The most interesting news items of the day got their own posts (TD Capital to Issue Asset-Backed Tier 1 Paper, Swiss Bank Regulator to Impose Assets-to-Capital Multiple Cap, New Issue: TD Fixed-Reset 5.00%+196bp) so there ain’t much left to report!
Ambac got permission to set up a new bond insurer. After all, you can’t just let Buffet get his own way all the time!
PrefBlog’s “Whoopsee!” Department reminds me to link to a Bloomberg story about a hedge fund:
Ospraie Management LLC, the investment firm run by Dwight Anderson, will close its biggest hedge fund after it fell 38.6 percent this year because of losing wagers on commodity stocks, according to a letter to investors.
The Ospraie Fund lost 26.7 percent in August, after a “substantial sell-off in a number of our energy, mining and resource equity holdings,” Anderson, 41, wrote in the letter today.
I don’t know, particularly, why so many of these things are called “Hedge” funds … most of the ones I’ve seen are really “highly leveraged macro-bet” funds. But perhaps I’m just bitter, what with not being able to find funding for my own idea … a hedge fund, really hedge, trading preferred shares could, I am quite confident, make good money for non-taxable investors.
PerpetualDiscounts performed well on a slow day.
| 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 | 4.59% | 4.35% | 64,461 | 16.41 | 6 | +0.0204% | 1,113.8 |
| Floater | 4.30% | 4.36% | 51,795 | 16.62 | 2 | -0.0774% | 910.9 |
| Op. Retract | 4.93% | 4.30% | 122,167 | 3.09 | 14 | +0.0004% | 1,054.4 |
| Split-Share | 5.34% | 5.82% | 53,926 | 4.35 | 14 | +0.2006% | 1,045.0 |
| Interest Bearing | 6.27% | 6.69% | 47,137 | 5.24 | 2 | -0.3055% | 1,126.3 |
| Perpetual-Premium | 6.16% | 5.46% | 61,494 | 2.24 | 1 | -0.0394% | 1,006.9 |
| Perpetual-Discount | 6.04% | 6.10% | 191,315 | 13.75 | 70 | +0.1626% | 882.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| HSB.PR.C | PerpetualDiscount | +1.0086% | Now with a pre-tax bid-YTW of 6.19% based on a bid of 21.03 and a limitMaturity. |
| CIU.PR.A | PerpetualDiscount | +1.0471% | Now with a pre-tax bid-YTW of 6.00% based on a bid of 19.30 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | +1.0724% | Now with a pre-tax bid-YTW of 6.46% based on a bid of 18.85 and a limitMaturity. |
| ELF.PR.F | PerpetualDiscount | +1.2036% | Now with a pre-tax bid-YTW of 6.98% based on a bid of 19.34 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | +1.2419% | Now with a pre-tax bid-YTW of 6.15% based on a bid of 18.75 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | +1.3830% | Now with a pre-tax bid-YTW of 5.91% based on a bid of 19.06 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.N | PerpetualDiscount | 67,830 | National Bank crossed 60,000 at 23.05. Now with a pre-tax bid-YTW of 5.76% based on a bid of 23.08 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | 56,280 | RBC crossed 50,000 at 19.65. Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.60 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | 24,324 | Now with a pre-tax bid-YTW of 6.36% based on a bid of 18.76 and a limitMaturity. |
| BAM.PR.O | OpRet | 20,450 | Now with a pre-tax bid-YTW of 7.42% based on a bid of 22.88 and optionCertainty 2013-6-30. Compare with BAM.PR.H (6.10% to 2012-3-30), BAM.PR.I (5.47% to 2013-12-30) and BAM.PR.J (6.28% to 2018-3-30). It’s beginning to look as if the underwriters are finally starting to get this off the books! |
| RY.PR.A | PerpetualDiscount | 18,860 | Now with a pre-tax bid-YTW of 6.04% based on a bid of 18.61 and a limitMaturity. |
There were ten other index-included $25-pv-equivalent issues trading over 10,000 shares today.
[…] collapse of Ospraie’s flagship hedge fund was mentioned yesterday; there are some rumours that natural gas brought it down while others finger […]