The SEC has brought the first insider trading action involving CDS:
The SEC’s complaint alleges that [Deutsche Bank salesman Jon-Paul] Rorech learned information from Deutsche Bank investment bankers about a change to the proposed VNU bond offering that was expected to increase the price of the CDS on VNU bonds. Deutsche Bank was the lead underwriter for a proposed bond offering by VNU. According to the SEC’s complaint, Rorech illegally tipped [former Millenium Partners portfolio manager Renato] Negrin about the contemplated change to the bond structure, and Negrin then purchased CDS on VNU for a Millennium hedge fund. When news of the restructured bond offering became public in late July 2006, the price of VNU CDS substantially increased, and Negrin closed Millennium’s VNU CDS position at a profit of approximately $1.2 million.
“This is the first insider trading enforcement action involving credit default swaps,” said Scott W. Friestad, Deputy Director of the SEC’s Division of Enforcement. “As alleged in our complaint, Rorech and Negrin checked their integrity at the door and schemed to engage in insider trading of CDS to the detriment of investors and our markets.”
The plot thickens with respect to Bernanke’s involvment in the BofA / Merrill Lynch cover-up, discussed on April 24:
“I absolutely did not in any way ask Mr. Lewis to obscure any disclosures or to fail to report information that he should be reporting,” Bernanke said today in testimony to the congressional Joint Economic Committee.
It is not inconsistent with Cuomo’s charges; the Fed wanted the merger to go ahead and did not necessarily say anything about disclosure. But we will see!
In more government interference news, there is a twist to the Chrysler bankruptcy:
Chrysler LLC’s plan to auction most of its assets to an entity managed by Fiat SpA is unfair because it prevents creditors from using their claims to make a non-cash bid, a group of secured lenders told a bankruptcy judge.
The group, calling itself Chrysler’s non-TARP lenders, in reference to the Troubled Assets Relief Program, said the proposed auction chills bids from other parties, and would prevent a so-called “credit bid” from its group.
…
The non-TARP group asked U.S. Bankruptcy Judge Arthur Gonzalez not to reveal the identities of its members, even after the judge asked yesterday that they do so. A lawyer for the group, Thomas Lauria, has said members who have been identified have received death threats.
It might be grandstanding … the fears might be genuine but exaggerated … but the President of the United States has to cool things off a little and back away from his inflammatory rhetoric, as discussed on May 1. At any rate, the judge has ruled that they must identify themselves.
The market had another very good day on high volume, with PerpetualDiscounts leading the way (the way up! about time!) and dragging FixedResets behind them.
| 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 | 3.0948 % | 1,019.7 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 3.0948 % | 1,649.1 |
| Floater | 3.69 % | 4.27 % | 70,523 | 16.84 | 3 | 3.0948 % | 1,273.9 |
| OpRet | 5.07 % | 4.32 % | 136,957 | 3.18 | 15 | 0.2826 % | 2,144.6 |
| SplitShare | 6.04 % | 7.74 % | 48,243 | 4.28 | 3 | -0.2843 % | 1,778.1 |
| Interest-Bearing | 6.05 % | 7.84 % | 27,243 | 0.63 | 1 | -0.7007 % | 1,971.3 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6612 % | 1,680.0 |
| Perpetual-Discount | 6.51 % | 6.62 % | 151,093 | 13.06 | 71 | 0.6612 % | 1,547.3 |
| FixedReset | 5.79 % | 4.92 % | 563,241 | 4.53 | 36 | 0.1053 % | 1,957.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| NA.PR.P | FixedReset | -1.56 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-03-17 Maturity Price : 25.00 Evaluated at bid price : 26.51 Bid-YTW : 5.17 % |
| PWF.PR.G | Perpetual-Discount | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 21.71 Evaluated at bid price : 21.71 Bid-YTW : 6.86 % |
| GWO.PR.H | Perpetual-Discount | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 17.79 Evaluated at bid price : 17.79 Bid-YTW : 6.92 % |
| SLF.PR.E | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 16.70 Evaluated at bid price : 16.70 Bid-YTW : 6.84 % |
| TD.PR.P | Perpetual-Discount | 1.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 6.22 % |
| BNS.PR.O | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 22.86 Evaluated at bid price : 23.00 Bid-YTW : 6.13 % |
| CM.PR.H | Perpetual-Discount | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 6.61 % |
| NA.PR.M | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 22.63 Evaluated at bid price : 22.76 Bid-YTW : 6.62 % |
| CM.PR.K | FixedReset | 1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 24.26 Evaluated at bid price : 24.30 Bid-YTW : 4.52 % |
| BMO.PR.J | Perpetual-Discount | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 6.15 % |
| IAG.PR.C | FixedReset | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 24.85 Evaluated at bid price : 24.90 Bid-YTW : 5.55 % |
| BMO.PR.O | FixedReset | 1.31 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-06-24 Maturity Price : 25.00 Evaluated at bid price : 27.00 Bid-YTW : 4.94 % |
| PWF.PR.E | Perpetual-Discount | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 6.66 % |
| BMO.PR.L | Perpetual-Discount | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 22.72 Evaluated at bid price : 22.85 Bid-YTW : 6.36 % |
| POW.PR.B | Perpetual-Discount | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 19.75 Evaluated at bid price : 19.75 Bid-YTW : 6.86 % |
| SLF.PR.C | Perpetual-Discount | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 6.85 % |
| BNS.PR.J | Perpetual-Discount | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 21.56 Evaluated at bid price : 21.56 Bid-YTW : 6.14 % |
| BAM.PR.J | OpRet | 1.60 % | YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2018-03-30 Maturity Price : 25.00 Evaluated at bid price : 21.54 Bid-YTW : 7.71 % |
| TD.PR.O | Perpetual-Discount | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 20.01 Evaluated at bid price : 20.01 Bid-YTW : 6.11 % |
| POW.PR.C | Perpetual-Discount | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 6.79 % |
| MFC.PR.B | Perpetual-Discount | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 17.71 Evaluated at bid price : 17.71 Bid-YTW : 6.68 % |
| SLF.PR.D | Perpetual-Discount | 1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 16.51 Evaluated at bid price : 16.51 Bid-YTW : 6.85 % |
| TD.PR.Q | Perpetual-Discount | 1.99 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 22.95 Evaluated at bid price : 23.10 Bid-YTW : 6.11 % |
| CM.PR.J | Perpetual-Discount | 2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.49 % |
| HSB.PR.D | Perpetual-Discount | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.77 % |
| GWO.PR.F | Perpetual-Discount | 2.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 21.72 Evaluated at bid price : 22.01 Bid-YTW : 6.79 % |
| BAM.PR.B | Floater | 2.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 9.30 Evaluated at bid price : 9.30 Bid-YTW : 4.27 % |
| BAM.PR.O | OpRet | 2.65 % | YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2013-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.62 Bid-YTW : 6.72 % |
| SLF.PR.A | Perpetual-Discount | 2.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 6.80 % |
| HSB.PR.C | Perpetual-Discount | 2.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 6.71 % |
| BMO.PR.K | Perpetual-Discount | 3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 20.82 Evaluated at bid price : 20.82 Bid-YTW : 6.33 % |
| TRI.PR.B | Floater | 5.39 % | Quite real! The issue traded 12,225 shares today in a range of 12.82-50, closing at 13.50-00, 1×2. YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 2.94 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Y | FixedReset | 98,095 | Recent new issue. YTW SCENARIO Maturity Type : Call Maturity Date : 2014-12-24 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 5.40 % |
| CM.PR.I | Perpetual-Discount | 49,434 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 17.67 Evaluated at bid price : 17.67 Bid-YTW : 6.71 % |
| RY.PR.C | Perpetual-Discount | 44,525 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 18.52 Evaluated at bid price : 18.52 Bid-YTW : 6.24 % |
| RY.PR.E | Perpetual-Discount | 41,423 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2039-05-05 Maturity Price : 18.15 Evaluated at bid price : 18.15 Bid-YTW : 6.22 % |
| MFC.PR.D | FixedReset | 39,893 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-07-19 Maturity Price : 25.00 Evaluated at bid price : 26.11 Bid-YTW : 5.89 % |
| RY.PR.X | FixedReset | 39,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2014-09-23 Maturity Price : 25.00 Evaluated at bid price : 26.75 Bid-YTW : 4.92 % |
| There were 56 other index-included issues trading in excess of 10,000 shares. | |||