September 28, 2007

The credit markets have renormalized sufficiently that third-quarter issuance was normal, as a lot of catch-up was done following the Fed easing on September 18. Of particular interest this week was a 10-year Bear Stearns issue: they paid up to get it done, 187.5bp over Treasuries, but USD 2.5-billion that won’t have to be refinanced for a while should do a lot to ease any fears their clients – they do a lot of prime brokerage for hedge funds – may have regarding liquidity.

And it looks like the banks and the vultures are close to agreement on prices:

Investment groups such as Los Angeles-based Oaktree Capital, which oversees $47 billion, and BlackRock in New York see a chance to profit because banks are stuck with loans they made before demand for below-investment-grade debt dried up in the past three months.

The mortgage market is still in pretty rough shape according to Mortgage Insurance underwriters:

The number of PrivateMI applications received in August by MICA members was 206,445 or 14.3% more than the 180,561 received in July. The dollar volume of primary insurance written on newly originated 1-to-4 family conventional mortgage loans totaled $27,257.3 million in August, a 2.6% increase from the previous month’s $26,573.1 million. Traditional primary insurance totaled $23,793.9 million and bulk primary insurance totaled $3,463.4 million in August. In that same month, primary insurance in-force totaled $757,333.3 million. MICA members reported 33,811 cures and 58,441 defaults during August.

And in late new … a US Thrift has failed!

NetBank Inc., an online bank with US$2.5 billion in assets, was shut down by the U.S. government on Friday because of an excessive level of mortgage defaults.

The FDIC said Friday that $1.5 billion of NetBank’s insured deposits will be assumed by ING Bank, also a major online bank that is part of Dutch financial giant ING Groep NV. ING will pay $14 million for the deposits and receive 104,000 new customers.

The FDIC insures bank deposits of up to $100,000.

NetBank had $109 million in deposit accounts that exceeded the FDIC limit. Those customers will become creditors in NetBank’s receivership, the FDIC said.

According to their most recent financial statements they had a Tier 1 ratio of 4.83% at Dec 31/06 and a total capital ratio of 9.07%, although these are listed as “estimated”. Shareholders’ equity at that time was $4.32/share after a 2006 loss of $1.86/share. They were attempting to jettison all activities except mortgage servicing but didn’t make it.

And that’s it for me! Sorry to leave you all in the lurch again … but such is life. I will post the daily market action … later. Let’s just say that today was not one of the market’s biggest up days and leave it at that, shall we?

Update, 2007-10-01

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 4.59% 4.50% 980,120 16.18 1 +2.0408% 1,065.0
Fixed-Floater 4.87% 4.77% 93,849 15.85 8 -0.2080% 1,033.3
Floater 4.49% 4.38% 83,139 11.02 3 -0.1090% 1,044.9
Op. Retract 4.85% 4.07% 77,054 3.23 15 -0.0932% 1,027.2
Split-Share 5.15% 4.87% 96,828 3.83 13 +0.1836% 1,045.6
Interest Bearing 6.30% 6.60% 66,193 4.26 3 +0.1735% 1,041.6
Perpetual-Premium 5.58% 5.37% 90,422 8.73 24 -0.2418% 1,019.8
Perpetual-Discount 5.25% 5.29% 240,129 15.02 38 -0.8794% 950.3
Major Price Changes
Issue Index Change Notes
SLF.PR.B PerpetualDiscount -2.6518% Now with a pre-tax bid-YTW of 5.30% based on a bid of 22.76 and a limitMaturity.
 
SLF.PR.A PerpetualDiscount -2.5268% Now with a pre-tax bid-YTW of 5.24% based on a bid of 22.76 and a limitMaturity.
RY.PR.W PerpetualDiscount -2.2186% Now with a pre-tax bid-YTW of 5.20% based on a bid of 23.80 and a limitMaturity.
RY.PR.C PerpetualDiscount -2.1739% Now with a pre-tax bid-YTW of 5.17% based on a bid of 22.50 and a limitMaturity.
RY.PR.G PerpetualDiscount -2.0628% Now with a pre-tax bid-YTW of 5.21% based on a bid of 21.84 and a limitMaturity.
RY.PR.E PerpetualDiscount -2.0563% Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.91 and a limitMaturity.
PWF.PR.K PerpetualDiscount -1.9873% Now with a pre-tax bid-YTW of 5.42% based on a bid of 23.18 and a limitMaturity.
PWF.PR.L PerpetualDiscount -1.9835% Now with a pre-tax bid-YTW of 5.46% based on a bid of 23.72 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.8415% Now with a pre-tax bid-YTW of 5.18% based on a bid of 22.92 and a limitMaturity.
RY.PR.F PerpetualDiscount -1.5794% Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.81 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.5013% Now with a pre-tax bid-YTW of 5.30% based on a bid of 23.62 and a limitMaturity.
TCA.PR.X PerpetualPremium (before rebalancing!) -1.4527% Now with a pre-tax bid-YTW of 5.56% based on a bid of 49.52 and a limitMaturity.
CM.PR.J PerpetualDiscount -1.4512% Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.73 and a limitMaturity.
HSB.PR.D PerpetualPremium (before rebalancing!) -1.3072% Now with a pre-tax bid-YTW of 5.19% based on a bid of 24.16 and a limitMaturity.
CM.PR.H PerpetualDiscount -1.3043% Now with a pre-tax bid-YTW of 5.28% based on a bid of 22.70 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.2925% Now with a pre-tax bid-YTW of 5.17% based on a bid of 21.77 and a limitMaturity.
RY.PR.D PerpetualDiscount -1.2895% Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.20 and a limitMaturity.
BNS.PR.K PerpetualDiscount -1.2600% Now with a pre-tax bid-YTW of 5.16% based on a bid of 23.21 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.1655% Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.66 and a limitMaturity.
BAM.PR.J OpRet -1.1605% Now with a pre-tax bid-YTW of 5.16% based on a bid of 25.55 and a softMaturity 2018-3-30 at 25.00.
CM.PR.I PerpetualDiscount -1.1136% Now with a pre-tax bid-YTW of 5.29% based on a bid of 22.20 and a limitMaturity.
GWO.PR.G PerpetualDiscount -1.0518% Now with a pre-tax bid-YTW of 5.34% based on a bid of 24.46 and a limitMaturity.
PWF.PR.E PerpetualPremium -1.0252% Now with a pre-tax bid-YTW of 5.47% based on a bid of 25.10 and a limitMaturity.
TD.PR.O PerpetualDiscount +1.0144% Now with a pre-tax bid-YTW of 5.15% based on a bid of 23.90 and a limitMaturity.
BNA.PR.C SplitShare +1.2059% Now with a pre-tax bid-YTW of 5.98% based on a bid of 21.82 and a hardMaturity 2019-1-10 at 25.00.
Volume Highlights
Issue Index Volume Notes
ACO.PR.A OpRet 51,332 Now with a pre-tax bid-YTW of 3.94% based on a bid of 26.55 and a call 2009-12-31 at 25.50.
BNS.PR.M PerpetualDiscount 29,335 Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.66 and a limitMaturity.
BNS.PR.L PerpetualDiscount 26,605 Now with a pre-tax bid-YTW of 5.1671% based on a bid of 21.77 and a limitMaturity.
SLF.PR.C PerpetualDiscount 19,940 Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.62 and a limitMaturity.
SLF.PR.B PerpetualDiscount 17,300 Now with a pre-tax bid-YTW of 5.30% based on a bid of 22.76 and a limitMaturity.

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

Leave a Reply

You must be logged in to post a comment.