September 27, 2007

Month-end woes have commenced and there will not be much commentary today. I’ll just have to refer loyal readers to my posts about the new BMO 5.25% Perp and the HIMIPref™ Indices for September 2001, as well as Moody’s Senate Committee testimony and S&P’s testimony. And besides, I don’t feel very productive.

But I’ll just take a quick moment to point out that US ABCP Outstanding dropped by another USD 17-billion in the past week – the rate of decrease is declining, but it is quite clear that delevering (or, perhaps, transfer to bank lines) is continuing.

The preferred share market had a lousy day, but productivity here at PrefBlog is so abysmal that you’re going to have to wait – until tomorrow, soonest, maybe later – for firm numbers. I note that the Claymore ETF is down a nickel on the day, or about 27bp.

I’ll do the volume table, but that’s it!

Volume Highlights
Issue Index Volume Notes
BMO.PR.J PerpetualDiscount 229,050 Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.45 and a limitMaturity.
BAM.PR.B Floater 120,600 RBC crossed 50,000 at 24.30, then an internal cross of 65,000 at the same price.
IGM.PR.A OpRet 66,746 RBC processed an internal cross of 65,000 at 27.00. Now with a pre-tax bid-YTW of 3.55% based on a bid of 26.91 and a call 2009-07-30 at 26.00.
PWF.PR.L PerpetualDiscount 44,485 RBC crossed two lots of 15,000 each at 24.30.Now with a pre-tax bid-YTW of 5.35% based on a bid of 24.20 and a limitMaturity.
TD.PR.O PerpetualDiscount 33,107 Scotia crossed 20,000 at 24.45. Now with a pre-tax bid-YTW of 5.20% based on a bid of 23.66 and a limitMaturity.

There were seventeen other $25-equivalent index-included issues trading over 10,000 shares today.

Update 2007-09-28:

Whoosh! The perpetualDiscount index is now at its lowest level since the trough of mid-June and has re-priced itself so that it is now even-yield with the recent new issues!

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
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.70% 4.66% 1,020,197 15.91 1 0.0000% 1,043.7
Fixed-Floater 4.86% 4.76% 94,918 15.87 8 +0.0869% 1,035.5
Floater 4.49% 3.82% 84,157 10.81 3 -0.2856% 1,046.0
Op. Retract 4.85% 3.82% 77,547 3.23 15 +0.0352% 1,028.2
Split-Share 5.16% 4.93% 96,876 3.83 13 -0.3095% 1,043.7
Interest Bearing 6.31% 6.62% 66,262 4.26 3 -0.0345% 1,039.8
Perpetual-Premium 5.56% 5.35% 90,827 8.93 24 -0.2381% 1,022.3
Perpetual-Discount 5.20% 5.24% 241,245 14.69 38 -0.9521% 958.7
Major Price Changes
Issue Index Change Notes
TD.PR.O PerpetualDiscount -3.8602% Now with a pre-tax bid-YTW of 5.20% based on a bid of 23.66 and a limitMaturity.
BNS.PR.M PerpetualDiscount -2.8871% Now with a pre-tax bid-YTW of 5.15% based on a bid of 22.20 and a limitMaturity.
MFC.PR.B PerpetualDiscount -2.5257% Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.77 and a limitMaturity.
RY.PR.A PerpetualDiscount -2.4713% Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.10 and a limitMaturity.
BNS.PR.L PerpetualDiscount -2.2747% Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.34 and a limitMaturity.
SLF.PR.D PerpetualDiscount -2.1133% Now with a pre-tax bid-YTW of 5.14% based on a bid of 21.77 and a limitMaturity.
SLF.PR.C PerpetualDiscount -2.0455% Now with a pre-tax bid-YTW of 5.18% based on a bid of 21.55 and a limitMaturity.
CM.PR.H PerpetualDiscount -2.0443% Now with a pre-tax bid-YTW of 5.21% based on a bid of 23.00 and a limitMaturity.
CM.PR.J PerpetualDiscount -2.0000% Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.05 and a limitMaturity.
BNA.PR.C SplitShare -2.0000% Now with a pre-tax bid-YTW of 6.12% based on a bid of 21.56 and a hardMaturity 2019-1-10 at 25.00.
GWO.PR.I PerpetualDiscount -1.6173% Now with a pre-tax bid-YTW of 5.16% based on a bid of 21.90 and a limitMaturity.
HSB.PR.D PerpetualPremium (for now!) -1.6077% Now with a pre-tax bid-YTW of 5.12% based on a bid of 24.48 and a limitMaturity.
RY.PR.W PerpetualDiscount -24.34% Now with a pre-tax bid-YTW of 5.08% based on a bid of 24.34 and a limitMaturity.
ELF.PR.F PerpetualPremium (for now!) -1.4000% Now with a pre-tax bid-YTW of 5.47% based on a bid of 24.65 and a limitMaturity.
HSB.PR.C PerpetualPremium -1.3355% Now with a pre-tax bid-YTW of 5.25% based on a bid of 22.38 and a limitMaturity.
BMO.PR.H PerpetualPremium -1.2891% Now with a pre-tax bid-YTW of 5.19% based on a bid of 25.27 and a limitMaturity.
SLF.PR.E PerpetualDiscount -1.1989% Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.25 and a limitMaturity.
BMO.PR.J PerpetualDiscount =1.1884% Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.45 and a limitMaturity.
RY.PR.D PerpetualDiscount =1.1863% Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.49 and a limitMaturity.
BAM.PR.M PerpetualDiscount -1.1392% Now with a pre-tax bid-YTW of 5.99% based on a bid of 19.96 and a limitMaturity.
BAM.PR.H OpRet -1.0555% Now with a pre-tax bid-YTW of 5.47% based on a bid of 25.31 and a softMaturity 2012-3-30 at 25.00.
CIU.PR.A PerpetualDiscount +1.0348% Now with a pre-tax bid-YTW of 5.42% based on a bid of 21.48 and a limitMaturity.
BAM.PR.G FixFloat +2.5534%  

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