March 19, 2009

A correlation has been found between fails-to-deliver (associated with naked shorts) and the demised of Bear Stearns & Lehman:

As Lehman Brothers Holdings Inc. struggled to survive last year, as many as 32.8 million shares in the company were sold and not delivered to buyers on time as of Sept. 11, according to data compiled by the Securities and Exchange Commission and Bloomberg. That was a more than 57-fold increase over the prior year’s peak of 567,518 failed trades on July 30.

The SEC has linked such so-called fails-to-deliver to naked short selling, a strategy that can be used to manipulate markets. A fail-to-deliver is a trade that doesn’t settle within three days.

Twice last year, hundreds of thousands of failed trades coincided with widespread rumors about Lehman Brothers. Speculation that the company was being acquired at a discount and later that it was losing two trading partners both proved untrue.

After the 158-year-old investment bank collapsed in bankruptcy on Sept. 15, listing $613 billion in debt, former Chief Executive Officer Richard Fuld told a congressional panel on Oct. 6 that naked short sellers had midwifed his firm’s demise.

The Fed has announced:

that the set of eligible collateral for loans extended by the Term Asset-Backed Securities Loan Facility (TALF) is being expanded to include four additional categories of asset-backed securities (ABS):
  • ABS backed by mortgage servicing advances
  • ABS backed by loans or leases relating to business equipment
  • ABS backed by leases of vehicle fleets
  • ABS backed by floorplan loans

“Floorplan loans”, by the way, are loans made to auto dealers to finance inventory, secured by that inventory.

Another good day for prefs – PerpetualDiscounts are now up 1.89% Year-to-Date and up 5.20% from the low on March 10, but still down 5.36% from the high on January 13.

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 1.5879 % 829.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5879 % 1,341.1
Floater 4.77 % 5.85 % 56,960 14.15 3 1.5879 % 1,036.0
OpRet 5.26 % 4.88 % 128,434 3.90 15 0.0939 % 2,059.3
SplitShare 6.88 % 9.60 % 52,927 4.80 6 0.2734 % 1,614.3
Interest-Bearing 6.04 % 8.41 % 35,122 0.75 1 2.2657 % 1,943.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6417 % 1,495.2
Perpetual-Discount 7.23 % 7.38 % 152,993 12.02 71 0.6417 % 1,377.1
FixedReset 6.14 % 5.82 % 596,548 13.76 30 0.4466 % 1,800.8
Performance Highlights
Issue Index Change Notes
GWO.PR.J FixedReset -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 23.22
Evaluated at bid price : 23.26
Bid-YTW : 5.49 %
ENB.PR.A Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 6.18 %
MFC.PR.C Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 7.72 %
BAM.PR.H OpRet -1.46 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2012-03-30
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 8.78 %
TD.PR.C FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 23.97
Evaluated at bid price : 24.01
Bid-YTW : 5.01 %
LFE.PR.A SplitShare -1.13 % Asset coverage of 1.1-:1 as of March 13 according to the company.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2012-12-01
Maturity Price : 10.00
Evaluated at bid price : 7.02
Bid-YTW : 16.55 %
CM.PR.I Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.44 %
TD.PR.O Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.65 %
TD.PR.A FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 22.37
Evaluated at bid price : 22.41
Bid-YTW : 4.51 %
TD.PR.P Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 6.81 %
BNS.PR.R FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.78 %
BNS.PR.O Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.73 %
PWF.PR.H Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.21 %
NA.PR.L Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.14 %
BMO.PR.H Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.53 %
TD.PR.Y FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.57 %
RY.PR.L FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 23.86
Evaluated at bid price : 23.90
Bid-YTW : 4.95 %
PWF.PR.K Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.38 %
PWF.PR.I Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.56 %
RY.PR.C Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 6.73 %
BMO.PR.M FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.43 %
W.PR.H Perpetual-Discount 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.39 %
BAM.PR.B Floater 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.85 %
BAM.PR.I OpRet 2.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2013-12-30
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 8.96 %
CU.PR.A Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.91 %
PWF.PR.E Perpetual-Discount 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.91 %
STW.PR.A Interest-Bearing 2.27 % Asset coverage of 1.4+:1 as of March 12, based on Capital Unit NAV of 2.14. and 1.99 Capital Units per Preferred.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2009-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.93
Bid-YTW : 8.41 %
BNS.PR.N Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.81 %
SLF.PR.E Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.78 %
RY.PR.G Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 6.67 %
BNS.PR.Q FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.54 %
ELF.PR.G Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 9.04 %
HSB.PR.C Perpetual-Discount 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.23 %
POW.PR.D Perpetual-Discount 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.79 %
BMO.PR.L Perpetual-Discount 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.21 %
GWO.PR.I Perpetual-Discount 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 7.52 %
TD.PR.S FixedReset 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.42 %
RY.PR.I FixedReset 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 23.22
Evaluated at bid price : 23.26
Bid-YTW : 4.30 %
PWF.PR.L Perpetual-Discount 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.02 %
BAM.PR.K Floater 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.E FixedReset 98,825 TD crossed 73,800 at 25.60.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-30
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 5.98 %
TD.PR.I FixedReset 98,510 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 25.08
Evaluated at bid price : 25.13
Bid-YTW : 6.00 %
RY.PR.T FixedReset 61,299 Recent new issue.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 23.18
Evaluated at bid price : 25.16
Bid-YTW : 5.82 %
BNS.PR.X FixedReset 57,102 RBC crossed 18,400 at 25.45.
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2014-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 6.07 %
CM.PR.E Perpetual-Discount 55,775 National Bank crosse 45,000 at 18.93.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 7.50 %
CM.PR.L FixedReset 48,545 Nesbitt bought 19,300 from National at 25.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2039-03-19
Maturity Price : 25.15
Evaluated at bid price : 25.20
Bid-YTW : 6.31 %
There were 29 other index-included issues trading in excess of 10,000 shares.

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