December 20, 2007

I’m sorry. I had witty & trenchant analysis planned, the secrets of the universe unveiled and was even going to tell you what the price of oil will be exactly one year hence … but now I’ve run out of time. So all you’re going to get is the links:

Yet More Trouble for Bear?

Lacker: Fed Auction’s Effect Unclear

CEPR Policy Insight #18 (there will be a separate post devoted to this one … tomorrow?)

MBIA Tumbles on $8.1 Billion of CDOs, Fitch Warning

So How Did Morgan Stanley Lose That $9.4  Billion

Lessons from the North Atlantic Financial Crisis

SunTrust Injects $1.4 Billion to Protect Money Funds

Merrill’s Writedowns to Top $8 Billion, Analysts Say

The alliance between China’s (nominally) communist government and Wall Street deepens …

A Proposal for Reviving the Credit Markets

Experts Weigh in on Merits of Fiscal Stimulus

Whoosh! There’s a day and a half, for anybody keeping track! Preferreds were down again on the day, on heavy volume. The CIBC issues were extremely badly hurt, presumably on news of their subprime/ACA problems discussed yesterday, which may have been exacerbated by tax loss selling.

There’s some interesting timing issues with the CIBC issues … the last day for tax-loss selling is December 24, and that is their ex-date for the current dividend … tomorrow, December 21, is their last cum-date. So … if you have such an issue you really want to sell, when do you sell it? Decisions, decisions …

Remember the discussion of Weston yield spreads that included a note that the CM.PR.? issues were trading with a yield spread of 11bp? That’s way, way, way out of date now. Looking solely at the bid-YTW of their PerpetualDiscount issues, I make the high yield 6.30% (CM.PR.I) and the low yield 5.91% (CM.PR.D)

Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 5.13% 5.13% 83,476 15.22 2 +0.4326% 1,051.0
Fixed-Floater 4.87% 5.07% 95,550 15.38 8 -0.1635% 1,024.0
Floater 6.10% 6.12% 131,032 13.74 2 +1.0329% 790.8
Op. Retract 4.88% 3.06% 86,884 3.29 16 +0.2399% 1,034.1
Split-Share 5.31% 5.43% 111,961 4.31 15 +0.1808% 1,027.6
Interest Bearing 6.36% 6.92% 67,495 3.66 4 -0.2503% 1,051.3
Perpetual-Premium 5.86% 5.63% 86,708 6.94 11 -0.5641% 1,007.3
Perpetual-Discount 5.61% 5.66% 395,551 14.39 55 -0.6695% 907.7
Major Price Changes
Issue Index Change Notes
BAM.PR.G FixFloat -4.9974%  
CM.PR.I PerpetualDiscount -4.8573% Now with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity.
CM.PR.H PerpetualDiscount -4.6967% Now with a pre-tax bid-YTW of 6.27% based on a bid of 19.48 and a limitMaturity.
CM.PR.J PerpetualDiscount -4.4388% Now with a pre-tax bid-YTW of 6.11% based on a bid of 18.73 and a limitMaturity.
CM.PR.G PerpetualDiscount -3.3755% Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.90 and a limitMaturity.
CM.PR.P PerpetualDiscount -3.3531% Now with a pre-tax bid-YTW of 6.11% based on a bid of 22.77 and a limitMaturity.
CM.PR.E PerpetualDiscount -3.2635% Now with a pre-tax bid-YTW of 5.92% based on a bid of 24.01 and a limitMaturity.
CIU.PR.A PerpetualDiscount -2.8708% Now with a pre-tax bid-YTW of 5.73% based on a bid of 20.30 and a limitMaturity.
CU.PR.A PerpetualPremium -2.4951% Now with a pre-tax bid-YTW of 5.85% based on a bid of 25.01 and a limitMaturity.
W.PR.J PerpetualDiscount -2.1277% Now with a pre-tax bid-YTW of 6.20% based on a bid of 23.00 and a limitMaturity.
W.PR.H PerpetualDiscount -1.9531% Now with a pre-tax bid-YTW of 6.18% based on a bid of 22.59 and a limitMaturity.
GWO.PR.G PerpetualDiscount -1.6949% Now with a pre-tax bid-YTW of 5.62% based on a bid of 23.20 and a limitMaturity.
BMO.PR.J PerpetualDiscount -1.6585% Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity.
PWF.PR.L PerpetualDiscount -1.6463% Now with a pre-tax bid-YTW of 5.55% based on a bid of 23.30 and a limitMaturity.
CM.PR.D PerpetualPremium (for now!) -1.5538% Now with a pre-tax bid-YTW of 5.91% based on a bid of 24.71 and a limitMaturity.
BSD.PR.A InterestBearing -1.5301% Asset coverage of 1.6+:1 as of December 14, according to the company. Now with a pre-tax bid-YTW of 7.89% (mostly as interest) based on a bid of 9.01 and a hardMaturity 2015-3-31 at 10.00.
RY.PR.G PerpetualDiscount -1.3333% Now with a pre-tax bid-YTW of 5.49% based on a bid of 20.72 and a limitMaturity.
SLF.PR.C PerpetualDiscount -1.2566% Now with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity.
PWF.PR.J OpRet -1.2039% Now with a pre-tax bid-YTW of 4.50% based on a bid of 25.44 and a softMaturity 2013-7-30 at 25.00.
CL.PR.B PerpetualPremium -1.1534% Now with a pre-tax bid-YTW of 5.20% based on a bid of 25.71 and a call 2009-1-30 at 25.50 OR a call 2010-1-30 at 25.25.
RY.PR.D PerpetualDiscount -1.1374% Now with a pre-tax bid-YTW of 5.46% based on a bid of 20.86 and a limitMaturity.
BNA.PR.C SplitShare -1.0183% Asset coverage of 3.7+:1 as of November 30 according to the company. Now with a pre-tax bid-YTW of 8.65% based on a bid of 17.65 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.99% to 2010-9-30) and BNA.PR.B (7.49% to 2016-3-25).
RY.PR.E PerpetualDiscount -1.0422% Now with a pre-tax bid-YTW of 5.45% based on a bid of 20.89 and a limitMaturity.
WFS.PR.A SplitShare +1.0091% Asset coverage of just under 2.0:1 as of December 13 according to Mulvihill. Now with a pre-tax bid-YTW of 5.20% based on a bid of 10.01 and a hardMaturity 2011-6-30 at 10.00.
POW.PR.B PerpetualDiscount +1.0947% Now with a pre-tax bid-YTW of 5.57% based on a bid of 24.01 and a limitMaturity.
SBN.PR.A SplitShare +1.1000% Asset coverage of 2.3+:1 as of December 13, according to Mulvihill. Now with a pre-tax bid-YTW of 5.08% based on a bid of 10.11 and a hardMaturity 2014-12-1 at 10.00.
SLF.PR.B PerpetualDiscount +1.1682% Now with a pre-tax bid-YTW of 5.55% based on a bid of 21.65 and a limitMaturity.
PWF.PR.F PerpetualDiscount +1.3356% Now with a pre-tax bid-YTW of 5.48% based on a bid of 24.28 and a limitMaturity.
GWO.PR.I PerpetualDiscount +1.3426% Now with a pre-tax bid-YTW of 5.55% based on a bid of 20.38 and a limitMaturity.
BAM.PR.K Floater +1.7585%  
IAG.PR.A PerpetualDiscount +1.9250% Now with a pre-tax bid-YTW of 5.60% based on a bid of 20.65 and a limitMaturity.
LBS.PR.A SplitShare +1.9901% Asset coverage of 2.4+:1 as of December 13 according to Brompton. Now with a pre-tax bid-YTW of 4.98% based on a bid of 10.25 and a hardMaturity 2013-11-29 at 10.00.
BAM.PR.J OpRet +2.0494% Now with a pre-tax bid-YTW of 5.73% based on a bid of 24.40 and a softMaturity 2018-3-30 at 25.00.
Volume Highlights
Issue Index Volume Notes
IQW.PR.C Scraps (would be OpRet, but there are credit concerns) 419,634 In default.
IQW.PR.D Scraps (would be PerpetualDiscount, but there are credit concerns) 198,225 In default.
SLF.PR.C PerpetualDiscount 126,630 Now with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity.
SLF.PR.A PerpetualDiscount 99,502 Now with a pre-tax bid-YTW of 5.60% based on a bid of 21.30 and a limitMaturity.
BMO.PR.J PerpetualDiscount 90,390 Now with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity.
SLF.PR.E PerpetualDiscount 88,340 Now with a pre-tax bid-YTW of 5.48% based on a bid of 20.63 and a limitMaturity.
BAM.PR.M PerpetualDiscount 79,080 Now with a pre-tax bid-YTW of 6.75% based on a bid of 17.69 and a limitMaturity.
BNS.PR.M PerpetualDiscount 76,164 Now with a pre-tax bid-YTW of 5.36% based on a bid of 21.32 and a limitMaturity.

There were fifty-two other index-included $25.00-equivalent issues trading over 10,000 shares today.

One Response to “December 20, 2007”

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