Sometimes I wish that this blog would get more comments. At other times, I’m glad that I don’t have to make the decision ten times per day on whether a particular comment is so ad hominem that I have to zap it. Today is one of those other days!
Menzie Chinn of Econbrowser posted a graph for which the general outlines have been known for a long time by those who are following the subprime debacle:
…and it triggered a lot of nastiness in the comments when a (purported – I haven’t checked!) market professional asked, essentially, ‘What’s the big deal?’.
It continually surprises me to see just how much bitterness there is out there against investment managers. But – that’s the Internet! As far as graphs go, I like the one from Moody’s showing mortgage delinquency rates:
Bear Stearns has agreed to a deal with CITIC whereby CITIC will take equity in Bear Stearns and Bear Stearns will, essentially, provide vendor financing. This should calm some fears about the future independence and financial viability of Bear Stearns going forward, and a joint-venture deal in Hong Kong with CITIC might even be profitable!
whereby CITIC will take equity in Bear Stearns and Bear Stearns will, essentially, provide vendor financing. This should calm some fears about the future independence and financial viability of Bear Stearns going forward, and a joint-venture deal in Hong Kong with CITIC might even be profitable!whereby CITIC will take equity in Bear Stearns and Bear Stearns will, essentially, provide vendor financing. This should calm some fears about the future independence and financial viability of Bear Stearns going forward, and a joint-venture deal in Hong Kong with CITIC might even be profitable!Naked Capitalism has again done a good job of collecting media references to the Super-Conduit … and it looks like my speculation regarding the operation of this vehicle as a Vulture Fund is both right and wrong. Wrong because that’s not what the primary sponsors have in mind. Right because if it ain’t, there won’t be any secondary sponsors:
One key concern is over the process by which it is proposed that the fund will decide on prices to offer SIVs for their securities. The lead banks are proposing that prices should be determined according to quotes provided by dealers for small volumes of the particular security rather than large trades. Critics say this means prices will be artificially high. “Banks are being asked to finance a vehicle full of overvalued assets which is not very attractive,” said one banker. Critics believe it would be better to work with true market prices – however painful.
I will now speculate that buying good assets from distressed SIVs is exactly how the RBS / Cheyne deal will unfold … but we will see! Accrued Interest has clearly been puzzling over the sponsors’ motivations as much as I have … he has introduced the rather Machievellian possibility that it is actually a rescue of the bank Money Market Funds.
The fair value estimate for the TD 5.25% Perpetual New Issue has been updated to $24.05 as of the close today.
Perpetuals continued to decline today. Holders of the Royal Bank issues should note – before they have a heart attack at 9:31 tomorrow – that today, 10/22 was the last day of cum-dividend trading; tomorrow, 10/23, will be the first day of ex-dividend trading for the current dividend.
| 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 | 4.83% | 4.79% | 536,593 | 15.69 | 1 | 0.0000% | 1,043.7 |
| Fixed-Floater | 4.89% | 4.79% | 103,780 | 15.80 | 7 | -0.2944% | 1,038.7 |
| Floater | 4.52% | 4.54% | 70,226 | 16.30 | 3 | -0.3148% | 1,039.6 |
| Op. Retract | 4.85% | 3.92% | 79,850 | 3.18 | 15 | +0.0163% | 1,030.2 |
| Split-Share | 5.16% | 5.03% | 85,394 | 4.13 | 15 | -0.1342% | 1,043.6 |
| Interest Bearing | 6.24% | 6.33% | 56,885 | 3.63 | 4 | +0.1012% | 1,059.5 |
| Perpetual-Premium | 5.72% | 5.57% | 97,476 | 9.92 | 17 | -0.1918% | 1,004.9 |
| Perpetual-Discount | 5.47% | 5.51% | 322,445 | 14.63 | 47 | -0.2600% | 921.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| GWO.PR.H | PerpetualDiscount | -1.7738% | Now with a pre-tax bid-YTW of 5.53% based on a bid of 22.15 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | -1.7469% | Now with a pre-tax bid-YTW of 5.47% based on a bid of 20.81 and a limitMaturity. |
| IAG.PR.A | PerpetualDiscount | -1.6744% | Now with a pre-tax bid-YTW of 5.50% based on a bid of 21.14 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | -1.2283% | Now with a pre-tax bid-YTW of 5.64% based on a bid of 23.32 and a limitMaturity. |
| BCE.PR.Z | FixFloat | -1.2205% | |
| ELF.PR.F | PerpetualDiscount | -1.1130% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 23.10 and a limitMaturity. |
| PIC.PR.A | SplitShare | -1.0390% | Now with a pre-tax bid-YTW of 5.16% based on a bid of 15.24 and a hardMaturity 2010-11-1 at 15.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.L | PerpetualDiscount | 116,295 | National Bank crossed 100,000 at 21.12. Now with a pre-tax bid-YTW of 5.35% based on a bid of 21.12 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | 30,112 | Nesbitt crossed 25,000 at 22.43. Now with a pre-tax bid-YTW of 5.56% based on a bid of 22.36 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | 27,900 | Now with a pre-tax bid-YTW of 5.51% based on a bid of 21.64 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | 21,600 | Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.31 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | 16,063 | Now with a pre-tax bid-YTW of 5.51% based on a bid of 21.80 and a limitMaturity. |
There were fifteen other index-included $25.00-equivalent issues trading over 10,000 shares today.
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