PR.I FixedReset 86,072 TD crossed 16,400 at 25.85; RBC crossed 60,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.13 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.O Deemed-Retractible Quote: 27.04 – 27.90
Spot Rate : 0.8600
Average : 0.5136

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-04-26
Maturity Price : 26.00
Evaluated at bid price : 27.04
Bid-YTW : -0.09 %

BAM.PR.O OpRet Quote: 25.32 – 25.74
Spot Rate : 0.4200
Average : 0.2736

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2013-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.94 %

TCA.PR.X Perpetual-Premium Quote: 50.85 – 51.35
Spot Rate : 0.5000
Average : 0.3676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-10-15
Maturity Price : 50.00
Evaluated at bid price : 50.85
Bid-YTW : 4.06 %

ENB.PR.B FixedReset Quote: 25.40 – 25.71
Spot Rate : 0.3100
Average : 0.1925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 23.30
Evaluated at bid price : 25.40
Bid-YTW : 3.51 %

ENB.PR.D FixedReset Quote: 25.32 – 25.63
Spot Rate : 0.3100
Average : 0.1951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2042-07-20
Maturity Price : 23.23
Evaluated at bid price : 25.32
Bid-YTW : 3.51 %

BNS.PR.X FixedReset Quote: 26.47 – 26.73
Spot Rate : 0.2600
Average : 0.1560

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.47
Bid-YTW : 2.70 %

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