{"id":9450,"date":"2010-01-19T20:16:41","date_gmt":"2010-01-20T00:16:41","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=9450"},"modified":"2010-01-19T20:16:41","modified_gmt":"2010-01-20T00:16:41","slug":"january-19-2009-2","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=9450","title":{"rendered":"January 19, 2009"},"content":{"rendered":"

The repo market for mortgage-backed securities is looking a lot healthier<\/a>:<\/p>\n

Wall Street firms are loosening the terms of their lending to mortgage-bond investors as markets heal, an RBS Securities Inc. executive said.<\/p>\n

Repurchase agreement, or repo, lending against the debt has expanded so much since freezing in late 2008 that some banks now offer as much as 10-to-1 leverage and terms as long as one year on certain securities backed by prime-jumbo home loans, said Scott Eichel, the Royal Bank of Scotland unit\u2019s global co-head of asset- and mortgage-backed securities.
…<\/b>
As asset values dropped during 2007 and 2008, leverage boosted losses, wiping out hedge funds run by London-based Peloton Partners LLP and New York-based Bears Stearns Cos., and damaged markets by leading to forced sales by firms including Santa Fe, New Mexico-based Thornburg Mortgage Inc., which filed for bankruptcy.<\/p><\/blockquote>\n

This is of particular interest because MBS have embedded put options reflecting the homeowner’s ability to refinance. This means that when yields on MBS – best reflected by the 10-year treasury – increase, the calculated average term of the mortgage increases, since nobody’s going to refinance a loan with a below-market coupon. To offset this, holders of MBS will short 10-year Treasuries … and the more prices go down, the more they have to short. During the bond market crash of 1994, 10-years behaved an awful lot more like long-term bonds than medium term!<\/p>\n

The SEC has found something that is not regulated and is proposing forceful action<\/a> to address the issue:<\/p>\n

The requirement that a brokerdealer\u2019s financial and regulatory risk management controls and procedures be reasonably designed to prevent the entry of orders that fail to comply with the specified conditions would necessarily require the controls be applied on an automated, pre-trade basis before orders route to an exchange or ATS, thereby effectively prohibiting the practice of \u201cunfiltered\u201d or \u201cnaked\u201d access to an exchange or ATS.<\/p><\/blockquote>\n

Volume was heavy today and FixedResets recorded another shut-out on the volume tables, probably related to tomorrow’s closing of the AER 6.50%+375<\/a> and BPO 6.15%+307<\/a> FixedReset issues. Price action was muted, with PerpetualDiscounts up 2bp and FixedResets down 2bp.<\/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>\n0.2344 %<\/td>\n1,704.4<\/td>\n<\/tr>\n
FixedFloater<\/td>\n5.78 %<\/td>\n3.86 %<\/td>\n34,923<\/td>\n19.20<\/td>\n1<\/td>\n0.0000 %<\/td>\n2,733.2<\/td>\n<\/tr>\n
Floater<\/td>\n2.30 %<\/td>\n2.63 %<\/td>\n108,219<\/td>\n20.71<\/td>\n3<\/td>\n0.2344 %<\/td>\n2,129.3<\/td>\n<\/tr>\n
OpRet<\/td>\n4.87 %<\/td>\n-0.72 %<\/td>\n114,398<\/td>\n0.09<\/td>\n13<\/td>\n-0.4518 %<\/td>\n2,307.5<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.36 %<\/td>\n-1.74 %<\/td>\n184,069<\/td>\n0.08<\/td>\n2<\/td>\n0.0878 %<\/td>\n2,113.0<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n-0.4518 %<\/td>\n2,110.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.80 %<\/td>\n5.69 %<\/td>\n148,317<\/td>\n6.94<\/td>\n12<\/td>\n-0.0695 %<\/td>\n1,891.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.73 %<\/td>\n5.73 %<\/td>\n177,565<\/td>\n14.24<\/td>\n63<\/td>\n0.0173 %<\/td>\n1,833.3<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.39 %<\/td>\n3.56 %<\/td>\n334,499<\/td>\n3.84<\/td>\n42<\/td>\n-0.0156 %<\/td>\n2,182.7<\/td>\n<\/tr>\n<\/table>\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
BAM.PR.J<\/td>\nOpRet<\/td>\n-2.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2018-03-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 5.11 %<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-1.95 %<\/td>\nYTW SCENARIO
\nMaturity Type : Option Certainty
\nMaturity Date\t: 2013-06-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.13
\nBid-YTW : 4.95 %<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n-1.24 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2010-10-30
\nMaturity Price : 25.25
\nEvaluated at bid price : 25.53
\nBid-YTW : 4.65 %<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetual-Premium<\/td>\n-1.16 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-01-19
\nMaturity Price : 24.52
\nEvaluated at bid price : 24.77
\nBid-YTW : 5.63 %<\/td>\n<\/tr>\n
IAG.PR.E<\/td>\nPerpetual-Premium<\/td>\n1.03 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2019-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.62
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetual-Discount<\/td>\n1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-01-19
\nMaturity Price : 20.42
\nEvaluated at bid price : 20.42
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
IAG.PR.C<\/td>\nFixedReset<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.31
\nBid-YTW : 3.80 %<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetual-Discount<\/td>\n1.25 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-01-19
\nMaturity Price : 20.25
\nEvaluated at bid price : 20.25
\nBid-YTW : 5.63 %<\/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
TRP.PR.A<\/td>\nFixedReset<\/td>\n184,700<\/td>\nScotia sold 18,500 to anonymous at 26.77.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2015-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.63
\nBid-YTW : 3.24 %<\/td>\n<\/tr>\n
GWO.PR.J<\/td>\nFixedReset<\/td>\n134,985<\/td>\nNesbitt crossed 50,000 at 28.13.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-01-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.90
\nBid-YTW : 3.00 %<\/td>\n<\/tr>\n
BAM.PR.R<\/td>\nFixedReset<\/td>\n122,050<\/td>\nRecent new issue<\/a>.
\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2040-01-19
\nMaturity Price : 23.22
\nEvaluated at bid price : 25.40
\nBid-YTW : 4.80 %<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n121,200<\/td>\nNesbit crossed blocks of 65,000 and 10,000, both at 26.30.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2013-09-14
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 3.70 %<\/td>\n<\/tr>\n
RY.PR.R<\/td>\nFixedReset<\/td>\n114,141<\/td>\nDesjardins crossed 19,900 at 28.00; Nesbitt crossed 25,000 at the same price; RBC crossed 50,000 at the same price again.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-03-26
\nMaturity Price : 25.00
\nEvaluated at bid price : 28.00
\nBid-YTW : 3.45 %<\/td>\n<\/tr>\n
HSB.PR.E<\/td>\nFixedReset<\/td>\n99,451<\/td>\nRBC crossed 20,000 at 28.00, bought 10,000 from anonymous at the same price and crossed 12,000 at 28.01. Desjardins crossed 10,000 at 28.00.
\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.95
\nBid-YTW : 3.89 %<\/td>\n<\/tr>\n
There were 58 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

The repo market for mortgage-backed securities is looking a lot healthier: Wall Street firms are loosening the terms of their lending to mortgage-bond investors as markets heal, an RBS Securities Inc. executive said. Repurchase agreement, …<\/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-9450","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9450","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=9450"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/9450\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=9450"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=9450"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=9450"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}