{"id":24147,"date":"2014-01-08T02:02:04","date_gmt":"2014-01-08T07:02:04","guid":{"rendered":"http:\/\/prefblog.com\/?p=24147"},"modified":"2014-01-08T02:02:04","modified_gmt":"2014-01-08T07:02:04","slug":"january-7-2014","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=24147","title":{"rendered":"January 7, 2014"},"content":{"rendered":"

Bloomberg’s Matt Levine pens a good review of JPMorgan’s $1.7-billion Madoff fine<\/a>:<\/p>\n

If you think of JPMorgan’s businesses as operating more or less independently, but occasionally making each other money by cross-selling, then this mess makes more sense. A London investment bank that considered and rejected a derivative-linked investment in Madoff would have no obligations to report its suspicions to U.S. regulators. A boring custody bank that ran Madoff’s checking accounts but had no derivatives traders to get suspicious about him also probably wouldn’t be in trouble for missing the Madoff red flags. Combine the two businesses and the same behavior gets you in trouble. In that sense, JPMorgan’s $1.7 billion forfeiture here looks a bit like a tax on bigness and integration: You can grow huge, offer a loosely integrated set of every conceivable financial product, and bask in the cross-selling opportunities, but every now and then it’ll cost you a couple of billion dollars. So far that trade-off still seems to be worth it for JPMorgan.<\/p><\/blockquote>\n

It was a mixed day for the Canadian preferred share market, with PerpetualDiscounts gaining 8bp, FixedResets up 16bp and DeemedRetractibles off 11bp. The Performance Highlights table is heavily skewed towards winners. Volume was well above average.<\/p>\n

Today’s new issue from PPL<\/a> is the second this week (too bad they’re both junk), so I win the nickel I bet last Friday<\/a>. Now let’s go for #3!<\/p>\n\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-0.2419 %<\/td>\n2,544.8<\/td>\n<\/tr>\n
FixedFloater<\/td>\n4.47 %<\/td>\n3.76 %<\/td>\n34,467<\/td>\n17.76<\/td>\n1<\/td>\n0.0471 %<\/td>\n3,756.3<\/td>\n<\/tr>\n
Floater<\/td>\n2.94 %<\/td>\n2.95 %<\/td>\n66,918<\/td>\n19.88<\/td>\n3<\/td>\n-0.2419 %<\/td>\n2,747.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.63 %<\/td>\n1.80 %<\/td>\n76,771<\/td>\n0.39<\/td>\n3<\/td>\n-0.0515 %<\/td>\n2,663.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n4.86 %<\/td>\n4.81 %<\/td>\n69,916<\/td>\n4.44<\/td>\n5<\/td>\n-0.0241 %<\/td>\n3,016.2<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0515 %<\/td>\n2,435.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.62 %<\/td>\n4.92 %<\/td>\n128,767<\/td>\n0.31<\/td>\n13<\/td>\n0.0781 %<\/td>\n2,316.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.62 %<\/td>\n5.63 %<\/td>\n169,206<\/td>\n14.38<\/td>\n25<\/td>\n0.0750 %<\/td>\n2,354.9<\/td>\n<\/tr>\n
FixedReset<\/td>\n4.96 %<\/td>\n3.56 %<\/td>\n212,700<\/td>\n3.40<\/td>\n82<\/td>\n0.1576 %<\/td>\n2,481.2<\/td>\n<\/tr>\n
Deemed-Retractible<\/td>\n5.13 %<\/td>\n4.38 %<\/td>\n169,093<\/td>\n2.01<\/td>\n42<\/td>\n-0.1064 %<\/td>\n2,408.6<\/td>\n<\/tr>\n
FloatingReset<\/td>\n2.60 %<\/td>\n2.32 %<\/td>\n241,288<\/td>\n4.34<\/td>\n5<\/td>\n0.1190 %<\/td>\n2,471.4<\/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
IAG.PR.A<\/td>\nDeemed-Retractible<\/td>\n-1.91 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2025-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.61
\nBid-YTW : 6.37 %<\/td>\n<\/tr>\n
CU.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 22.32
\nEvaluated at bid price : 22.66
\nBid-YTW : 5.46 %<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nDeemed-Retractible<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-06
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.11
\nBid-YTW : -4.20 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 23.07
\nEvaluated at bid price : 23.47
\nBid-YTW : 5.52 %<\/td>\n<\/tr>\n
CIU.PR.C<\/td>\nFixedReset<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 20.07
\nEvaluated at bid price : 20.07
\nBid-YTW : 4.24 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.28 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 22.69
\nEvaluated at bid price : 22.98
\nBid-YTW : 5.78 %<\/td>\n<\/tr>\n
PWF.PR.P<\/td>\nFixedReset<\/td>\n1.29 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 22.49
\nEvaluated at bid price : 22.80
\nBid-YTW : 4.03 %<\/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
TRP.PR.D<\/td>\nFixedReset<\/td>\n110,755<\/td>\nTD crossed two blocks of 50,000 each, both at 25.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
TRP.PR.A<\/td>\nFixedReset<\/td>\n100,542<\/td>\nDesjardins crossed 76,200 at 24.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 23.46
\nEvaluated at bid price : 24.01
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
TD.PR.I<\/td>\nFixedReset<\/td>\n76,510<\/td>\nScotia crossed 75,000 at 25.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.43
\nBid-YTW : 2.47 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n58,695<\/td>\nWill reset at 3.83%<\/a>. Yield to Deemed Maturity 2022-1-31 is 3.71%.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-02-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.21
\nBid-YTW : -3.76 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n55,525<\/td>\nScotia crossed 50,000 at 25.46.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.47
\nBid-YTW : 2.44 %<\/td>\n<\/tr>\n
BAM.PR.P<\/td>\nFixedReset<\/td>\n46,672<\/td>\nScotia crossed 30,000 at 25.63.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-09-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.60
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
There were 43 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
TCA.PR.Y<\/td>\nPerpetual-Premium<\/td>\nQuote: 50.00 – 50.37
\nSpot Rate : 0.3700
\nAverage : 0.2308<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-05
\nMaturity Price : 50.00
\nEvaluated at bid price : 50.00
\nBid-YTW : 3.16 %<\/td>\n<\/tr>\n

PWF.PR.T<\/td>\nFixedReset<\/td>\nQuote: 25.48 – 25.84
\nSpot Rate : 0.3600
\nAverage : 0.2261<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.48
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n

CU.PR.E<\/td>\nPerpetual-Discount<\/td>\nQuote: 22.69 – 23.03
\nSpot Rate : 0.3400
\nAverage : 0.2662<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 22.35
\nEvaluated at bid price : 22.69
\nBid-YTW : 5.45 %<\/td>\n<\/tr>\n

PWF.PR.H<\/td>\nPerpetual-Premium<\/td>\nQuote: 25.08 – 25.31
\nSpot Rate : 0.2300
\nAverage : 0.1574<\/p>\n

YTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2044-01-07
\nMaturity Price : 24.86
\nEvaluated at bid price : 25.08
\nBid-YTW : 5.84 %<\/td>\n<\/tr>\n

TRP.PR.D<\/td>\nFixedReset<\/td>\nQuote: 25.13 – 25.31
\nSpot Rate : 0.1800
\nAverage : 0.1119<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-04-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n

HSB.PR.C<\/td>\nDeemed-Retractible<\/td>\nQuote: 25.14 – 25.35
\nSpot Rate : 0.2100
\nAverage : 0.1463<\/p>\n

YTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.14
\nBid-YTW : 4.15 %<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Bloomberg’s Matt Levine pens a good review of JPMorgan’s $1.7-billion Madoff fine: If you think of JPMorgan’s businesses as operating more or less independently, but occasionally making each other money by cross-selling, then this mess …<\/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-24147","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24147","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=24147"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/24147\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=24147"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=24147"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=24147"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}