{"id":19163,"date":"2012-07-09T23:51:18","date_gmt":"2012-07-10T03:51:18","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19163"},"modified":"2012-07-09T23:51:18","modified_gmt":"2012-07-10T03:51:18","slug":"july-9-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19163","title":{"rendered":"July 9, 2012"},"content":{"rendered":"

Bloomberg’s Jonathan Weil points out<\/a> that the Barclays rate fixing scandal was reported over four years ago<\/a>.<\/p>\n

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.<\/p>\n

The BoE’s Paul Tucker denies doing anything bad<\/a>. I’m glad that’s settled!<\/p>\n

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<\/a>: 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.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1205 %<\/td>\n2,298.0<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.1205 %<\/td>\n3,437.6<\/td>\n<\/tr>\n
Floater<\/td>\n3.17 %<\/td>\n3.17 %<\/td>\n73,820<\/td>\n19.33<\/td>\n3<\/td>\n-0.1205 %<\/td>\n2,481.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.79 %<\/td>\n2.73 %<\/td>\n43,737<\/td>\n0.95<\/td>\n5<\/td>\n0.1466 %<\/td>\n2,520.6<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.51 %<\/td>\n4.97 %<\/td>\n82,990<\/td>\n4.72<\/td>\n3<\/td>\n0.0671 %<\/td>\n2,745.8<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.1466 %<\/td>\n2,304.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.38 %<\/td>\n3.20 %<\/td>\n87,702<\/td>\n0.56<\/td>\n28<\/td>\n0.0996 %<\/td>\n2,252.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.01 %<\/td>\n4.95 %<\/td>\n113,821<\/td>\n15.53<\/td>\n6<\/td>\n0.3384 %<\/td>\n2,486.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.01 %<\/td>\n2.92 %<\/td>\n192,692<\/td>\n2.44<\/td>\n70<\/td>\n0.0656 %<\/td>\n2,412.5<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.99 %<\/td>\n3.79 %<\/td>\n145,717<\/td>\n2.85<\/td>\n46<\/td>\n0.1348 %<\/td>\n2,327.1<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n-1.85 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.10
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n-1.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.22
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.20
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
ENB.PR.B<\/td>\nFixedReset<\/td>\n-1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.29
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n1.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.61
\nEvaluated at bid price : 26.26
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n
IGM.PR.B<\/td>\nPerpetual-Premium<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.48
\nBid-YTW : 4.75 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 23.01
\nBid-YTW : 5.74 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
GWO.PR.Q<\/td>\nDeemed-Retractible<\/td>\n146,310<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.04
\nBid-YTW : 5.17 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n108,398<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.18
\nEvaluated at bid price : 25.22
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
ENB.PR.D<\/td>\nFixedReset<\/td>\n105,651<\/td>\nScotia crossed 23,000 at 25.25 and 16,000 at 25.23.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.20
\nEvaluated at bid price : 25.25
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
CU.PR.E<\/td>\nPerpetual-Premium<\/td>\n73,207<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-09-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.26
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
ENB.PR.H<\/td>\nFixedReset<\/td>\n60,251<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-09
\nMaturity Price : 23.10
\nEvaluated at bid price : 25.00
\nBid-YTW : 3.42 %<\/td>\n<\/tr>\n
MFC.PR.G<\/td>\nFixedReset<\/td>\n54,081<\/td>\nNesbitt bought blocks of 23,100 and 15,100 from Scotia at 25.15 each.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.24
\nBid-YTW : 4.16 %<\/td>\n<\/tr>\n
There were 15 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n
Wide Spread Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nQuote Data and Yield Notes<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.67 – 26.19
\nSpot Rate : 0.5200
\nAverage : 0.3234<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.67
\nBid-YTW : 0.15 %<\/td>\n<\/tr>\n

TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 51.30 – 51.70
\nSpot Rate : 0.4000
\nAverage : 0.2479<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 51.30
\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n

IAG.PR.C<\/td>\nFixedReset<\/td>\nQuote: 26.02 – 26.35
\nSpot Rate : 0.3300
\nAverage : 0.2034<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.02
\nBid-YTW : 3.48 %<\/td>\n<\/tr>\n

IAG.PR.E<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.95 – 26.55
\nSpot Rate : 0.6000
\nAverage : 0.4820<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2018-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.95
\nBid-YTW : 5.36 %<\/td>\n<\/tr>\n

W.PR.J<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.27 – 25.56
\nSpot Rate : 0.2900
\nAverage : 0.1807<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-08-08
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.27
\nBid-YTW : -8.42 %<\/td>\n<\/tr>\n

TD.PR.Q<\/td>\nDeemed-Retractible<\/td>\nQuote: 26.56 – 26.80
\nSpot Rate : 0.2400
\nAverage : 0.1513<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-01-31
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.56
\nBid-YTW : 0.96 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

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 …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-19163","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19163","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=19163"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19163\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19163"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19163"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19163"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}