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.