{"id":7849,"date":"2009-09-09T23:32:37","date_gmt":"2009-09-10T03:32:37","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=7849"},"modified":"2009-09-09T23:32:37","modified_gmt":"2009-09-10T03:32:37","slug":"september-9-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=7849","title":{"rendered":"September 9, 2009"},"content":{"rendered":"

As far as I can make out, the National Association of Insurance Commissioners is reviewing their blind faith in credit ratings<\/a> while trying to make it look like the agencies’ fault:<\/p>\n

State insurance regulators scheduled a hearing to review the role of credit rating firms and whether changes are necessary after the companies gave top ratings to mortgage-linked securities that plunged in value.<\/p>\n

Representatives of ratings firms, insurance companies and pension funds will be invited to testify at the Sept. 24 hearing, acting New York Insurance Superintendent James Wrynn said today in an e-mailed statement. Wrynn and Michael McRaith of Illinois lead a group appointed by the National Association of Insurance Commissioners to evaluate watchdogs\u2019 reliance on the firms.
…<\/b>
\u201cThe hearing will examine the role of these credit rating agencies in the insurance regulatory system and what changes may be needed in light of the financial crisis,\u201d Wrynn\u2019s office said in the statement.<\/p><\/blockquote>\n

NAIC was last mentioned on PrefBlog on June 26<\/a> in connection with the hallowed practice of rating-shopping; whereby investors choose the most optimistic agency they can find, so that they can blame them for over-optimism if things don’t work out. To update that story, here’s the NAIC staff report on RealPoint<\/a>.<\/p>\n

A quiet day, price-wise, for the major sub-indices, with PerpetualDiscounts gaining 9bp total return, while FixedResets were down 2bp. This brings the yield on PerpetualDiscounts down to 5.74%, equivalent to 8.04% interest at the standard equivalency factor of 1.4x. Long Corporates<\/a> yield a smidgen under 6.0%, so the pre-tax interest-equivalent spread is now about 205bp, a slight (and possibly completely technical) narrowing from the 210bp recorded on September 2<\/a>.<\/p>\n

Volume continued to be OK.<\/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>\n1.1314 %<\/td>\n1,449.1<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.73 %<\/td>\n3.99 %<\/td>\n59,824<\/td>\n18.60<\/td>\n1<\/td>\n0.7427 %<\/td>\n2,681.7<\/td>\n<\/tr>\n
Floater<\/td>\n2.52 %<\/td>\n2.10 %<\/td>\n30,512<\/td>\n22.13<\/td>\n4<\/td>\n1.1314 %<\/td>\n1,810.4<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n-11.94 %<\/td>\n134,320<\/td>\n0.09<\/td>\n15<\/td>\n-0.0485 %<\/td>\n2,276.9<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.44 %<\/td>\n6.65 %<\/td>\n1,067,651<\/td>\n4.06<\/td>\n2<\/td>\n0.0444 %<\/td>\n2,053.9<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.0485 %<\/td>\n2,082.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.78 %<\/td>\n5.66 %<\/td>\n151,484<\/td>\n2.86<\/td>\n12<\/td>\n-0.0759 %<\/td>\n1,876.1<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.69 %<\/td>\n5.74 %<\/td>\n196,737<\/td>\n14.28<\/td>\n59<\/td>\n0.0908 %<\/td>\n1,804.8<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.50 %<\/td>\n4.08 %<\/td>\n465,825<\/td>\n4.10<\/td>\n40<\/td>\n-0.0185 %<\/td>\n2,105.6<\/td>\n<\/tr>\n<\/table>\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
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n-1.59 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 21.11
\nEvaluated at bid price : 21.11
\nBid-YTW : 6.40 %<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetual-Discount<\/td>\n-1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 19.21
\nEvaluated at bid price : 19.21
\nBid-YTW : 6.30 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.20 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 22.84
\nEvaluated at bid price : 23.86
\nBid-YTW : 5.55 %<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n-1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2011-07-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.71
\nBid-YTW : 5.05 %<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetual-Discount<\/td>\n-1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 19.51
\nEvaluated at bid price : 19.51
\nBid-YTW : 5.79 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 19.95
\nEvaluated at bid price : 19.95
\nBid-YTW : 5.67 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n1.06 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 12.45
\nEvaluated at bid price : 12.45
\nBid-YTW : 3.19 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 21.45
\nEvaluated at bid price : 21.75
\nBid-YTW : 5.76 %<\/td>\n<\/tr>\n
PWF.PR.A<\/td>\nFloater<\/td>\n1.13 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 18.81
\nEvaluated at bid price : 18.81
\nBid-YTW : 2.10 %<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n1.14 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2009-10-09
\nMaturity Price : 26.00
\nEvaluated at bid price : 26.56
\nBid-YTW : -15.07 %<\/td>\n<\/tr>\n
TRI.PR.B<\/td>\nFloater<\/td>\n1.34 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 18.85
\nEvaluated at bid price : 18.85
\nBid-YTW : 2.10 %<\/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
BAM.PR.K<\/td>\nFloater<\/td>\n242,610<\/td>\nNesbitt crossed 240,000 at 12.35. Nice ticket!
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-09-09
\nMaturity Price : 12.45
\nEvaluated at bid price : 12.45
\nBid-YTW : 3.19 %<\/td>\n<\/tr>\n
TD.PR.E<\/td>\nFixedReset<\/td>\n225,900<\/td>\nDesjardins crossed 165,000 at 27.80, then another 50,000 at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.81
\nBid-YTW : 3.84 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n78,370<\/td>\nDesjardins bought 67,900 from Commission Direct at 27.70.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.75
\nBid-YTW : 3.69 %<\/td>\n<\/tr>\n
CM.PR.L<\/td>\nFixedReset<\/td>\n56,370<\/td>\nNesbitt crossed 25,000 at 27.85, then bought 14,100 from National at the same price.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.84
\nBid-YTW : 4.05 %<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n43,330<\/td>\nNesbitt crossed 10,000 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.80
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
BMO.PR.O<\/td>\nFixedReset<\/td>\n37,400<\/td>\nNesbitt crossed 25,000 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-06-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.00
\nBid-YTW : 3.86 %<\/td>\n<\/tr>\n
There were 50 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

As far as I can make out, the National Association of Insurance Commissioners is reviewing their blind faith in credit ratings while trying to make it look like the agencies’ fault: State insurance regulators scheduled …<\/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-7849","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7849","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=7849"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/7849\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=7849"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=7849"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=7849"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}