{"id":20647,"date":"2012-12-19T23:24:19","date_gmt":"2012-12-20T03:24:19","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=20647"},"modified":"2012-12-19T23:24:19","modified_gmt":"2012-12-20T03:24:19","slug":"december-19-2012","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=20647","title":{"rendered":"December 19, 2012"},"content":{"rendered":"

There’s a smoking gun in the LIBOR fixing scandal<\/a>:<\/p>\n

According to transcripts released by the U.K. Financial Services Authority today, an employee identified as Trader A led efforts to influence Japanese Yen Libor submissions included paying brokers as much as 15,000 pounds ($24,400) a quarter and offering a payment to another for helping him keep that day\u2019s rate low. Trader A worked at UBS in Tokyo from 2006 to 2009 and directly contacted employees at other banks to influence their submissions at least 80 times.<\/p>\n

“I need you to keep it as low as possible,\u201d Trader A wrote to the broker on Sept. 18, 2008, referring to six-month yen Libor. \u201cIf you do that … I\u2019ll pay you, you know, $50,000, $100,000… whatever you want … I\u2019m a man of my word,\u201d according to the transcripts.
…<\/b>
Between Sept. 19 and Aug. 25, 2008, Trader A and a colleague entered into nine so-called wash trades as a means of rewarding an unidentified broker with more than 170,000 pounds for helping rig the rate. Wash trades are where a trader puts through two or more risk-free trades through a broker which cancel each other out while leading to a payment of brokerage fees to the broker arranging the trade. <\/p><\/blockquote>\n

For how long will the Greeks tolerate this<\/a>?<\/p>\n

In the Greek mountain town of Kastoria, less than an hour from the Albanian border, Kostas Tsitskos, 88, can\u2019t afford fuel to heat his home against the winter\u2019s cold. So he and his son live in a single bedroom, warmed by a small electric heater.<\/p>\n

\u201cOne room is enough,\u201d said Tsitskos, who lives on a 734 euro-a-month ($971) pension and doesn\u2019t have the 1,000 euros a month he needs to buy heating oil.<\/p>\n

Greece is facing a heating-oil crisis. With an economy that has contracted for five years and an unemployment rate at a record 25 percent, residents in northern Greece can\u2019t heat their homes. Kastoria hasn\u2019t received funds from the central government to warm schools and the mayor said he will close all 53 of them rather than let children freeze, a step already taken in a nearby town. Truckloads of wood are arriving from Bulgaria as families search for alternative fuels.<\/p><\/blockquote>\n

Canadians shouldn’t get too cocky<\/a>:<\/p>\n

The Canadian economy is expected to pick up speed \u2013 a little \u2013 by the middle of next year, though external risks still \u201cloom large,\u201d a new forecast said Wednesday.<\/p>\n

The country\u2019s gross domestic product will grow 1.8 per cent next year and accelerate to 2.25 per cent in 2014, the International Monetary Fund said in its preliminary assessment of the Canadian economy. That\u2019s down slightly from its October forecast of 2 per cent growth for next year.<\/p><\/blockquote>\n

It was a mixed day for the Canadian preferred share market, with PerpetualPremiums off 2bp, FixedResets gaining 7bp and DeemedRetractibles up 12bp. Volatility was average, but the highlights are all negative. Volume was quite high – presumably due to traders trying to get ready for year-end before the holiday lull.<\/p>\n

PerpetualDiscounts now yield 4.88%, equivalent to 6.34% interest at the standard equivalency factor of 1.3x. Long corporates<\/a> yield just under 4.3%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 205bp, a slight (and perhaps spurious) decline from the 210bp reported December 12<\/a>.<\/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>\n0.0000 %<\/td>\n2,484.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.31 %<\/td>\n3.66 %<\/td>\n31,817<\/td>\n17.95<\/td>\n1<\/td>\n-1.9120 %<\/td>\n3,736.5<\/td>\n<\/tr>\n
Floater<\/td>\n2.80 %<\/td>\n2.99 %<\/td>\n59,732<\/td>\n19.76<\/td>\n4<\/td>\n0.0000 %<\/td>\n2,682.2<\/td>\n<\/tr>\n
OpRet<\/td>\n4.64 %<\/td>\n2.63 %<\/td>\n54,689<\/td>\n0.49<\/td>\n4<\/td>\n0.0287 %<\/td>\n2,587.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.64 %<\/td>\n4.73 %<\/td>\n60,659<\/td>\n4.39<\/td>\n2<\/td>\n-0.0403 %<\/td>\n2,869.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0287 %<\/td>\n2,365.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.25 %<\/td>\n1.69 %<\/td>\n72,532<\/td>\n0.18<\/td>\n30<\/td>\n-0.0220 %<\/td>\n2,325.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n4.86 %<\/td>\n4.88 %<\/td>\n131,267<\/td>\n15.58<\/td>\n4<\/td>\n-0.1118 %<\/td>\n2,632.7<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.94 %<\/td>\n3.04 %<\/td>\n229,621<\/td>\n4.32<\/td>\n77<\/td>\n0.0681 %<\/td>\n2,453.3<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n4.89 %<\/td>\n2.73 %<\/td>\n116,743<\/td>\n0.42<\/td>\n46<\/td>\n0.1190 %<\/td>\n2,417.9<\/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.G<\/td>\nFixedFloater<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-12-19
\nMaturity Price : 22.58
\nEvaluated at bid price : 22.06
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n
IFC.PR.C<\/td>\nFixedReset<\/td>\n-1.44 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.01
\nBid-YTW : 3.04 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 3.08 %<\/td>\n<\/tr>\n
MFC.PR.H<\/td>\nFixedReset<\/td>\n-1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.78
\nBid-YTW : 3.82 %<\/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
ENB.PR.T<\/td>\nFixedReset<\/td>\n67,547<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-12-19
\nMaturity Price : 23.11
\nEvaluated at bid price : 25.06
\nBid-YTW : 3.76 %<\/td>\n<\/tr>\n
ENB.PR.F<\/td>\nFixedReset<\/td>\n55,118<\/td>\nRBC sold 23,600 to Scotia at 25.43, then crossed 20,500 at the same price.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-12-19
\nMaturity Price : 23.25
\nEvaluated at bid price : 25.37
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
HSB.PR.E<\/td>\nFixedReset<\/td>\n51,650<\/td>\nScotia bought 49,100 from RBC at 26.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.53
\nBid-YTW : 2.38 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n51,094<\/td>\nScotia crossed blocks of 19,600 and 25,000, both at 26.05.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.01
\nBid-YTW : 1.85 %<\/td>\n<\/tr>\n
NA.PR.Q<\/td>\nFixedReset<\/td>\n42,547<\/td>\nRBC crossed 16,000 at 26.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-11-15
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.09
\nBid-YTW : 2.95 %<\/td>\n<\/tr>\n
BAM.PR.Z<\/td>\nFixedReset<\/td>\n41,600<\/td>\nScotia crossed 21,400 at 26.18.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.15
\nBid-YTW : 3.78 %<\/td>\n<\/tr>\n
There were 46 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
BAM.PR.G<\/td>\nFixedFloater<\/td>\nQuote: 22.06 – 23.33
\nSpot Rate : 1.2700
\nAverage : 0.7814<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2042-12-19
\nMaturity Price : 22.58
\nEvaluated at bid price : 22.06
\nBid-YTW : 3.66 %<\/td>\n<\/tr>\n

TCA.PR.X<\/td>\nPerpetual-Premium<\/td>\nQuote: 52.00 – 52.66
\nSpot Rate : 0.6600
\nAverage : 0.4232<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-10-15
\nMaturity Price : 50.00
\nEvaluated at bid price : 52.00
\nBid-YTW : 1.61 %<\/td>\n<\/tr>\n

MFC.PR.H<\/td>\nFixedReset<\/td>\nQuote: 25.78 – 26.16
\nSpot Rate : 0.3800
\nAverage : 0.2189<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2017-03-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.78
\nBid-YTW : 3.82 %<\/td>\n<\/tr>\n

PWF.PR.O<\/td>\nPerpetual-Premium<\/td>\nQuote: 26.59 – 27.00
\nSpot Rate : 0.4100
\nAverage : 0.2943<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2016-10-31
\nMaturity Price : 25.50
\nEvaluated at bid price : 26.59
\nBid-YTW : 4.71 %<\/td>\n<\/tr>\n

MFC.PR.D<\/td>\nFixedReset<\/td>\nQuote: 26.49 – 26.79
\nSpot Rate : 0.3000
\nAverage : 0.2158<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.49
\nBid-YTW : 2.56 %<\/td>\n<\/tr>\n

GWO.PR.H<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.20 – 25.45
\nSpot Rate : 0.2500
\nAverage : 0.1699<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 4.32 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There’s a smoking gun in the LIBOR fixing scandal: According to transcripts released by the U.K. Financial Services Authority today, an employee identified as Trader A led efforts to influence Japanese Yen Libor submissions included …<\/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-20647","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20647","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=20647"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/20647\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=20647"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=20647"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=20647"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}