{"id":7526,"date":"2009-08-11T22:16:43","date_gmt":"2009-08-12T02:16:43","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7526"},"modified":"2009-08-11T22:16:43","modified_gmt":"2009-08-12T02:16:43","slug":"august-11-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7526","title":{"rendered":"August 11, 2009"},"content":{"rendered":"

There’s an interesting bit of law being litigated<\/a>, regarding securitization and bankruptcy:<\/p>\n

Terms of the two Lehman transactions, named Dante after the entity that issued the notes, specify that investors have first claim on whatever money is available if Lehman defaults or goes bankrupt. While the U.K.-based contract favors the noteholders, U.S. bankruptcy law normally protects a debtor company\u2019s assets. Lehman is asking the bankruptcy judge to rule in its favor.<\/p>\n

Not Yet Tested<\/p>\n

Not yet tested is whether U.S. law permits the investors to use a written contract to give themselves priority claims after a bankruptcy. In the U.K., the related case was brought against Lehman and Bank of New York by a trustee for Australian noteholder Perpetual Trustee Co.<\/p>\n

Rating agencies could start to downgrade credit-linked notes if Peck says Lehman can take away assets protecting the investments, debt research firm CreditSights Inc. said in a July 12 report. Insulating such deals from bankruptcy \u201cforms the bedrock of securitization,\u201d CreditSights analyst Atish Kakodkar said in the report.<\/p><\/blockquote>\n

Comrade Obama announced today that Americans are too stupid to invest<\/a>:<\/p>\n

The main difference in the proposal from earlier outlines is a provision to \u201cbetter protect\u201d small municipalities and \u201cunsophisticated investors\u201d by limiting their eligibility to trade derivatives. The rest of the statement mirrors earlier proposals by asking Congress to impose higher capital and margin requirements, move most derivatives to regulated exchanges and clearinghouses and impose supervision over all dealers.
…<\/b>
Frank and Peterson\u2019s proposal also left open whether to ban trading of so-called naked credit-default swaps, which were designed to insure against the default of a company\u2019s bonds. Lawmakers and administration officials say the product has been abused by hedge funds and other investors who used them to speculate on the likelihood of a company\u2019s collapse.<\/p>\n

Naked contracts or positions are those in which the buyer doesn\u2019t own the underlying asset or stock on which the trading is based.<\/p>\n

Frank told reporters last month that he supports proposals to restrict derivatives sales to municipalities.<\/p><\/blockquote>\n

Soon all shorting will be illegal, and then everything will always go up!<\/p>\n

DBRS downgraded some MAV2 notes today<\/a> (MAV2 is the reincarnation of ABCP):<\/p>\n

Negative rating migration in the underlying asset interests, particularly in CDO transactions with relatively low levels of credit enhancement, has increased the required enhancement level for the Notes to above that commensurate with the \u201cA\u201d rating assigned on January 21, 2009. Numerous reference entities have been downgraded (in some cases by more than ten notches), resulting in higher probabilities of default for the CDO asset interests. Monoline downgrades in particular have put pressure on the rating of the Notes. Any future deterioration in the credit quality of monoline insurers may lead to further ratings action. Figure 1 below lists the most notable downgrades of reference entities since January 1, 2009. In addition, a number of credit events, coupled with historically low realized recoveries, have reduced enhancement levels available to the CDO transactions. Figure 2 below lists the credit events and International Swaps and Derivatives Association (ISDA) protocol recoveries since January 1, 2009. These factors have resulted in a rapid deterioration in the credit quality of certain CDO asset interests.<\/p><\/blockquote>\n

Preferreds continued their winning ways today (this is the tenth consecutive trading day of gains for PerpetualDiscounts, over the course of which they have gained 4.81%) amidst continued heavy volume.<\/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>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.4845 %<\/td>\n1,306.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n6.40 %<\/td>\n4.65 %<\/td>\n48,443<\/td>\n17.73<\/td>\n1<\/td>\n3.0303 %<\/td>\n2,400.7<\/td>\n<\/tr>\n
Floater<\/td>\n3.49 %<\/td>\n3.49 %<\/td>\n123,724<\/td>\n18.50<\/td>\n2<\/td>\n1.4845 %<\/td>\n1,631.7<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n-7.78 %<\/td>\n139,776<\/td>\n0.09<\/td>\n15<\/td>\n0.3517 %<\/td>\n2,266.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n5.71 %<\/td>\n6.47 %<\/td>\n93,891<\/td>\n4.10<\/td>\n3<\/td>\n0.1970 %<\/td>\n2,034.3<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.3517 %<\/td>\n2,072.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.74 %<\/td>\n5.26 %<\/td>\n73,591<\/td>\n2.65<\/td>\n4<\/td>\n0.3093 %<\/td>\n1,865.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.85 %<\/td>\n5.89 %<\/td>\n173,199<\/td>\n14.03<\/td>\n67<\/td>\n0.1544 %<\/td>\n1,754.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.50 %<\/td>\n4.05 %<\/td>\n512,040<\/td>\n4.15<\/td>\n40<\/td>\n0.0083 %<\/td>\n2,100.6<\/td>\n<\/tr>\n<\/table>\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
W.PR.H<\/td>\nPerpetual-Discount<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 22.43
\nEvaluated at bid price : 23.07
\nBid-YTW : 6.00 %<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n1.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 11.36
\nEvaluated at bid price : 11.36
\nBid-YTW : 3.49 %<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetual-Discount<\/td>\n1.53 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 22.07
\nEvaluated at bid price : 22.52
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 11.20
\nEvaluated at bid price : 11.20
\nBid-YTW : 3.55 %<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.57 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2012-10-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.20
\nBid-YTW : 5.90 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n2.43 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 23.33
\nEvaluated at bid price : 23.62
\nBid-YTW : 5.99 %<\/td>\n<\/tr>\n
MFC.PR.A<\/td>\nOpRet<\/td>\n2.52 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2015-12-18
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.43
\nBid-YTW : 3.22 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n2.76 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 19.01
\nEvaluated at bid price : 19.01
\nBid-YTW : 6.15 %<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixedFloater<\/td>\n3.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 25.00
\nEvaluated at bid price : 17.00
\nBid-YTW : 4.65 %<\/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
MFC.PR.D<\/td>\nFixedReset<\/td>\n279,261<\/td>\nRBC crossed 266,400 at 27.80. Nice ticket!
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.90
\nBid-YTW : 4.25 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n187,631<\/td>\nRBC crossed 183,000 at 20.30.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 20.31
\nEvaluated at bid price : 20.31
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetual-Discount<\/td>\n88,141<\/td>\nRBC crossed 84,000 at 24.65.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 24.41
\nEvaluated at bid price : 24.63
\nBid-YTW : 5.72 %<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetual-Discount<\/td>\n69,796<\/td>\nRBC crossed 25,000 at 20.34, then 22,200 at 20.36.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 20.27
\nEvaluated at bid price : 20.27
\nBid-YTW : 6.01 %<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetual-Discount<\/td>\n69,545<\/td>\nTD crossed 45,000 at 21.70.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 21.40
\nEvaluated at bid price : 21.68
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Premium<\/td>\n66,735<\/td>\nNesbitt crossed 50,000 at 25.00.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-08-11
\nMaturity Price : 24.74
\nEvaluated at bid price : 24.96
\nBid-YTW : 5.82 %<\/td>\n<\/tr>\n
There were 39 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

There’s an interesting bit of law being litigated, regarding securitization and bankruptcy: Terms of the two Lehman transactions, named Dante after the entity that issued the notes, specify that investors have first claim on whatever …<\/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-7526","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7526","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=7526"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7526\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7526"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7526"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7526"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}