{"id":1250,"date":"2007-09-27T20:45:14","date_gmt":"2007-09-28T00:45:14","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1250"},"modified":"2007-09-27T20:45:14","modified_gmt":"2007-09-28T00:45:14","slug":"september-27-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1250","title":{"rendered":"September 27, 2007"},"content":{"rendered":"

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<\/a>\u00a0and the HIMIPref\u2122 Indices for September 2001<\/a>, as well as\u00a0Moody’s Senate Committee testimony<\/a> and S&P’s testimony<\/a>. And besides, I don’t feel very productive<\/a>.<\/p>\n

But I’ll just take a quick moment to point out that US ABCP Outstanding<\/a> 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.<\/p>\n

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<\/a> on the day, or about 27bp.<\/p>\n

I’ll do the volume table, but that’s it!<\/p>\n

\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
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n229,050<\/td>\nNow with a pre-tax bid-YTW of 5.06% based on a bid of 22.45 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n120,600<\/td>\nRBC crossed 50,000 at 24.30, then an internal cross of 65,000 at the same price.<\/td>\n<\/tr>\n
IGM.PR.A<\/td>\nOpRet<\/td>\n66,746<\/td>\nRBC 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.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n44,485<\/td>\nRBC 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>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n33,107<\/td>\nScotia 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.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Update 2007-09-28<\/strong>:<\/p>\n

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!<\/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>\n4.70%<\/td>\n4.66%<\/td>\n1,020,197<\/td>\n15.91<\/td>\n1<\/td>\n0.0000%<\/td>\n1,043.7<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.86%<\/td>\n4.76%<\/td>\n94,918<\/td>\n15.87<\/td>\n8<\/td>\n+0.0869%<\/td>\n1,035.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.49%<\/td>\n3.82%<\/td>\n84,157<\/td>\n10.81<\/td>\n3<\/td>\n-0.2856%<\/td>\n1,046.0<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.85%<\/td>\n3.82%<\/td>\n77,547<\/td>\n3.23<\/td>\n15<\/td>\n+0.0352%<\/td>\n1,028.2<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.16%<\/td>\n4.93%<\/td>\n96,876<\/td>\n3.83<\/td>\n13<\/td>\n-0.3095%<\/td>\n1,043.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.31%<\/td>\n6.62%<\/td>\n66,262<\/td>\n4.26<\/td>\n3<\/td>\n-0.0345%<\/td>\n1,039.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.56%<\/td>\n5.35%<\/td>\n90,827<\/td>\n8.93<\/td>\n24<\/td>\n-0.2381%<\/td>\n1,022.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.20%<\/td>\n5.24%<\/td>\n241,245<\/td>\n14.69<\/td>\n38<\/td>\n-0.9521%<\/td>\n958.7<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n\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
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n-3.8602%<\/td>\nNow with a pre-tax bid-YTW of 5.20% based on a bid of 23.66 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n-2.8871%<\/td>\nNow with a pre-tax bid-YTW of 5.15% based on a bid of 22.20 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n-2.5257%<\/td>\nNow with a pre-tax bid-YTW of 5.14% based on a bid of 22.77 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.4713%<\/td>\nNow with a pre-tax bid-YTW of 5.09% based on a bid of 22.10 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n-2.2747%<\/td>\nNow with a pre-tax bid-YTW of 5.11% based on a bid of 22.34 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n-2.1133%<\/td>\nNow with a pre-tax bid-YTW of 5.14% based on a bid of 21.77 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-2.0455%<\/td>\nNow with a pre-tax bid-YTW of 5.18% based on a bid of 21.55 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.0443%<\/td>\nNow with a pre-tax bid-YTW of 5.21% based on a bid of 23.00 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.0000%<\/td>\nNow with a pre-tax bid-YTW of 5.10% based on a bid of 22.05 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-2.0000%<\/td>\nNow with a pre-tax bid-YTW of 6.12% based on a bid of 21.56 and a hardMaturity<\/a> 2019-1-10 at 25.00.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n-1.6173%<\/td>\nNow with a pre-tax bid-YTW of 5.16% based on a bid of 21.90 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.6077%<\/td>\nNow with a pre-tax bid-YTW of 5.12% based on a bid of 24.48 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualDiscount<\/td>\n-24.34%<\/td>\nNow with a pre-tax bid-YTW of 5.08% based on a bid of 24.34 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.4000%<\/td>\nNow with a pre-tax bid-YTW of 5.47% based on a bid of 24.65 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualPremium<\/td>\n-1.3355%<\/td>\nNow with a pre-tax bid-YTW of 5.25% based on a bid of 22.38 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualPremium<\/td>\n-1.2891%<\/td>\nNow with a pre-tax bid-YTW of 5.19% based on a bid of 25.27 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.1989%<\/td>\nNow with a pre-tax bid-YTW of 5.08% based on a bid of 22.25 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n=1.1884%<\/td>\nNow with a pre-tax bid-YTW of 5.06% based on a bid of 22.45 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetualDiscount<\/td>\n=1.1863%<\/td>\nNow with a pre-tax bid-YTW of 5.06% based on a bid of 22.49 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.1392%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 19.96 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n-1.0555%<\/td>\nNow with a pre-tax bid-YTW of 5.47% based on a bid of 25.31 and a softMaturity<\/a> 2012-3-30 at 25.00.<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.0348%<\/td>\nNow with a pre-tax bid-YTW of 5.42% based on a bid of 21.48 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.G<\/td>\nFixFloat<\/td>\n+2.5534%<\/td>\n\u00a0<\/td>\n<\/tr>\n<\/table>\n<\/div>\n","protected":false},"excerpt":{"rendered":"

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\u00a0and the HIMIPref\u2122 Indices for September 2001, as …<\/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-1250","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1250","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=1250"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1250\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1250"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1250"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1250"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}