{"id":19289,"date":"2012-07-20T19:41:08","date_gmt":"2012-07-20T23:41:08","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=19289"},"modified":"2012-07-20T19:41:08","modified_gmt":"2012-07-20T23:41:08","slug":"july-20-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=19289","title":{"rendered":"July 20, 2012"},"content":{"rendered":"

The Bank of England knew<\/a> that the BBA was taking a lackadaisical approach to LIBOR reform:<\/p>\n

The Bank of England favored having its name removed from the 2008 review of Libor by the British Bankers\u2019 Association over concern its improvement of governance didn\u2019t go far enough.<\/p>\n

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.<\/p>\n

\u201cOn 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,\u201d Bank of England official Michael Cross said in a note to colleagues. \u201cGiven this, we might want to have direct and indirect references to the Bank (and the Fed) removed.\u201d<\/p>\n

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 \u201cagrees the BOE references should be removed and replaced with \u2018all interested parties.\u2019\u201d King had said in a note dated May 31 that the BBA\u2019s initial proposals seemed \u201cwholly inadequate.\u201d
…<\/b>
Contained into today\u2019s 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. <\/p><\/blockquote>\n

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.<\/p>\n

And now I’m caught up with the market reports! Sorry for the recent lateness.<\/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>\n0.5477 %<\/td>\n2,290.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.5477 %<\/td>\n3,425.8<\/td>\n<\/tr>\n
Floater<\/td>\n3.18 %<\/td>\n3.21 %<\/td>\n74,396<\/td>\n19.22<\/td>\n3<\/td>\n0.5477 %<\/td>\n2,472.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.79 %<\/td>\n3.79 %<\/td>\n40,298<\/td>\n0.92<\/td>\n5<\/td>\n-0.3765 %<\/td>\n2,518.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.47 %<\/td>\n4.87 %<\/td>\n67,868<\/td>\n4.69<\/td>\n3<\/td>\n0.0399 %<\/td>\n2,765.7<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.3765 %<\/td>\n2,302.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.34 %<\/td>\n2.35 %<\/td>\n97,322<\/td>\n0.49<\/td>\n27<\/td>\n0.1047 %<\/td>\n2,261.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.96 %<\/td>\n4.89 %<\/td>\n104,060<\/td>\n15.60<\/td>\n6<\/td>\n0.0683 %<\/td>\n2,507.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.99 %<\/td>\n3.00 %<\/td>\n181,955<\/td>\n3.99<\/td>\n71<\/td>\n-0.0163 %<\/td>\n2,416.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.97 %<\/td>\n3.61 %<\/td>\n143,803<\/td>\n2.65<\/td>\n46<\/td>\n0.0734 %<\/td>\n2,340.0<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.36 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.13
\nBid-YTW : 2.52 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nDeemed-Retractible<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-25
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.31
\nBid-YTW : 0.58 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 16.66
\nEvaluated at bid price : 16.66
\nBid-YTW : 3.17 %<\/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
NA.PR.M<\/td>\nDeemed-Retractible<\/td>\n243,201<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-05-15
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.86
\nBid-YTW : 1.17 %<\/td>\n<\/tr>\n
FTS.PR.H<\/td>\nFixedReset<\/td>\n173,269<\/td>\nDeleted from TXPR<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 23.51
\nEvaluated at bid price : 25.31
\nBid-YTW : 2.68 %<\/td>\n<\/tr>\n
PWF.PR.R<\/td>\nPerpetual-Premium<\/td>\n159,855<\/td>\nNational Bank crossed five blocks: two of 23,300 each, one of 50,000 and two of 28,400 each, all at 26.37.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2021-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.21
\nBid-YTW : 4.82 %<\/td>\n<\/tr>\n
ENB.PR.N<\/td>\nFixedReset<\/td>\n135,450<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 23.13
\nEvaluated at bid price : 25.10
\nBid-YTW : 3.74 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n88,266<\/td>\nTD crossed 80,900 at 25.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 23.26
\nEvaluated at bid price : 25.47
\nBid-YTW : 3.59 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n86,072<\/td>\nTD crossed 16,400 at 25.85; RBC crossed 60,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2022-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.86
\nBid-YTW : 3.13 %<\/td>\n<\/tr>\n
There were 37 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
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\nQuote: 27.04 – 27.90
\nSpot Rate : 0.8600
\nAverage : 0.5136<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-04-26
\nMaturity Price : 26.00
\nEvaluated at bid price : 27.04
\nBid-YTW : -0.09 %<\/td>\n<\/tr>\n

BAM.PR.O<\/td>\nOpRet<\/td>\nQuote: 25.32 – 25.74
\nSpot Rate : 0.4200
\nAverage : 0.2736<\/p>\n

YTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.32
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 50.85 – 51.35
\nSpot Rate : 0.5000
\nAverage : 0.3676<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 50.85
\nBid-YTW : 4.06 %<\/td>\n<\/tr>\n

ENB.PR.B<\/td>\nFixedReset<\/td>\nQuote: 25.40 – 25.71
\nSpot Rate : 0.3100
\nAverage : 0.1925<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 23.30
\nEvaluated at bid price : 25.40
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n

ENB.PR.D<\/td>\nFixedReset<\/td>\nQuote: 25.32 – 25.63
\nSpot Rate : 0.3100
\nAverage : 0.1951<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-07-20
\nMaturity Price : 23.23
\nEvaluated at bid price : 25.32
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n

BNS.PR.X<\/td>\nFixedReset<\/td>\nQuote: 26.47 – 26.73
\nSpot Rate : 0.2600
\nAverage : 0.1560<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-04-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.47
\nBid-YTW : 2.70 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

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\u2019 …<\/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-19289","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19289","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=19289"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/19289\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=19289"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=19289"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=19289"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}