{"id":1162,"date":"2007-09-06T23:39:10","date_gmt":"2007-09-07T03:39:10","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1162"},"modified":"2007-09-06T23:39:10","modified_gmt":"2007-09-07T03:39:10","slug":"september-6-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1162","title":{"rendered":"September 6, 2007"},"content":{"rendered":"

Month-end is taking its dreaded toll … there will be no indices AGAIN today and precious little commentary.<\/p>\n

My sole comment for today is that DBRS<\/a> is sounding very defensive! They have released a “commentary” titled Rating Volatility in Structured Credit<\/em> and a press release titled DBRS Approach to Canadian ABCP Surveillance<\/em> – neither of which I can link to because ratings agencies, for all their good points, are complete dorks when it comes to public relations. So visit their web site and poke around for a few hours until you find their precious commentary.<\/p>\n

If we do manage to avoid government regulation and control of the credit ratings process –\u00a0the\u00a0prospect that fills me with dread – it won’t be because of the slick publicity campaign managed by the agencies, that’s for sure.<\/p>\n

The S&P<\/a> equivalent was published August 23 and titled Structured Finance Commentary<\/a>.<\/p>\n

\n\n\n\n\n\n\n\n\n\n
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.4410%<\/td>\nNow with a pre-tax bid-YTW of 5.02% based on a bid of 22.57 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-1.1475%<\/td>\n\u00a0<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.0503%<\/td>\nNow with a pre-tax bid-YTW of 4.98% based on a bid of 22.61 and a limitMaturity.<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.0989%<\/td>\nNow with a pre-tax bid-YTW of 5.00% based on a bid of 23.00 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n+1.1154%<\/td>\nNow with a pre-tax bid-YTW of 5.81% based on a bid of 20.85 and a limitMaturity. BAM.PR.N closed at 20.40-50.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n+1.5106%<\/td>\nNow with a pre-tax bid-YTW of 4.83% based on a bid of 23.52 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nVolume<\/td>\nNotes<\/td>\n<\/tr>\n
TD.PR.M<\/td>\nOpRet<\/td>\n102,400<\/td>\nNesbitt crossed 100,000 at 26.35. Now with a pre-tax bid-YTW of 3.94% based on a bid of 26.17 and a softMaturity<\/a> 2013-10-30 at 25.00.<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n101,665<\/td>\nNesbitt crossed 100,000 at 26.65. Now with a pre-tax bid-YTW of 3.49% based on a bid of 26.54 and a call 2009-10-30 at 26.00.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n83,850<\/td>\nRBC crossed 40,000 at 22.70, then another(?) 40,000 at the same price. Now with a pre-tax bid-YTW of 4.96% based on a bid of 22.68 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n57,400<\/td>\nNational Bank crossed 50,000 at 23.90. Now with a pre-tax bid-YTW of 4.93% based on a bid of 23.98 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n31,220<\/td>\nNow with a pre-tax bid-YTW of 4.83% based on a bid of 23.52 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were eleven other $25-equivalent index-included issues trading over 10,000 shares today.<\/p>\n

Update, 2007-09-07<\/strong><\/p>\n

\n\n\n\n\n\n\n\n\n\n\n\n
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<\/strong><\/td>\n<\/tr>\n
Index<\/td>\nMean Current Yield (at bid)<\/td>\nMean YTW<\/td>\nMean Average Trading Value<\/td>\nMean Mod Dur (YTW)<\/td>\nIssues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n4.95%<\/td>\n4.90%<\/td>\n1,875,505<\/td>\n15.53<\/td>\n1<\/td>\n0.0000%<\/td>\n1,043.7<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.87%<\/td>\n4.78%<\/td>\n109,627<\/td>\n15.82<\/td>\n8<\/td>\n-0.1107%<\/td>\n1,027.4<\/td>\n<\/tr>\n
Floater<\/td>\n4.45%<\/td>\n2.56%<\/td>\n89,455<\/td>\n10.65<\/td>\n4<\/td>\n+0.2857%<\/td>\n1,044.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.82%<\/td>\n3.61%<\/td>\n77,249<\/td>\n3.03<\/td>\n15<\/td>\n+0.1984%<\/td>\n1,028.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.12%<\/td>\n4.78%<\/td>\n102,166<\/td>\n3.90<\/td>\n13<\/td>\n+0.0391%<\/td>\n1,047.8<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.28%<\/td>\n6.84%<\/td>\n67,013<\/td>\n4.56<\/td>\n3<\/td>\n+0.1733%<\/td>\n1,032.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.47%<\/td>\n5.00%<\/td>\n92,141<\/td>\n5.71<\/td>\n24<\/td>\n+0.1507%<\/td>\n1,032.6<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.06%<\/td>\n5.10%<\/td>\n262,140<\/td>\n15.05<\/td>\n38<\/td>\n+0.2591%<\/td>\n981.5<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

<\/p>\n","protected":false},"excerpt":{"rendered":"

Month-end is taking its dreaded toll … there will be no indices AGAIN today and precious little commentary. My sole comment for today is that DBRS is sounding very defensive! They have released a “commentary” …<\/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-1162","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1162","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=1162"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1162\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1162"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1162"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1162"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}