{"id":1271,"date":"2007-10-04T21:26:44","date_gmt":"2007-10-05T01:26:44","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1271"},"modified":"2007-10-04T21:26:44","modified_gmt":"2007-10-05T01:26:44","slug":"october-4-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1271","title":{"rendered":"October 4, 2007"},"content":{"rendered":"<p>There was a <a href=\"http:\/\/www.bloomberg.com\/apps\/news?pid=20601087&#038;sid=aPrGytjXD0hA&#038;refer=home\">report today<\/a> of another sub-prime winner:<\/p>\n<blockquote><p>Harbinger Capital Partners, the hedge fund firm run by former Barclays Capital trader Philip Falcone, generated returns of more than 65 percent this year, helped by bets against subprime-mortgage bonds and gains on commodities.Harbinger&#8217;s $2.5 billion Special Situations fund increased 9.9 percent last month and more than 100 percent in 2007, said two of the firm&#8217;s investors. The $11 billion Harbinger Capital Partners fund rose 5.4 percent last month and 65 percent this year.<\/p><\/blockquote>\n<p>Lucky or smart? Does it matter?<\/p>\n<p>The Fed released <a href=\"http:\/\/www.federalreserve.gov\/releases\/cp\/outstandings.htm\">Commercial Paper Outstandings<\/a> today; it would appear the situation is normalizing rapidly. ABCP outstanding was down about $6-billion on the week,\u00a0a nice chunk of change but relatively small in the context of the $906-billion total outstanding. Quality spreads, while still high compared to the last six years, are in decline.<\/p>\n<p>The following posts were either written or updated today:<\/p>\n<ul>\n<li><a href=\"http:\/\/www.prefblog.com\/?p=1256\">Whoosh! Market Adjustment Affects Fair Value of New Issues<\/a><\/li>\n<li><a href=\"http:\/\/www.prefblog.com\/?p=1267\">Early Commentary on Canadian ABCP<\/a><\/li>\n<li><a href=\"http:\/\/www.prefblog.com\/?p=1269\">Fed Regulation of US ABCP Liquidity Guarantees<\/a><\/li>\n<li><a href=\"http:\/\/www.prefblog.com\/?p=1270\">Query from a Reader: Time to Buy?<\/a><\/li>\n<\/ul>\n<p>&#8230; which should go a long way towards explaining the brevity of today&#8217;s round-up!<\/p>\n<p>There are some very thoughtful essays regarding the Northern Rock bail-out in <a href=\"http:\/\/blogs.wsj.com\/economics\/2007\/10\/04\/northern-rock-lessons-for-the-us\/\">the WSG Economics Blog<\/a> and <a href=\"http:\/\/www.economist.com\/displaystory.cfm?story_id=9832838\">the Economist<\/a>. There&#8217;s another link to an Economist article <a href=\"http:\/\/www.economist.com\/finance\/displaystory.cfm?story_id=9833685\">about the funding gap in British banking<\/a> &#8230; there is an increased reliance on commercial paper, as opposed to deposits, to fund bank loans:<\/p>\n<div align=\"center\"><img decoding=\"async\" src=\"http:\/\/www.prefblog.com\/wp-content\/uploads\/2007\/10\/FundingGap.gif\" \/><\/div>\n<p>\u00a0<\/p>\n<p>Meanwhile, the preferred share market showed a little stability today. There were some rather violent individual moves, but most of these were reversals of previous silliness.<\/p>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td colspan=\"8\"><strong>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<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Index<\/td>\n<td>Mean Current Yield (at bid)<\/td>\n<td>Mean YTW<\/td>\n<td>Mean Average Trading Value<\/td>\n<td>Mean Mod Dur (YTW)<\/td>\n<td>Issues<\/td>\n<td>Day&#8217;s Perf.<\/td>\n<td>Index Value<\/td>\n<\/tr>\n<tr>\n<td>Ratchet<\/td>\n<td>4.67%<\/td>\n<td>4.61%<\/td>\n<td>835,153<\/td>\n<td>16.04<\/td>\n<td>1<\/td>\n<td>0.0000%<\/td>\n<td>1,043.7<\/td>\n<\/tr>\n<tr>\n<td>Fixed-Floater<\/td>\n<td>4.89%<\/td>\n<td>4.76%<\/td>\n<td>102,176<\/td>\n<td>15.82<\/td>\n<td>7<\/td>\n<td>+0.2812%<\/td>\n<td>1,036.3<\/td>\n<\/tr>\n<tr>\n<td>Floater<\/td>\n<td>4.50%<\/td>\n<td>2.84%<\/td>\n<td>78,528<\/td>\n<td>10.72<\/td>\n<td>3<\/td>\n<td>+0.0275%<\/td>\n<td>1,044.2<\/td>\n<\/tr>\n<tr>\n<td>Op. Retract<\/td>\n<td>4.85%<\/td>\n<td>4.04%<\/td>\n<td>78,762<\/td>\n<td>3.16<\/td>\n<td>15<\/td>\n<td>+0.0129%<\/td>\n<td>1,028.5<\/td>\n<\/tr>\n<tr>\n<td>Split-Share<\/td>\n<td>5.13%<\/td>\n<td>4.78%<\/td>\n<td>86,372<\/td>\n<td>4.06<\/td>\n<td>15<\/td>\n<td>+0.0997%<\/td>\n<td>1,047.7<\/td>\n<\/tr>\n<tr>\n<td>Interest Bearing<\/td>\n<td>6.33%<\/td>\n<td>6.40%<\/td>\n<td>55,359<\/td>\n<td>3.63<\/td>\n<td>3<\/td>\n<td>+0.1539%<\/td>\n<td>1,045.3<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Premium<\/td>\n<td>5.62%<\/td>\n<td>5.38%<\/td>\n<td>96,670<\/td>\n<td>8.30<\/td>\n<td>17<\/td>\n<td>+0.2682%<\/td>\n<td>1,018.1<\/td>\n<\/tr>\n<tr>\n<td>Perpetual-Discount<\/td>\n<td>5.32%<\/td>\n<td>5.35%<\/td>\n<td>211,463<\/td>\n<td>14.90<\/td>\n<td>45<\/td>\n<td>+0.0100%<\/td>\n<td>945.7<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Major Price Changes<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Change<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>MFC.PR.C<\/td>\n<td>PerpetualDiscount<\/td>\n<td>-1.5730%<\/td>\n<td>Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.90 and a <a href=\"http:\/\/www.prefshares.com\/glossary.html#limitMaturity\">limitMaturity<\/a>.<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.J<\/td>\n<td>OpRet<\/td>\n<td>-1.3514%<\/td>\n<td>Now with a pre-tax bid-YTW of 5.17% based on a bid of 25.55 and a <a href=\"http:\/\/www.prefshares.com\/glossary.html#softMaturity\">softMaturity<\/a> 2018-3-30 at 25.00.<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.C<\/td>\n<td>PerpetualDiscount<\/td>\n<td>-1.0816%<\/td>\n<td>Now with a pre-tax bid-YTW of 5.31% based on a bid of 21.95 and a limitMaturity.<\/td>\n<\/tr>\n<tr>\n<td>ELF.PR.G<\/td>\n<td>PerpetualDiscount<\/td>\n<td>+1.1848%<\/td>\n<td>Now with a pre-tax bid-YTW of 5.59% based on a bid of 21.35 and a limitMaturity.<\/td>\n<\/tr>\n<tr>\n<td>PWF.PR.I<\/td>\n<td>PerpetualPremium<\/td>\n<td>+1.4769%<\/td>\n<td>This has just gone ex-dividend for $0.375, so expect to see a drop in trading price on October 5. Now with a pre-tax bid-YTW of 5.21% based on a bid of 26.11 and a call 2012-5-30 at 25.00.<\/td>\n<\/tr>\n<tr>\n<td>POW.PR.C<\/td>\n<td>PerpetualPremium (for now!)<\/td>\n<td>+2.0483%<\/td>\n<td>Now with a pre-tax bid-YTW of 5.84% based on a bid of 24.91 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<div align=\"center\">\n<table border=\"1\">\n<tr>\n<td colspan=\"4\"><strong>Volume Highlights<\/strong><\/td>\n<\/tr>\n<tr>\n<td>Issue<\/td>\n<td>Index<\/td>\n<td>Volume<\/td>\n<td>Notes<\/td>\n<\/tr>\n<tr>\n<td>BCE.PR.Z<\/td>\n<td>FixFloat<\/td>\n<td>153,168<\/td>\n<td>\u00a0<\/td>\n<\/tr>\n<tr>\n<td>BAM.PR.N<\/td>\n<td>PerpetualDiscount<\/td>\n<td>115,690<\/td>\n<td>Now with a pre-tax bid-YTW of 6.03% based on a bid of 19.85 and a limitMaturity.<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.E<\/td>\n<td>OpRet<\/td>\n<td>105,732<\/td>\n<td>Now with a pre-tax bid-YTW of 3.62% based on a bid of 25.91 and a call 2009-4-30 at 26.00.<\/td>\n<\/tr>\n<tr>\n<td>RY.PR.K<\/td>\n<td>OpRet<\/td>\n<td>84,864<\/td>\n<td>Scotia crossed 25,000 at 25.15. Now with a pre-tax bid-YTW of 4.87% based on a bid of 25.10 and a softMaturity 2008-8-23 at 25.00.<\/td>\n<\/tr>\n<tr>\n<td>GWO.PR.I<\/td>\n<td>PerpetualDiscount<\/td>\n<td>62,980<\/td>\n<td>Scotia crossed 50,000 at 21.60. Now with a pre-tax bid-YTW of 5.23% based on a bid of 21.60 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n<p>There were eleven other index-included $25.00-equivalent issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>There was a report today of another sub-prime winner: Harbinger Capital Partners, the hedge fund firm run by former Barclays Capital trader Philip Falcone, generated returns of more than 65 percent this year, helped by &hellip;<\/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-1271","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1271","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=1271"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1271\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1271"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1271"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1271"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}