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% | |