Some investors may have gotten early word of changes to Federal Reserve policy between 1997 and 2013 and profited by trading before the policy shifts were publicly announced, according to Singapore-based researchers.
Trading records show abnormally large price movements and imbalances in buy and sell orders that are “statistically significant and in the direction of the subsequent policy surprise,” according to a paper by Gennaro Bernile, Jianfeng Hu and Yuehua Tang at Singapore Management University.
The moves occurred before and during the time that reporters were given the Federal Open Market Committee statement in so-called media lockups.
I wonder if this allegation will be investigated with as much hand-wringing and vigour as the LIBOR and FX pseudo-scandals.
Speaking of scandals…:
Ex-U.S. Treasury Secretary Timothy Geithner must comply with Standard & Poor’s demand that he provide documents related to its claim the U.S. sued the company in retaliation for downgrading government debt.
Harold W. McGraw III, chairman of S&P parent McGraw Hill Financial Inc. (MHFI), said in a court statement that Geithner called him days after S&P downgraded the U.S. debt in August 2011 and told him that the company would be held accountable for it. McGraw said Geithner told him there would be a “response” for the downgrade, which the government said was based on an error.
Geithner is the highest former government official S&P has pursued for information to support its allegations. S&P, the only credit rating company sued by the Justice Department for allegedly giving fraudulent ratings to mortgage-backed securities, has said it was singled out because of the downgrade.
The Justice Department and Geithner have denied there is a connection between the downgrade and the lawsuit filed last year. The government has said it may seek as much as $5 billion in civil penalties from S&P for losses to federally insured financial institutions that relied on its ratings for mortgage-backed securities and collateralized-debt obligations, or CDOs, that lost value after the housing market collapsed.
Here’s a step in the right direction!:
Wall Street’s bonus pool may rise as much as 10 percent this year for asset managers while fixed-income traders could see a 15 percent cut, according to compensation consultant Johnson Associates Inc.
…
“Many asset-management firms pay the same or better than the big banks, and this year that gap will get even bigger,” [founder of the consultancy Alan] Johnson said in the interview.
It was a day of modest gains for the Canadian preferred share market today, with PerpetualDiscounts winning 9bp, FixedResets gaining 1bp and DeemedRetractibles up 4bp. Volatility was modest. Volume was average.
| 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 | 0.3252 % | 2,464.0 |
| FixedFloater | 4.61 % | 3.85 % | 33,097 | 17.75 | 1 | -1.1990 % | 3,723.2 |
| Floater | 2.96 % | 3.09 % | 51,884 | 19.47 | 4 | 0.3252 % | 2,660.4 |
| OpRet | 4.39 % | -6.96 % | 33,423 | 0.13 | 2 | -0.1039 % | 2,707.9 |
| SplitShare | 4.80 % | 4.37 % | 65,031 | 4.16 | 5 | -0.2847 % | 3,093.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.1039 % | 2,476.1 |
| Perpetual-Premium | 5.50 % | -11.78 % | 96,746 | 0.09 | 15 | -0.0052 % | 2,405.8 |
| Perpetual-Discount | 5.28 % | 5.26 % | 115,093 | 14.91 | 21 | 0.0893 % | 2,552.9 |
| FixedReset | 4.53 % | 3.48 % | 205,506 | 4.27 | 75 | 0.0090 % | 2,563.2 |
| Deemed-Retractible | 4.98 % | -5.95 % | 142,028 | 0.11 | 42 | 0.0379 % | 2,525.4 |
| FloatingReset | 2.65 % | 2.35 % | 142,091 | 4.19 | 6 | -0.0396 % | 2,493.3 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| GCS.PR.A | SplitShare | -1.91 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.62 Bid-YTW : 4.42 % |
| BAM.PR.G | FixedFloater | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-05-14 Maturity Price : 21.37 Evaluated at bid price : 20.60 Bid-YTW : 3.85 % |
| CIU.PR.C | FixedReset | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-05-14 Maturity Price : 21.49 Evaluated at bid price : 21.85 Bid-YTW : 3.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| GWO.PR.I | Deemed-Retractible | 125,955 | TD crossed 48,700 at 22.80. Scotia crossed 70,000 at the same price. YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.72 Bid-YTW : 5.75 % |
| ENB.PR.N | FixedReset | 101,554 | RBC crossed 69,000 at 24.98. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-12-01 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.02 % |
| ENB.PR.P | FixedReset | 96,071 | Scotia crossed 86,700 at 24.43. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2044-05-14 Maturity Price : 22.97 Evaluated at bid price : 24.44 Bid-YTW : 4.10 % |
| BMO.PR.J | Deemed-Retractible | 84,607 | Nesbitt crossed 75,000 at 25.82. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-13 Maturity Price : 25.50 Evaluated at bid price : 25.79 Bid-YTW : -10.68 % |
| BMO.PR.M | FixedReset | 80,840 | Nesbitt crossed 75,000 at 25.35. YTW SCENARIO Maturity Type : Call Maturity Date : 2018-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.37 Bid-YTW : 3.01 % |
| BNS.PR.M | Deemed-Retractible | 73,783 | Nesbitt crossed blocks of 30,700 and 35,000, both at 25.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-27 Maturity Price : 25.50 Evaluated at bid price : 25.93 Bid-YTW : -3.01 % |
| There were 30 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.A | OpRet | Quote: 25.47 – 26.06 Spot Rate : 0.5900 Average : 0.3569 YTW SCENARIO |
| GCS.PR.A | SplitShare | Quote: 24.62 – 24.99 Spot Rate : 0.3700 Average : 0.2470 YTW SCENARIO |
| BNS.PR.K | Deemed-Retractible | Quote: 25.50 – 25.70 Spot Rate : 0.2000 Average : 0.1195 YTW SCENARIO |
| SLF.PR.C | Deemed-Retractible | Quote: 22.46 – 22.66 Spot Rate : 0.2000 Average : 0.1403 YTW SCENARIO |
| CM.PR.E | Perpetual-Premium | Quote: 25.46 – 25.65 Spot Rate : 0.1900 Average : 0.1314 YTW SCENARIO |
| TD.PR.Y | FixedReset | Quote: 25.57 – 25.75 Spot Rate : 0.1800 Average : 0.1304 YTW SCENARIO |