I am feeling a bit shagged and fagged and fashed, it being a day of no small energy expenditure, O my brothers and only friends.
In other words – not much commentary today, folks! Just a pathetically small collection of links.
It’s not just housing any more … Econbrowser‘s James Hamilton took a look at Monday’s economic releases and didn’t like what he saw.
Monoline Death Watch … Naked Capitalism takes a few gratuitous shots at bond insurers. I am surprised to learn that there are still a few people in the world who consider Credit Default Swap spreads to be related, somehow, to Credit Default Risk. Besides all the other problems, forced unwinding (by, f’rinstance, Apex & Sitka of BMO fame) is elevating these spreads to hell ‘n’ gone.
Update 2008-3-6: I note the following:
The higher costs are an unintended consequence of securities that allow investors to speculate on corporate creditworthiness. So-called correlation models used to value them have become unreliable in the fallout from the U.S. subprime mortgage crisis. Last month some showed the odds of a default by an investment-grade company spreading to others exceeded 100 percent — a mathematical impossibility, according to UBS AG.“The credit-default swap market is completely distorting reality,” said Henner Boettcher, treasurer of HeidelbergCement in Heidelberg, Germany, the country’s biggest cement maker. “Given what these spreads imply about defaults, we should be in a deep depression, and we are not.”
— end of 2008-3-6 update
Ten Year Treasuries Fall … It will soon be fashionable again to call oneself a “bond vigilante”.
Rather a quiet day for prefs, on the whole … even the price moves are basically just reversals of the more egregious recent zig-zags.The market drifted up, but has not recovered the ground lost after the TD New Issue announcement.
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% | 5.54% | 34,512 | 14.6 | 2 | +0.3508% | 1,085.9 |
Fixed-Floater | 4.79% | 5.62% | 65,247 | 14.73 | 8 | -0.1047% | 1,036.3 |
Floater | 4.73% | 4.80% | 89,827 | 15.77 | 2 | -0.1013% | 865.6 |
Op. Retract | 4.82% | 2.97% | 76,054 | 2.68 | 15 | -0.1102% | 1,048.3 |
Split-Share | 5.24% | 5.10% | 97,761 | 4.03 | 14 | +0.1088% | 1,048.5 |
Interest Bearing | 6.13% | 6.31% | 65,937 | 3.98 | 3 | +1.1370% | 1,093.5 |
Perpetual-Premium | 5.74% | 5.28% | 300,928 | 5.58 | 17 | +0.0431% | 1,026.7 |
Perpetual-Discount | 5.39% | 5.43% | 273,887 | 14.75 | 51 | +0.1613% | 955.0 |
Major Price Changes | |||
Issue | Index | Change | Notes |
RY.PR.G | PerpetualDiscount | -1.3389% | Now with a pre-tax bid-YTW of 5.31% based on a bid of 21.37 and a limitMaturity. |
POW.PR.D | PerpetualDiscount | +1.7606% | Now with a pre-tax bid-YTW of 5.48% based on a bid of 23.12 and a limitMaturity. |
BSD.PR.A | SplitShare | +2.9883% | Asset coverage of 1.6+:1 as of February 29, according to the company. Now with a pre-tax bid-YTW of 6.65% (mostly as interest) based on a bid of 9.65 and a hardMaturity 2015-3-31 at 10.00. |
Volume Highlights | |||
Issue | Index | Volume | Notes |
MFC.PR.C | PerpetualDiscount | 84,530 | Nesbitt crossed 45,000 at 22.20, then another 19,100 at 22.21. Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.20 and a limitMaturity. |
MFC.PR.B | PerpetualDiscount | 83,714 | Nesbitt crossed 30,000 at 22.90, then TD crossed two lots of 25,000 each at the same price. Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.87 and a limitMaturity. |
BNS.PR.M | PerpetualDiscount | 63,550 | Now with a pre-tax bid-YTW of 5.26% based on a bid of 21.60 and a limitMaturity. |
RY.PR.W | PerpetualDiscount | 58,601 | Nesbitt crossed 50,000 at 23.70. Now with a pre-tax bid-YTW of 5.21% based on a bid of 23.65 and a limitMaturity. |
BMO.PR.J | PerpetualDiscount | 41,200 | Now with a pre-tax bid-YTW 5.38% based on a bid of 21.10 and a limitMaturity. |
There were fifteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.
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