{"id":2494,"date":"2008-07-24T21:04:15","date_gmt":"2008-07-25T01:04:15","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2494"},"modified":"2008-07-24T21:04:15","modified_gmt":"2008-07-25T01:04:15","slug":"july-24-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2494","title":{"rendered":"July 24, 2008"},"content":{"rendered":"

A story on Bloomberg<\/a> discussed the repercussions of the liquidity freeze-up in US Auction Rate Securities:<\/p>\n

New York Attorney General Andrew Cuomo filed a lawsuit against UBS AG over its role in the sale of auction-rate securities, five months after the market collapsed, stranding investors.<\/p>\n

Cuomo alleges the Zurich-based bank committed fraud by misleading investors in its marketing of the long-term securities as money market-like instruments that were easy to buy and sell. UBS continued selling the debt even as the market unraveled and top bank executives unloaded $21 million in personal auction-rate holdings, Cuomo’s suit alleges.<\/p><\/blockquote>\n

… and, to my gratification, included a link to the Massachusetts lawsuit site<\/a>. The complaint against UBS<\/a> alleges many things, but what it all boils down to is that some people have made an investment that didn’t work out as intended.<\/p>\n

Just where to draw the regulatory line is a matter of opinion. I just hope the regulators and politicians know where their current hard line attitude is taking us: to a world where brokerages are on the hook for whatever they sell their clients and therefore offer nothing but the blandest investments possible. It’s regulation by headline and it will ultimately cost us all a great deal of money.<\/p>\n

It leads to another interesting thought … if banks are to be on the hook for short-term paper they sell to their retail clients, shouldn’t this be recognized as credit risk (in addition to operational risk) for capital calculation purposes? I’ve already advocated that their exposure to their branded MMFs be recognized<\/a>.<\/p>\n

As far as today is concerned … so much for the financial rally<\/a>:<\/p>\n

U.S. stocks tumbled, sending financial shares to their worst drop in eight years, after home sales slid more than forecast …
…<\/b>
Financial stocks in the S&P 500 fell 6.7 percent as a group, the third drop in the past three weeks greater than 5 percent. Today’s slump follows a six-day, 30 percent rally spurred by better-than-estimated earnings reports from Citigroup, JPMorgan and Wells Fargo and legislation to rescue Fannie Mae and Freddie Mac.<\/p><\/blockquote>\n

I wonder how many sigmas that makes<\/a>?<\/p>\n

PerpetualDiscounts managed to eke out a two-basis-point gain today (which, when you annualize it, is about right) keeping the streak alive: there have been six consecutive gains.<\/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>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\n0<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.68%<\/td>\n4.40%<\/td>\n69,576<\/td>\n16.32<\/td>\n6<\/td>\n-0.0067%<\/td>\n1,084.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.14%<\/td>\n4.16%<\/td>\n58,395<\/td>\n17.08<\/td>\n3<\/td>\n+0.8780%<\/td>\n891.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.99%<\/td>\n4.47%<\/td>\n137,526<\/td>\n3.42<\/td>\n17<\/td>\n-0.0353%<\/td>\n1,040.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.38%<\/td>\n6.14%<\/td>\n61,694<\/td>\n4.50<\/td>\n14<\/td>\n-0.0084%<\/td>\n1,028.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.15%<\/td>\n6.23%<\/td>\n41,154<\/td>\n3.69<\/td>\n3<\/td>\n-0.2349%<\/td>\n1,120.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.17%<\/td>\n6.18%<\/td>\n71,954<\/td>\n10.61<\/td>\n4<\/td>\n-0.0305%<\/td>\n976.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.34%<\/td>\n6.40%<\/td>\n231,051<\/td>\n13.36<\/td>\n67<\/td>\n+0.0216%<\/td>\n836.6<\/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\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-3.2990%<\/td>\nNow with a pre-tax bid-YTW of 6.73% based on a bid of 18.76 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.8698%<\/td>\nNow with a pre-tax bid-YTW of 6.56% based on a bid of 22.00 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nFloater<\/s>
PerpetualDiscount<\/td>\n		-2.1674%<\/td>\nNow with a pre-tax bid-YTW of 7.41% based on a bid of 16.25 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.7138%<\/td>\nNow with a pre-tax bid-YTW of 6.66% based on a bid of 21.22 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.5789%<\/td>\nNow with a pre-tax bid-YTW of 6.50% based on a bid of 18.70 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.5632%<\/td>\nNow with a pre-tax bid-YTW of 6.60% based on a bid of 21.41 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.4444%<\/td>\nNow with a pre-tax bid-YTW of 6.28% based on a bid of 17.74 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.1837%<\/td>\nNow with a pre-tax bid-YTW of 6.32% based on a bid of 24.21 and softMaturity<\/a> 2013-12-30 at 25.00. Compare with BAM.PR.H (6.43% to 2012-3-30), BAM.PR.J (7.06% to 2018-3-30) and BAM.PR.O (6.57% to 2013-6-30).<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.0440%<\/td>\nNow with a pre-tax bid-YTW of 6.19% based on a bid of 18.01 and a limitMaturity.<\/td>\n<\/tr>\n
ALB.PR.A<\/td>\nOpRet<\/td>\n-1.0204%<\/td>\nAsset coverage of just under 1.6:1 as of July 17 according to Scotia Managed Companies<\/a>. Now with a pre-tax bid-YTW of 5.80% based on a bid of 24.25 and a hardMaturity 2011-2-28.<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.0105%<\/td>\nSee BAM.PR.I, above.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+1.1873%<\/td>\nNow with a pre-tax bid-YTW of 7.14% based on a bid of 18.75 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.4916%<\/td>\nNow with a pre-tax bid-YTW of 6.66% based on a bid of 17.01 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualDiscount<\/td>\n+1.5175%<\/td>\nNow with a pre-tax bid-YTW of 6.42% based on a bid of 19.40 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n+1.5536%<\/td>\nNow with a pre-tax bid-YTW of 6.26% based on a bid of 19.61 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.6851%<\/td>\nNow with a pre-tax bid-YTW of 6.44% based on a bid of 17.50 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+1.8096%<\/td>\nNow with a pre-tax bid-YTW of 6.27% based on a bid of 23.63 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetualDiscount<\/td>\n+1.8480%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 24.80 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.9990%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 21.43 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+2.1070%<\/td>\n <\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n+2.4512%<\/td>\nNow with a pre-tax bid-YTW of 6.48% based on a bid of 22.57 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.6140%<\/td>\nNow with a pre-tax bid-YTW of 5.89% based on a bid of 20.02 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+2.7825%<\/td>\nNow with a pre-tax bid-YTW of 6.29% based on a bid of 18.10 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
BCE.PR.A<\/td>\nFixFloat<\/td>\n290,900<\/td>\nCIBC crossed three blocks at 24.35: 50,000, 200,000 and 40,500.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n108,439<\/td>\n“Anonymous” bought & sold (or maybe crossed) 79,000 at 21.25.Now with a pre-tax bid-YTW of 6.21% based on a bid of 21.27 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n43,400<\/td>\n“Anonymous” bought & sold (or maybe crossed) 40,000 at 21.60. Now with a pre-tax bid-YTW of 6.12% based on a bid of 21.54 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n30,440<\/td>\nNow with a pre-tax bid-YTW of 7.39% based on a bid of 16.30 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n27,521<\/td>\nNow with a pre-tax bid-YTW of 6.81% based on a bid of 17.39 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

A story on Bloomberg discussed the repercussions of the liquidity freeze-up in US Auction Rate Securities: New York Attorney General Andrew Cuomo filed a lawsuit against UBS AG over its role in the sale 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-2494","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2494","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=2494"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2494\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2494"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2494"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2494"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}