February 22, 2008

Not much today! I did, however, post about RS’s attitude towards icebergs and Inflation Expectations … you guys will just have to make do with that.

I see there are rumours of an Ambac rescue:

Banks may invest about $3 billion in the company, said the person, who declined to be named because no details have been set. The New York-based company rose 16 percent in New York Stock Exchange trading today after CNBC Television said Ambac and its banks were preparing to announce a deal.

A rescue that enabled Ambac to retain its AAA rating for the municipal and asset-backed securities guaranty units would help banks and municipal debt investors avoid losses on securities it guarantees. Banks stood to lose as much as $70 billion if the top-rated bond insurers, which include MBIA Inc. and FGIC Corp., lose their credit ratings, Oppenheimer & Co. analysts estimated.

Let me see if I have this straight … the banks are looking at a mark-to-market loss of $70-billion, which they can avoid with an investment of … oh, call it $10-billion, if Ambac gets three. How can anybody talk about market efficiency with a straight face?

Volume picked up today and performance was good … nothing earthshattering, but given that down days are currently rare, monny a mickle maks a muckle. As they say.

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 5.52% 5.56% 40,919 14.5 2 -0.0994% 1,080.4
Fixed-Floater 5.01% 5.68% 74,305 14.66 7 +0.1006% 1,024.1
Floater 4.93% 4.99% 69,111 15.46 3 +0.4983% 857.6
Op. Retract 4.80% 2.17% 77,970 2.71 15 +0.1666% 1,049.7
Split-Share 5.27% 5.43% 98,908 4.11 15 +0.4300% 1,047.4
Interest Bearing 6.21% 6.27% 58,091 3.35 4 +0.3539% 1,087.0
Perpetual-Premium 5.70% 3.98% 348,148 5.07 16 +0.0956% 1,033.4
Perpetual-Discount 5.34% 5.38% 279,272 14.84 52 +0.0077% 963.1
Major Price Changes
Issue Index Change Notes
BNA.PR.C SplitShare +1.0401% Asset coverage of 3.3+:1 as of January 31, according to the company. Now with a pre-tax bid-YTW of 6.78% based on a bid of 20.40 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.19% to 2008-10-31 call) and BNA.PR.B (7.03% to 2016-3-25 maturity). 
BSD.PR.A InterestBearing +1.0515% Asset coverage of 1.6+:1 as of February 15, according to Brookfield Funds. Now with a pre-tax bid-YTW of 6.97% (mostly as interest) based on a bid of 9.61 and a hardMaturity 2015-3-31 at 10.00.
BCE.PR.C FixFloat +1.0947%
FTU.PR.A SplitShare +1.1446% Asset coverage of just under 1.6:1 as of February 15, according to the company Now with a pre-tax bid-YTW of 6.04% based on a bid of 9.72 and a hardMaturity 2012-12-1 at 10.00.
MFC.PR.A OpRet +1.2367% Now with a pre-tax bid-YTW of 3.23% (!) based on a bid of 26.45 and a softMaturity 2015-12-18 at 25.00. 
MFC.PR.B PerpetualDiscount +1.2549% Now with a pre-tax bid-YTW of 5.02% based on a bid of 23.16 and a limitMaturity.
BNA.PR.B SplitShare +1.4392% See BNA.PR.C, above.
MFC.PR.C PerpetualDiscount +1.5200% This is exciting! Now with a pre-tax bid-YTW of 5.00% (actually, I make it 4.9971%) based on a bid of 22.51 and a limitMaturity. It’s been a long time since a PerpetualDiscount yielded less than 5.00% … September 26, 2007, in fact.
BAM.PR.B Floater +1.6393%  
Volume Highlights
Issue Index Volume Notes
BAM.PR.N PerpetualDiscount 309,820 Now with a pre-tax bid-YTW of 6.44% based on a bid of 18.80 and a limitMaturity.
CM.PR.H PerpetualDiscount 95,100 Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.89 and a limitMaturity.
BCE.PR.C FixFloat 73,300  
BAM.PR.M PerpetualDiscount 42,725 Dundee (who?) bought 35,000 from RBC at 19.10. Now with a pre-tax bid-YTW of 6.35% based on a bid of 19.06 and a limitMaturity.
RY.PR.B PerpetualDiscount 23,100 Now with a pre-tax bid-YTW of 5.22% based on a bid of 22.64 and a limitMaturity.

There were twenty other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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