Freddie Mac took a big loss on subprime:
Freddie wrote down the value of subprime and low-quality mortgage securities for the first time, taking a loss of $826 million, adding to signs the company sees tougher times ahead.
…
Freddie today reported a second-quarter net loss of $821 million, or $1.63 a share, its fourth straight loss, compared with the 54 cents a share average estimate of nine analysts in a Bloomberg survey.The common-share dividend will be reduced to 5 cents or less from 25 cents, the second reduction in nine months. The preferred stock dividend won’t be affected, Freddie said in a statement.
Syron, 64, said in a statement today he still plans to raise capital after agreeing to sell $5.5 billion in equity.
So the common shareholders are seeing their dividends slashed and their equity diluted … while preferred shareholders are not (yet!) affected. It will be most interesting to track these things over the first decade of this century to see just how the risk/reward ultimately turns out.
| 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 | N/A | N/A | N/A | N/A | 0 | N/A | N/A |
| Fixed-Floater | 4.67% | 4.39% | 57,848 | 16.42 | 7 | +0.2662% | 1,093.4 |
| Floater | 4.12% | 4.15% | 54,380 | 17.07 | 3 | -0.1808% | 895.6 |
| Op. Retract | 4.99% | 4.26% | 123,832 | 2.93 | 17 | +0.1755% | 1,042.7 |
| Split-Share | 5.35% | 6.02% | 57,925 | 4.46 | 14 | +0.1227% | 1,034.6 |
| Interest Bearing | 6.28% | 6.78% | 48,099 | 5.27 | 2 | +0.4657% | 1,115.1 |
| Perpetual-Premium | 6.19% | 6.14% | 71,655 | 2.27 | 1 | 0.0000% | 987.7 |
| Perpetual-Discount | 6.22% | 6.27% | 206,439 | 13.53 | 67 | +0.4784% | 854.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | -1.1642% | Now with a pre-tax bid-YTW of 6.77% based on a bid of 23.77 and a softMaturity 2013-12-30 at 25.00. Compare with BAM.PR.H (6.48% to 2012-3-30), BAM.PR.J (6.59% to 2018-3-30) and BAM.PR.O (7.36% to 2013-6-30). |
| CM.PR.G | PerpetualDiscount | +1.0116% | Now with a pre-tax bid-YTW of 6.83% based on a bid of 19.97 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | +1.0345% | Now with a pre-tax bid-YTW of 5.90% based on a bid of 20.51 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | +1.0638% | Now with a pre-tax bid-YTW of 6.35% based on a bid of 19.00 and a limitMaturity. |
| SLF.PR.C | PerpetualDiscount | +1.0668% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 18.00 and a limitMaturity. |
| BCE.PR.A | FixFloat | +1.0766% | |
| BNS.PR.L | PerpetualDiscount | +1.1407% | Now with a pre-tax bid-YTW of 6.10% based on a bid of 18.62 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | +1.2235% | Now with a pre-tax bid-YTW of 6.13% based on a bid of 21.51 and a limitMaturity. |
| FFN.PR.A | SplitShare | +1.3333% | Asset coverage of 1.8+:1 as of July 31 according to the company. Now with a pre-tax bid-YTW of 5.53% based on a bid of 9.88 and a hardMaturity 2014-12-1 at 10.00. |
| BNS.PR.M | PerpetualDiscount | +1.4130% | Now with a pre-tax bid-YTW of 6.08% based on a bid of 18.66 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | +1.7544% | Now with a pre-tax bid-YTW of 6.91% based on a bid of 17.40 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | +1.8398% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 18.82 and a limitMaturity. |
| CM.PR.P | PerpetualDiscount | +2.5693% | Now with a pre-tax bid-YTW of 6.82% based on a bid of 20.36 and a limitMaturity. |
| BAM.PR.J | OpRet | +3.2604% | See above. |
| MFC.PR.C | PerpetualDiscount | +3.4390% | Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.25 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.A | PerpetualDiscount | 108,900 | Nesbitt crossed 59,000 at 19.00, then 40,000 at the same price. Now with a pre-tax bid-YTW of 6.35% based on a bid of 19.00 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 65,540 | Nesbitt sold three lots to anonymous: 10,000 at 18.50, another 10,000 at the same price, and finally 29,200 at 18.45. Now with a pre-tax bid-YTW of 6.10% based on a bid of 18.62 and a limitMaturity. |
| BCE.PR.A | FixFloat | 62,900 | CIBC crossed 36,900 at 24.35, then another 15,000 at the same price. |
| TD.PR.O | PerpetualDiscount | 57,450 | Nesbitt crossed 50,000 at 20.75. Now with a pre-tax bid-YTW of 5.86% based on a bid of 20.88 and a limitMaturity. |
| SLF.PR.C | PerpetualDiscount | 50,385 | Nesbitt bought 19,600 from anonymous at 18.00. Now with a pre-tax bid-YTW of 6.27% based on a bid of 18.00 and a limitMaturity. |
There were eightteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.