{"id":6645,"date":"2009-05-26T19:51:42","date_gmt":"2009-05-26T23:51:42","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6645"},"modified":"2009-05-26T19:51:42","modified_gmt":"2009-05-26T23:51:42","slug":"may-26-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6645","title":{"rendered":"May 26, 2009"},"content":{"rendered":"

<\/a>Bloomberg reports that low reported LIBOR rates are masking a high level of credit stratification<\/a>.<\/p>\n

It appears that – to nobody’s surprise – dubious loans were marked down too low during the crisis and buyers of these loans will make a killing<\/a> as the cash trickles in:<\/p>\n

When JPMorgan bought WaMu out of receivership last September for $1.9 billion, the New York-based bank used purchase accounting, which allows it to record impaired loans at fair value, marking down $118.2 billion of assets by 25 percent. Now, as borrowers pay their debts, the bank says it may gain $29.1 billion over the life of the loans in pretax income before taxes and expenses. <\/p><\/blockquote>\n

Spend-every-penny has stated<\/a> the federal deficit will be $50-billion this year. Interest – just the interest – on this amount alone – never mind next year’s deficit, or the accumulated national debt, or any other trivialities – will soak up the $2-billion annually he neglected to spend during the boom. So much for the party of fiscal probity. Throw the rascals out!<\/p>\n

Holy smokes, look at them Floaters go! Now up 31% ON THE MONTH … looks like a few speculators are betting on increased prime AND decreased yields AND a lower than 100% bankruptcy rate …<\/p>\n

Volume was quite heavy again today, PerpetualDiscounts continued their ascent and FixedResets continued their pause.<\/p>\n

<\/a>
Click for big<\/i><\/div>\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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n3.3540 %<\/td>\n1,275.6<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n3.3540 %<\/td>\n2,062.9<\/td>\n<\/tr>\n
Floater<\/td>\n2.95 %<\/td>\n3.44 %<\/td>\n83,970<\/td>\n18.60<\/td>\n3<\/td>\n3.3540 %<\/td>\n1,593.6<\/td>\n<\/tr>\n
OpRet<\/td>\n5.03 %<\/td>\n3.65 %<\/td>\n129,160<\/td>\n0.98<\/td>\n15<\/td>\n0.0502 %<\/td>\n2,161.4<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.89 %<\/td>\n5.79 %<\/td>\n54,002<\/td>\n4.24<\/td>\n3<\/td>\n0.7788 %<\/td>\n1,838.5<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.00 %<\/td>\n7.21 %<\/td>\n27,352<\/td>\n0.58<\/td>\n1<\/td>\n0.0000 %<\/td>\n1,987.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2120 %<\/td>\n1,719.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.36 %<\/td>\n6.44 %<\/td>\n157,064<\/td>\n13.25<\/td>\n71<\/td>\n0.2120 %<\/td>\n1,583.6<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.74 %<\/td>\n4.98 %<\/td>\n488,157<\/td>\n4.47<\/td>\n37<\/td>\n-0.0854 %<\/td>\n1,977.6<\/td>\n<\/tr>\n<\/table>\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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n-2.86 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 17.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 2.33 %<\/td>\n<\/tr>\n
PWF.PR.M<\/td>\nFixedReset<\/td>\n-1.90 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 23.42
\nEvaluated at bid price : 25.80
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetual-Discount<\/td>\n-1.63 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 21.77
\nEvaluated at bid price : 21.77
\nBid-YTW : 6.78 %<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetual-Discount<\/td>\n-1.40 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 21.07
\nEvaluated at bid price : 21.07
\nBid-YTW : 6.28 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n-1.30 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 16.75
\nEvaluated at bid price : 16.75
\nBid-YTW : 7.01 %<\/td>\n<\/tr>\n
CM.PR.A<\/td>\nOpRet<\/td>\n-1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-06-25
\nMaturity Price : 25.50
\nEvaluated at bid price : 25.94
\nBid-YTW : -10.86 %<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n-1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 24.25
\nEvaluated at bid price : 24.30
\nBid-YTW : 4.33 %<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 24.43
\nEvaluated at bid price : 24.50
\nBid-YTW : 4.04 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.04 %<\/td>\nAsset coverage of 1.8-:1 as of April 30, according to the company<\/a>.
\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.60
\nBid-YTW : 11.70 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 18.41
\nEvaluated at bid price : 18.41
\nBid-YTW : 6.16 %<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 18.18
\nEvaluated at bid price : 18.18
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 17.18
\nEvaluated at bid price : 17.18
\nBid-YTW : 6.55 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.10 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 19.26
\nEvaluated at bid price : 19.26
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
NA.PR.O<\/td>\nFixedReset<\/td>\n1.18 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-17
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.66
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.32 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 15.40
\nEvaluated at bid price : 15.40
\nBid-YTW : 7.89 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n1.37 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 17.80
\nEvaluated at bid price : 17.80
\nBid-YTW : 6.44 %<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 18.66
\nEvaluated at bid price : 18.66
\nBid-YTW : 6.11 %<\/td>\n<\/tr>\n
CGI.PR.B<\/td>\nSplitShare<\/td>\n1.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2014-03-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.10
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetual-Discount<\/td>\n1.42 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 21.37
\nEvaluated at bid price : 21.37
\nBid-YTW : 6.64 %<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetual-Discount<\/td>\n1.69 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 23.82
\nEvaluated at bid price : 24.01
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetual-Discount<\/td>\n2.00 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 19.90
\nEvaluated at bid price : 19.90
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n2.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 19.79
\nEvaluated at bid price : 19.79
\nBid-YTW : 6.19 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n7.07 %<\/td>\nTrade 11,475 shares in a range of 10.94-68 before closing at 11.51-65, 6×5.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 11.51
\nEvaluated at bid price : 11.51
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n9.90 %<\/td>\nTraded 11,910 shares in a range of 11.05-60 before closing at 11.55-60, 30×9.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 11.55
\nEvaluated at bid price : 11.55
\nBid-YTW : 3.44 %<\/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
RY.PR.I<\/td>\nFixedReset<\/td>\n114,758<\/td>\nNesbitt crossed 14,800 at 24.40, bought 11,000 from CIBC at the same price and sold 44,600 to Commission Direct (who?) at 24.50.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 24.38
\nEvaluated at bid price : 24.43
\nBid-YTW : 4.34 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n102,277<\/td>\nRBC crossed 48,600 at 26.60.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.56
\nBid-YTW : 5.15 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n98,905<\/td>\nTD crossed 60,000 at 26.20.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.25
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetual-Discount<\/td>\n81,260<\/td>\nRBC bought three blocks from Nesbitt, 20,000 shares, 30,000 shares and 28,900 shares, all at 20.95.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 20.95
\nEvaluated at bid price : 20.95
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n80,365<\/td>\nScotia bought 25,000 from Nesbitt at 26.85; RBC crossed 15,000 at 26.88.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.80
\nBid-YTW : 5.19 %<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetual-Discount<\/td>\n66,874<\/td>\nCIBC crossed 50,000 at 16.98.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-26
\nMaturity Price : 16.91
\nEvaluated at bid price : 16.91
\nBid-YTW : 6.58 %<\/td>\n<\/tr>\n
There were 56 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Bloomberg reports that low reported LIBOR rates are masking a high level of credit stratification. It appears that – to nobody’s surprise – dubious loans were marked down too low during the crisis and buyers …<\/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-6645","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6645","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=6645"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6645\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6645"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6645"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6645"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}