{"id":2356,"date":"2008-07-08T21:28:59","date_gmt":"2008-07-09T01:28:59","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2356"},"modified":"2008-07-08T21:28:59","modified_gmt":"2008-07-09T01:28:59","slug":"july-8-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2356","title":{"rendered":"July 8, 2008"},"content":{"rendered":"

Bradford & Bingley, a small UK mortgage bank with a market cap of about $400-million<\/a> seems to be in trouble<\/a>:<\/p>\n

Bradford & Bingley dropped as much as 26 percent, the largest decline since it sold shares to the public in 2000, and was down 8 pence to 34 pence at 11:30 a.m. The shares fell 16 percent yesterday and 18 percent July 4, bringing this year’s decline to 88 percent and valuing the bank at 212 million pounds ($419 million).
…<\/b>
Bradford & Bingley has been hurt by the seizure in credit markets because it depends on capital markets for about 52 of its funding. Leicester, England-based Alliance & Leicester Plc, which gets about 59 percent from wholesale markets, declined as much as 10 percent today in London and traded at 226.25 pence at 11:20 a.m.<\/p><\/blockquote>\n

As a warning to those who might put too high an emphasis on the (very important) Tier 1 ratio and Total Capital ratio … as of Dec. 31\/2007<\/a> they had GBP 1.4-billion in Tier 1 Capital, Tier 1 Ratio of 8.6%, Total Capital Ratio of 15.1%. You can’t put all your trust in one number!<\/p>\n

Meanwhile, OFHEO says that, contrary to yesterday<\/a>‘s speculation, Fannie & Freddie don’t need capital<\/a>:<\/p>\n

Freddie Mac and Fannie Mae, whose shares have tumbled more than 60 percent this year, have enough capital to survive a slump in the housing market and meet new accounting rules, their regulator said.
…<\/b>
“An accounting principle should not drive a capital decision by a regulator,” Lockhart later told reporters at a mortgage conference in Arlington, Virginia, today sponsored by the Federal Deposit Insurance Corp.<\/p><\/blockquote>\n

However, there’s lots of bad news to go ’round! IndyMac is looking fairly ill<\/a>:<\/p>\n

IndyMac Bancorp Inc., the California- based lender that is firing half its employees, is facing “elevated levels of deposit withdrawals” after U.S. Senator Charles Schumer said the bank may be on the brink of failure.
…<\/b>
Because it doesn’t have enough capital to meet the “well capitalized” threshold set by regulators, IndyMac said it can’t fund its lending with deposits acquired through independent brokers. IndyMac’s request for a waiver from the FDIC to allow for brokered deposits hasn’t been approved, the company said.<\/p><\/blockquote>\n

Naked Capitalism<\/i> has more details<\/a>.<\/p>\n

Remember my table of CM issues on June 26<\/a>? And the table of PWF issues yesterday<\/a>, that Assiduous Reader prefhound<\/i> noted was the last cum-dividend day? Well, here’s the table again, now that the dividend has gone ex:<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
PWF Perpetuals<\/td>\n<\/tr>\n
Issue<\/td>\nDividend<\/td>\nQuote<\/td>\nPre-Tax
Bid-YTW<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\n1.2375<\/td>\n19.51-99<\/td>\n6.36%<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\n1.275<\/td>\n20.00-28<\/td>\n6.39%<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\n1.3125<\/td>\n20.25-49<\/td>\n6.50%<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\n1.375<\/td>\n21.64-75<\/td>\n6.37%<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\n1.4375<\/td>\n23.05-49<\/td>\n6.53%<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\n1.475<\/td>\n24.15-18<\/td>\n6.11%<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\n1.50<\/td>\n24.62-88<\/td>\n6.10%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

I said it yesterday … I’ll say it again: Negative Convexity? Negative Schmonvexity!<\/a> It just doesn’t make any sense!<\/p>\n

I hate to say it … but it was yet another bad day for PerpetualDiscounts! This is the ninth consecutive loss; the last gaining day was June 24; the cumulative loss since then is 3.73%.<\/p>\n

Long corporates still yield about 6.1%<\/a> … the perpetualDiscount weighted mean pre-tax bid-YTW of 6.25% dividend is equivalent (with a 1.4x factor) to 8.75% … spread to long corporates is now 265bp.<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
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
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.29%<\/td>\n2.40%<\/td>\n46,532<\/td>\n0.08<\/td>\n1<\/td>\n-0.4304%<\/td>\n1,119.7<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.64%<\/td>\n4.36%<\/td>\n72,010<\/td>\n16.39<\/td>\n6<\/td>\n+0.2803%<\/td>\n1,093.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.02%<\/td>\n4.04%<\/td>\n51,785<\/td>\n17.36<\/td>\n3<\/td>\n-0.1192%<\/td>\n916.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.96%<\/td>\n3.55%<\/td>\n168,148<\/td>\n2.55<\/td>\n17<\/td>\n-0.1875%<\/td>\n1,046.0<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.36%<\/td>\n6.32%<\/td>\n65,302<\/td>\n4.13<\/td>\n14<\/td>\n-0.6337%<\/td>\n1,029.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.15%<\/td>\n5.31%<\/td>\n45,169<\/td>\n2.27<\/td>\n3<\/td>\n-0.2688%<\/td>\n1,119.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.99%<\/td>\n5.89%<\/td>\n65,389<\/td>\n11.00<\/td>\n4<\/td>\n-0.0149%<\/td>\n1,006.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.20%<\/td>\n6.25%<\/td>\n245,331<\/td>\n13.56<\/td>\n67<\/td>\n-0.3472%<\/td>\n851.6<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n-4.21%<\/td>\nNow with a pre-tax bid-YTW of 6.58% based on a bid of 19.11 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n-2.9600%<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 24.26 and a softMaturity<\/a> 2013-12-30 at 25.00. Compare with BAM.PR.H (5.23% to 2012-3-30), BAM.PR.J (6.59% to 2018-3-30) and BAM.PR.O (6.77% to 2013-6-30).<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.8214%<\/td>\nNow with a pre-tax bid-YTW of 6.53% based on a bid of 22.05 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n-2.6293%<\/td>\nNow with a pre-tax bid-YTW of 6.45% based on a bid of 22.59 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.3894%<\/td>\nNow with a pre-tax bid-YTW of 6.37% based on a bid of 22.06 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n-2.2040%<\/td>\nNow with a pre-tax bid-YTW of 6.48% based on a bid of 19.08 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-2.1142%<\/td>\nAsset coverage of 3.2+:1 as of June 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 8.17% based on a bid of 18.52 and a hardMaturity<\/a> 2019-1-10 at 25.00. Compare with BNA.PR.A (6.14% to 2010-9-30) and BNA.PR.B (8.46% to 2016-3-25).<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n-2.1000%<\/td>\nAsset coverage of just under 1.8:1 as of June 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 5.70% based on a bid of 9.79 and a hardMaturity 2014-12-1.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n-1.9348%<\/td>\nAsset coverage of just under 1.5:1 as of July 3, according to the company<\/a>. Now with a pre-tax bid-YTW of 6.10% based on a bid of 9.63 and a hardMaturity 2011-12-15 at 10.00.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.7204%<\/td>\nNow with a pre-tax bid-YTW of 6.22% based on a bid of 18.28 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.7178%<\/td>\nNow with a pre-tax bid-YTW of 7.49% based on a bid of 16.02 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.6429%<\/td>\nNow with a pre-tax bid-YTW of 6.25% based on a bid of 17.96 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.5872%<\/td>\nNow with a pre-tax bid-YTW of 6.50% based on a bid of 20.25 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-1.4963%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n-1.2884%<\/td>\nNow with a pre-tax bid-YTW of 6.04% based on a bid of 19.92 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.1369%<\/td>\nNow with a pre-tax bid-YTW of 6.74% based on a bid of 20.87 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.0575%<\/td>\nNow with a pre-tax bid-YTW of 6.43% based on a bid of 21.52 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.0000%<\/td>\nNow with a pre-tax bid-YTW of 6.37% based on a bid of 19.80 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.0995%<\/td>\nNow with a pre-tax bid-YTW of 6.09% based on a bid of 19.31 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualDiscount<\/td>\n+1.2195%<\/td>\nNow with a pre-tax bid-YTW of 6.65% based on a bid of 20.75 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.5925%<\/td>\nNow with a pre-tax bid-YTW of 6.11% based on a bid of 18.50 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+4.0897%<\/td>\nNow with a pre-tax bid-YTW of 6.37% based on a bid of 21.64 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n57,721<\/td>\nCIBC crossed 25,000 at 25.50, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 5.23% based on a bid of 25.50 and a softMaturity 2012-3-30. For comparables, see above.<\/td>\n<\/tr>\n
PWF.PR.J<\/td>\nOpRet<\/td>\n53,619<\/td>\nCIBC crossed 50,000 at 25.55. Now with a pre-tax bid-YTW of 4.22% based on a bid of 25.50 and a softMaturity 2013-7-30 at 25.00.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n35,500<\/td>\n <\/td>\n<\/tr>\n
BCE.PR.I<\/td>\nFixFloat<\/td>\n32,260<\/td>\nCIBC crossed 24,900 at 24.30<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n30,766<\/td>\nCIBC bought 20,000 from Anonymous at 25.00. Now with a pre-tax bid-YTW of 6.21% based on a bid of 24.26 and a softMaturity 2013-12-30 at 25.00. For comparables, see above.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were twenty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"

Bradford & Bingley, a small UK mortgage bank with a market cap of about $400-million seems to be in trouble: Bradford & Bingley dropped as much as 26 percent, the largest decline since it sold …<\/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-2356","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2356","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=2356"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2356\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2356"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2356"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2356"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}