{"id":10078,"date":"2010-03-12T22:30:27","date_gmt":"2010-03-13T02:30:27","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10078"},"modified":"2010-03-12T22:30:27","modified_gmt":"2010-03-13T02:30:27","slug":"march-12-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10078","title":{"rendered":"March 12, 2010"},"content":{"rendered":"

Another boring day, as far as actual news was concerned. An explanation of Lehman’s financing technique<\/a> looked interesting at first, but turned out to be only legal hairsplitting. OK, OK, so the outward leg of the repo is recorded as a true sale and that delevers the balance sheet. Fair enough. But how did they avoid putting the inward leg on the balance sheet? Fortunately, volume 3 of the Examiner’s report<\/a> makes that part clear:<\/p>\n

Unlike an ordinary repo transaction, Lehman did not record the borrowing of cash from a Repo 105 transaction even though Lehman was obliged to repay the borrowing. Instead, Lehman established a long inventory derivative asset representing the obligation under a forward contract to repurchase the full amount of securities \u201csold.\u201d3009 As Lehman\u2019s internal Repo 105 Accounting Policy explained, assuming Lehman borrowed $100 cash in exchange for a pledge of $105 of fixed income collateral, Lehman booked a $5 derivative, which represented Lehman\u2019s obligation to repurchase the securities at the end of the term of the repo transaction. The $5 arose from the fact that when it came time to repurchase the pledged securities, Lehman paid $100 cash for $105 worth of securities. The transaction therefore had a $5 value to Lehman reflecting the market value of the \u201covercollateralization\u201d amount of the Repo 105 transaction. Because it had a positive fair value of $5, the derivative was recorded as an asset under SFAS 133.<\/p><\/blockquote>\n

Volume stayed perky today, while PerpetualDiscounts lost 8bp and FixedResets gained 14bp, taking yields on the latter down to 3.50%. Yields on FixedResets have only been below 3.50% on three days – ever! – with the all time low being 3.46% on January 11, 2010.<\/p>\n

March 12 is the fourth-lowest FixedReset index yield of all time, March 11 is fifth-lowest.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n2.63 %<\/td>\n2.77 %<\/td>\n51,166<\/td>\n20.85<\/td>\n1<\/td>\n0.4204 %<\/td>\n2,103.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.12 %<\/td>\n3.23 %<\/td>\n41,025<\/td>\n19.90<\/td>\n1<\/td>\n0.7109 %<\/td>\n3,089.4<\/td>\n<\/tr>\n
Floater<\/td>\n1.93 %<\/td>\n1.73 %<\/td>\n43,450<\/td>\n23.22<\/td>\n4<\/td>\n0.0490 %<\/td>\n2,389.6<\/td>\n<\/tr>\n
OpRet<\/td>\n4.90 %<\/td>\n3.03 %<\/td>\n102,424<\/td>\n0.22<\/td>\n13<\/td>\n-0.0745 %<\/td>\n2,310.1<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.40 %<\/td>\n6.27 %<\/td>\n126,761<\/td>\n3.70<\/td>\n2<\/td>\n-0.2862 %<\/td>\n2,131.4<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0745 %<\/td>\n2,112.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.88 %<\/td>\n5.82 %<\/td>\n124,300<\/td>\n5.84<\/td>\n7<\/td>\n0.1931 %<\/td>\n1,892.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.90 %<\/td>\n5.96 %<\/td>\n173,706<\/td>\n13.98<\/td>\n71<\/td>\n-0.0803 %<\/td>\n1,791.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.36 %<\/td>\n3.50 %<\/td>\n323,459<\/td>\n3.70<\/td>\n43<\/td>\n0.1354 %<\/td>\n2,200.2<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetual-Discount<\/td>\n-1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-12
\nMaturity Price : 21.42
\nEvaluated at bid price : 21.42
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.05 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-12
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.77
\nBid-YTW : 5.86 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-12
\nMaturity Price : 24.00
\nEvaluated at bid price : 24.25
\nBid-YTW : 1.60 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-07-30
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.56
\nBid-YTW : 4.03 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
TRP.PR.B<\/td>\nFixedReset<\/td>\n134,422<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-03-12
\nMaturity Price : 24.87
\nEvaluated at bid price : 24.92
\nBid-YTW : 3.94 %<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n126,260<\/td>\nRBC bought 10,000 from National at 26.25; National crossed 25,000 at 26.12. RBC crossed 22,000 at 26.15, then bought 11,500 from National at the same price. National crossed 30,000 at 26.15.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-05-30
\nMaturity Price : 25.75
\nEvaluated at bid price : 26.10
\nBid-YTW : 0.66 %<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n63,748<\/td>\nCIBC crossed 24,900 at 25.52.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-12-31
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.51
\nBid-YTW : 3.38 %<\/td>\n<\/tr>\n
BMO.PR.P<\/td>\nFixedReset<\/td>\n60,615<\/td>\nTD crossed 50,000 at 27.10.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-03-27
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.09
\nBid-YTW : 3.63 %<\/td>\n<\/tr>\n
RY.PR.I<\/td>\nFixedReset<\/td>\n55,439<\/td>\nRB crossed 21,000 at 26.47 and two blocks, of 10,000 and 15,000, at 26.45.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.40
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n
TD.PR.C<\/td>\nFixedReset<\/td>\n44,750<\/td>\nRBC crossed 10,000 at 27.10; TD crossed 17,200 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-02
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.08
\nBid-YTW : 3.51 %<\/td>\n<\/tr>\n
There were 38 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Another boring day, as far as actual news was concerned. An explanation of Lehman’s financing technique looked interesting at first, but turned out to be only legal hairsplitting. OK, OK, so the outward leg of …<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[15],"tags":[],"class_list":["post-10078","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10078","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=10078"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10078\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10078"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10078"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10078"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}