November 22, 2011

The SEC’s campaign to create a society of paid informers is proving remarkably successful:

Bounty-hunting corporate tipsters are filing reports of potential wrongdoing with the U.S. Securities and Exchange Commission at a rate of about seven per day, according to the first progress report from the agency’s new whistle-blower program.

The public snapshot released last week counted 334 tips in the first 50 days after the program — revamped under the Dodd- Frank Act — became fully operational on Aug. 12.

The program gives whistle-blowers a share of proceeds if their tips lead to more than $1 million in penalties. So far, the top three categories of tips are those alleging market manipulation, problems with public disclosure or fraud in offerings.

I hope they’re managing it all right. I’m sure there’s still lots of ex-officers around from the East German STASI – perhaps they can be recruited as case managers.

The Fed’s stress test is … stressful:

The Federal Reserve told the 31 largest U.S. banks to test their loan portfolios and trading books against a deep recession and a European market shock to ensure they have enough capital to withstand losses.

The most severe test scenarios outlined by the Fed today include an unemployment rate of as much as 13 percent, an 8 percent drop in gross domestic product and a 21 percent plunge in home prices.

The Fed will also publish the results of the tests for the 19 largest bank holding companies. Six institutions with large trading operations will have to estimate potential losses from a hypothetical “global market shock,” the Fed said. That shock will be based on market price movements seen during the second half of 2008, it said, and include a scenario involving “sharp market price movements in European sovereign and financial sectors.”

The Fed said it would publish the results of the market shock scenario of the six institutions: Bank of America Corp., Citigroup Inc., Goldman Sachs Group, Inc., JPMorgan Chase & Co., Morgan Stanley and Wells Fargo & Company.

The Fed said it would approve dividend increases and other capital distributions “only for companies whose capital plans are approved by supervisors and are able to demonstrate sufficient financial strength to operate as successful financial intermediaries under stressed macroeconomic and financial market scenarios.”

It was a mild day for the Canadian preferred share market, with PerpetualDiscounts up 2bp, FixedResets gaining 2bp and DeemedRetractibles winning 4bp. The Performance Highlights table was very short, with only three entries. Volume was average.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
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 0.9032 % 2,143.4
FixedFloater 4.92 % 4.66 % 29,980 17.07 1 0.2078 % 3,129.1
Floater 3.36 % 3.37 % 155,697 18.76 2 0.9032 % 2,314.3
OpRet 4.97 % 2.74 % 51,772 1.48 7 0.0330 % 2,475.9
SplitShare 5.81 % 6.47 % 58,198 5.17 3 -0.0141 % 2,528.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0330 % 2,264.0
Perpetual-Premium 5.57 % -0.80 % 101,968 0.12 13 0.1110 % 2,158.1
Perpetual-Discount 5.30 % 5.18 % 101,128 14.76 17 0.0169 % 2,299.3
FixedReset 5.10 % 2.87 % 224,828 2.48 63 0.0218 % 2,349.5
Deemed-Retractible 5.04 % 4.40 % 204,779 3.87 46 0.0401 % 2,221.2
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.70 %
POW.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 23.99
Evaluated at bid price : 24.45
Bid-YTW : 5.15 %
BAM.PR.I OpRet 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2011-12-22
Maturity Price : 25.25
Evaluated at bid price : 25.58
Bid-YTW : -0.84 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.A OpRet 114,737 Anonymous crossed 21,400 at 25.15. Nesbitt crossed 80,000 at the same price.
YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2015-12-18
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.87 %
BNS.PR.Y FixedReset 109,491 Scotia crossed 20,000 at 25.20; Nesbitt crossed 80,000 at the same price.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.86 %
SLF.PR.I FixedReset 103,025 Recent new issue.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.42 %
RY.PR.X FixedReset 93,549 Nesbitt sold 31,000 to anonymous at 27.41, then crossed 60,000 at the same price.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.34
Bid-YTW : 2.71 %
BAM.PR.Z FixedReset 73,950 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 23.14
Evaluated at bid price : 25.11
Bid-YTW : 4.36 %
TRP.PR.B FixedReset 69,202 Desjardins bought 15,300 from Nesbitt at 25.32, then crossed 30,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 23.40
Evaluated at bid price : 25.33
Bid-YTW : 2.69 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.N FixedReset Quote: 26.10 – 26.50
Spot Rate : 0.4000
Average : 0.3012

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2013-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 2.84 %

BAM.PR.M Perpetual-Discount Quote: 23.20 – 23.59
Spot Rate : 0.3900
Average : 0.2929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 22.79
Evaluated at bid price : 23.20
Bid-YTW : 5.18 %

POW.PR.D Perpetual-Discount Quote: 24.45 – 24.85
Spot Rate : 0.4000
Average : 0.3037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 23.99
Evaluated at bid price : 24.45
Bid-YTW : 5.15 %

CIU.PR.A Perpetual-Discount Quote: 24.60 – 24.90
Spot Rate : 0.3000
Average : 0.2164

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 24.10
Evaluated at bid price : 24.60
Bid-YTW : 4.66 %

BAM.PR.G FixedFloater Quote: 19.29 – 19.85
Spot Rate : 0.5600
Average : 0.5033

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2041-11-22
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 4.66 %

BNA.PR.E SplitShare Quote: 23.00 – 23.25
Spot Rate : 0.2500
Average : 0.1952

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.47 %

2 Responses to “November 22, 2011”

  1. mclachlan8 says:

    Handling the illegal stuff is a noble effort. If we can only deal with the unethical stuff, now that’s an even bigger challenge in America. Check this site to see what I mean – how on earth do people get away with this blatant fraud ?

    http://www.footnoted.com/

  2. jiHymas says:

    Handling the illegal stuff is a noble effort. Informing on your friends and colleagues for pay, not so much.

    It’s easy to rationalize the programme provided one assumes we live in a perfect world populated solely by boy scouts with ethics badges. In this world, the potential to inform for profit will simply bring out the worst in people – and the worst can be pretty awful.

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