Credit Default Swaps are having definitional problems in Japan:
The International Swaps and Derivatives Association is assessing whether Japan’s alternative dispute resolution process for companies restructuring their debt triggers a so-called credit event that would lead to payouts on swaps, according to Executive Vice-Chairman Robert Pickel.
…
After Aiful entered ADR talks in September, a committee of 15 dealers and investors that determines when the swaps are triggered rejected three attempts to get payouts from contracts on the Kyoto-based lender even as one bank said Aiful ceased making loan payments. Failure to reach prompt agreement may damage confidence in Japan’s market for the securities, J. Paul Forrester, a partner and co-head of the derivatives and structured products practice at Chicago-based law firm Mayer Brown LLP, said in an interview last month.
There’s some more grandstanding on the Tobin Tax:
Iowa Senator Tom Harkin and Oregon Representative Peter DeFazio, along with five other Democratic members of the House, proposed the measure, which they said would raise $150 billion a year, to fund a new jobs bill and help pay down budget deficits.
“Let me be blunt: We need new revenue,” Harkin said at a news conference today in Washington. He called it the “most painless way” to raise revenue.
The New York Fed has published an interesting review of the international market in FX Swaps by Niall Coffey, Warren B. Hrung, Hoai-Luu Nguyen and Asani Sarkar titled The Global Financial Crisis and Offshore Dollar Markets:
Facing a shortage of U.S. dollars and a growing need to support their dollar-denominated assets during the financial crisis, international firms increasingly turned to the foreign exchange swap market and other secured funding sources. An analysis of the ensuing strains in the swap market shows that the dollar “basis” — the premium international institutions pay for dollar funding — became persistently large and positive, chiefl y as a result of the higher funding costs paid by smaller firms and non-U.S. banks. The widening of the basis underscores the severity and breadth of the crisis as markets designed to facilitate the flow of dollars faltered and institutions worldwide struggled to obtain funds.
BofA raised a chunk-and-a-half of equity:
Bank of America Corp., which plans to repay $45 billion of U.S. government bailout money, raised $19.3 billion in a sale of securities at $15 apiece, a 4.8 percent discount to its common stock.
The Charlotte, North Carolina-based lender sold 1.286 billion so-called common equivalent securities, according to Bloomberg data. The security, which is made up of one depositary share and one warrant, is convertible into one common share, subject to stockholder approval, a regulatory filing before the sale showed. Bank of America’s common stock rose 0.7 percent today to $15.76 in New York Stock Exchange composite trading.
A good day for preferred shares, as PerpetualDiscounts gained 12bp and FixedResets were up 6bp, as both volume and volatility returned to more normal levels.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| 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 | 0.2422 % | 1,502.4 |
| FixedFloater | 6.05 % | 4.16 % | 39,211 | 18.58 | 1 | 0.0000 % | 2,574.5 |
| Floater | 2.59 % | 3.02 % | 94,499 | 19.60 | 3 | 0.2422 % | 1,877.0 |
| OpRet | 4.86 % | -4.87 % | 147,556 | 0.08 | 15 | -0.0510 % | 2,307.9 |
| SplitShare | 6.35 % | -7.79 % | 279,120 | 0.08 | 2 | -0.0438 % | 2,115.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0510 % | 2,110.4 |
| Perpetual-Premium | 5.86 % | 5.49 % | 61,561 | 2.16 | 7 | -0.0453 % | 1,883.2 |
| Perpetual-Discount | 5.81 % | 5.87 % | 187,058 | 14.07 | 67 | 0.1215 % | 1,789.4 |
| FixedReset | 5.43 % | 3.75 % | 375,395 | 3.91 | 41 | 0.0609 % | 2,152.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 12.78 Evaluated at bid price : 12.78 Bid-YTW : 3.11 % |
| BAM.PR.O | OpRet | -1.16 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.61 % |
| MFC.PR.C | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 19.11 Evaluated at bid price : 19.11 Bid-YTW : 5.91 % |
| BNS.PR.T | FixedReset | 1.01 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-05-25 Maturity Price : 25.00 Evaluated at bid price : 27.90 Bid-YTW : 3.60 % |
| BMO.PR.K | Perpetual-Discount | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 23.41 Evaluated at bid price : 23.60 Bid-YTW : 5.60 % |
| TRI.PR.B | Floater | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 2.02 % |
| BMO.PR.H | Perpetual-Discount | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 22.81 Evaluated at bid price : 23.75 Bid-YTW : 5.57 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TRP.PR.A | FixedReset | 87,685 | Scotia crossed 59,300 at 25.85. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 23.38 Evaluated at bid price : 25.77 Bid-YTW : 4.05 % |
| MFC.PR.D | FixedReset | 70,281 | Desjardins crossed two blocks of 25,000 each at 27.95. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 27.91 Bid-YTW : 3.81 % |
| RY.PR.I | FixedReset | 53,345 | RBC crossed 50,000 at 26.30. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-26 Maturity Price : 25.00 Evaluated at bid price : 26.19 Bid-YTW : 3.80 % |
| BAM.PR.O | OpRet | 51,230 | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.56 Bid-YTW : 4.61 % |
| CM.PR.I | Perpetual-Discount | 42,435 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-12-03 Maturity Price : 20.29 Evaluated at bid price : 20.29 Bid-YTW : 5.87 % |
| NA.PR.O | FixedReset | 42,300 | RBC crossed 34,700 at 28.00. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 27.85 Bid-YTW : 3.82 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. | |||