{"id":10916,"date":"2010-05-19T23:48:32","date_gmt":"2010-05-20T03:48:32","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=10916"},"modified":"2010-05-19T23:48:32","modified_gmt":"2010-05-20T03:48:32","slug":"may-19-2010","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=10916","title":{"rendered":"May 19, 2010"},"content":{"rendered":"

More on Basis Alpha<\/a>:<\/p>\n

The Basis fund’s main contention is that the fund’s managers were misled by Goldman when it purchased two $50 million tranches of Timberwolf, a $1 billion CDO that Goldman took to market in March 2007, according to Mapley and other people familiar with the situation.<\/p>\n

The Basis fund sank money into Timberwolf in June 2007, after the one-time $500 million fund claims it got assurances from Goldman’s mortgage trading desk that the market for CDOs had stabilized after falling sharply.
…<\/b>
Mapley said he has been told Goldman sold the Timberwolf securities to the hedge fund at a significantly higher price than what similar mortgage-linked securities were selling for at the time. Basis’ managers were not aware that Goldman’s mortgage trading desk was actively shorting CDOs and other subprime mortgage-linked securities at the time of the Timberwolf deal, he said.<\/p><\/blockquote>\n

That’s it? That’s the basis of the complaint? These guys are clowns.<\/p>\n

The German attempt to distort markets hasn’t got much political support<\/a>:<\/p>\n

The euro is at risk and Europe may be facing its greatest challenge since the founding of the European Union, [German Chancellor Angela Merkel] said. The consequences are \u201cincalculable\u201d if leaders fail to act.<\/p>\n

For all that, a Europe-wide ban on naked short-selling is \u201cdoubtful,\u201d Eddy Wymeersch, Europe\u2019s top market regulator, said in a telephone interview. The Netherlands and Finland said they have no plans to implement similar measures to Germany.<\/p>\n

France, which lined up with Germany on market regulation before the last two G-20 summits, doesn\u2019t plan to follow Germany in banning the use of contracts to speculate on European sovereign debt, Finance Minister Christine Lagarde said.<\/p>\n

\u201cWe haven\u2019t envisioned doing it,\u201d Lagarde told reporters in Paris. France has banned \u201cnaked short sales\u201d on equity markets since September 2008. Portugal\u2019s financial regulator said it was keeping its restrictions on naked short selling that date back to 2008.<\/p>\n

It is important that member states act together and that we design a European regime to avoid regulatory arbitrage and fragmentation,\u201d EU Financial Services Commissioner Michel Barnier said in an e-mailed statement.<\/p>\n

A ban in Germany alone will likely be ineffective, former U.K. Finance Minister Nigel Lawson said in an interview with Bloomberg Television.<\/p>\n

\u201cPeople will find ways of getting round it, move to other jurisdictions,\u201d Lawson said. \u201cIt can only be workable for a very, very short time.\u201d<\/p><\/blockquote>\n

What’s worse, there are fears that Lucas van Praag, Worlds’ Greatest Corporate Spokesman, is losing his touch<\/a>.<\/p>\n

Volume on the Canadian preferred share market was merely elevated today and volatility was muted as PerpetualDiscounts were up 2bp and FixedResets were down by the same figure.<\/p>\n

The yield on PerpetualDiscounts is now 6.39%, equivalent to 8.95% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> now yield about 5.65%, so the pre-tax interest-equivalent spread is now about 330bp, a mild (and perhaps spurious) increase from the 325bp recorded May 12<\/a>.<\/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>\n2.68 %<\/td>\n2.77 %<\/td>\n44,933<\/td>\n20.64<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,064.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.18 %<\/td>\n3.24 %<\/td>\n39,802<\/td>\n20.04<\/td>\n1<\/td>\n1.1074 %<\/td>\n3,090.8<\/td>\n<\/tr>\n
Floater<\/td>\n2.16 %<\/td>\n2.50 %<\/td>\n104,154<\/td>\n21.01<\/td>\n3<\/td>\n-0.7621 %<\/td>\n2,248.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.90 %<\/td>\n3.87 %<\/td>\n93,353<\/td>\n1.75<\/td>\n11<\/td>\n0.0249 %<\/td>\n2,303.0<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.45 %<\/td>\n6.26 %<\/td>\n118,995<\/td>\n3.58<\/td>\n2<\/td>\n0.2305 %<\/td>\n2,149.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.0249 %<\/td>\n2,105.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.54 %<\/td>\n4.78 %<\/td>\n25,166<\/td>\n15.79<\/td>\n1<\/td>\n-0.1196 %<\/td>\n1,821.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.32 %<\/td>\n6.39 %<\/td>\n215,137<\/td>\n13.33<\/td>\n77<\/td>\n0.0215 %<\/td>\n1,689.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.51 %<\/td>\n4.28 %<\/td>\n486,366<\/td>\n3.56<\/td>\n44<\/td>\n-0.0224 %<\/td>\n2,149.5<\/td>\n<\/tr>\n<\/table>\n\n\n\n\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
BAM.PR.K<\/td>\nFloater<\/td>\n-1.61 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 15.84
\nEvaluated at bid price : 15.84
\nBid-YTW : 2.50 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 19.39
\nEvaluated at bid price : 19.39
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 18.75
\nEvaluated at bid price : 18.75
\nBid-YTW : 7.18 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 6.66 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n1.11 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 21.00
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 23.58
\nEvaluated at bid price : 23.77
\nBid-YTW : 5.97 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 21.50
\nEvaluated at bid price : 21.50
\nBid-YTW : 6.14 %<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.72 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 21.93
\nEvaluated at bid price : 21.93
\nBid-YTW : 6.64 %<\/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
PWF.PR.J<\/td>\nOpRet<\/td>\n182,177<\/td>\nRBC bought two blocks of 10,000 each from Nesbitt at 25.55 each. RBC bought 16,600 from Nesbitt at 25.55 and crossed 33,400 at the same price. Nesbitt sold 10,000 to RBC at 25.55 and 25,000 to Desjardins at the same price. RBC bought 15,000 from Nesbitt at 25.55 and crossed 24,000 at the same price. Finally, Desjardins crossed 26,000 at 25.55.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-05-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.52
\nBid-YTW : 3.85 %<\/td>\n<\/tr>\n
CM.PR.M<\/td>\nFixedReset<\/td>\n61,531<\/td>\nDesjardins crossed 50,000 at 27.40.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-08-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.30
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetual-Discount<\/td>\n46,580<\/td>\nSLF crossed 26,700 at 17.35.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 17.33
\nEvaluated at bid price : 17.33
\nBid-YTW : 6.54 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n42,310<\/td>\nDesjardins crossed blocs of 15,000 and 20,000, both at 18.92.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 18.90
\nEvaluated at bid price : 18.90
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetual-Discount<\/td>\n34,980<\/td>\nDesjardins crossed 20,000 at 20.05.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 20.16
\nEvaluated at bid price : 20.16
\nBid-YTW : 6.57 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n33,800<\/td>\nNesbitt crossed 20,000 at 17.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-05-19
\nMaturity Price : 17.47
\nEvaluated at bid price : 17.47
\nBid-YTW : 6.56 %<\/td>\n<\/tr>\n
There were 40 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

More on Basis Alpha: The Basis fund’s main contention is that the fund’s managers were misled by Goldman when it purchased two $50 million tranches of Timberwolf, a $1 billion CDO that Goldman took to …<\/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-10916","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10916","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=10916"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/10916\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=10916"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=10916"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=10916"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}