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 paying brokers as much as 15,000 pounds ($24,400) a quarter and offering a payment to another for helping him keep that day’s 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.
“I need you to keep it as low as possible,” Trader A wrote to the broker on Sept. 18, 2008, referring to six-month yen Libor. “If you do that … I’ll pay you, you know, $50,000, $100,000… whatever you want … I’m a man of my word,” according to the transcripts.
…
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.
For how long will the Greeks tolerate this?
In the Greek mountain town of Kastoria, less than an hour from the Albanian border, Kostas Tsitskos, 88, can’t afford fuel to heat his home against the winter’s cold. So he and his son live in a single bedroom, warmed by a small electric heater.
“One room is enough,” said Tsitskos, who lives on a 734 euro-a-month ($971) pension and doesn’t have the 1,000 euros a month he needs to buy heating oil.
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’t heat their homes. Kastoria hasn’t 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.
Canadians shouldn’t get too cocky:
The Canadian economy is expected to pick up speed – a little – by the middle of next year, though external risks still “loom large,” a new forecast said Wednesday.
The country’s 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’s down slightly from its October forecast of 2 per cent growth for next year.
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.
PerpetualDiscounts now yield 4.88%, equivalent to 6.34% interest at the standard equivalency factor of 1.3x. Long corporates 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.
| 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 | 0.0000 % | 2,484.1 |
| FixedFloater | 4.31 % | 3.66 % | 31,817 | 17.95 | 1 | -1.9120 % | 3,736.5 |
| Floater | 2.80 % | 2.99 % | 59,732 | 19.76 | 4 | 0.0000 % | 2,682.2 |
| OpRet | 4.64 % | 2.63 % | 54,689 | 0.49 | 4 | 0.0287 % | 2,587.3 |
| SplitShare | 4.64 % | 4.73 % | 60,659 | 4.39 | 2 | -0.0403 % | 2,869.5 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0287 % | 2,365.9 |
| Perpetual-Premium | 5.25 % | 1.69 % | 72,532 | 0.18 | 30 | -0.0220 % | 2,325.1 |
| Perpetual-Discount | 4.86 % | 4.88 % | 131,267 | 15.58 | 4 | -0.1118 % | 2,632.7 |
| FixedReset | 4.94 % | 3.04 % | 229,621 | 4.32 | 77 | 0.0681 % | 2,453.3 |
| Deemed-Retractible | 4.89 % | 2.73 % | 116,743 | 0.42 | 46 | 0.1190 % | 2,417.9 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.G | FixedFloater | -1.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-19 Maturity Price : 22.58 Evaluated at bid price : 22.06 Bid-YTW : 3.66 % |
| IFC.PR.C | FixedReset | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2016-09-30 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.04 % |
| PWF.PR.M | FixedReset | -1.10 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-01-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.08 % |
| MFC.PR.H | FixedReset | -1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2017-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.78 Bid-YTW : 3.82 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| ENB.PR.T | FixedReset | 67,547 | Recent new issue. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-19 Maturity Price : 23.11 Evaluated at bid price : 25.06 Bid-YTW : 3.76 % |
| ENB.PR.F | FixedReset | 55,118 | RBC sold 23,600 to Scotia at 25.43, then crossed 20,500 at the same price. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2042-12-19 Maturity Price : 23.25 Evaluated at bid price : 25.37 Bid-YTW : 3.70 % |
| HSB.PR.E | FixedReset | 51,650 | Scotia bought 49,100 from RBC at 26.60. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-30 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 2.38 % |
| GWO.PR.J | FixedReset | 51,094 | Scotia crossed blocks of 19,600 and 25,000, both at 26.05. YTW SCENARIO Maturity Type : Call Maturity Date : 2013-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 1.85 % |
| NA.PR.Q | FixedReset | 42,547 | RBC crossed 16,000 at 26.10. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-11-15 Maturity Price : 25.00 Evaluated at bid price : 26.09 Bid-YTW : 2.95 % |
| BAM.PR.Z | FixedReset | 41,600 | Scotia crossed 21,400 at 26.18. YTW SCENARIO Maturity Type : Call Maturity Date : 2017-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.78 % |
| There were 46 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.G | FixedFloater | Quote: 22.06 – 23.33 Spot Rate : 1.2700 Average : 0.7814 YTW SCENARIO |
| TCA.PR.X | Perpetual-Premium | Quote: 52.00 – 52.66 Spot Rate : 0.6600 Average : 0.4232 YTW SCENARIO |
| MFC.PR.H | FixedReset | Quote: 25.78 – 26.16 Spot Rate : 0.3800 Average : 0.2189 YTW SCENARIO |
| PWF.PR.O | Perpetual-Premium | Quote: 26.59 – 27.00 Spot Rate : 0.4100 Average : 0.2943 YTW SCENARIO |
| MFC.PR.D | FixedReset | Quote: 26.49 – 26.79 Spot Rate : 0.3000 Average : 0.2158 YTW SCENARIO |
| GWO.PR.H | Deemed-Retractible | Quote: 25.20 – 25.45 Spot Rate : 0.2500 Average : 0.1699 YTW SCENARIO |