{"id":1395,"date":"2007-10-31T21:39:56","date_gmt":"2007-11-01T01:39:56","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1395"},"modified":"2007-10-31T21:39:56","modified_gmt":"2007-11-01T01:39:56","slug":"october-31-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1395","title":{"rendered":"October 31, 2007"},"content":{"rendered":"

American GDP grew at an annualized rate of 3.9% in the third quarter<\/a>, but economists were not impressed<\/a>. On a positive note, ADP Employment data<\/a> was stronger than expected, which implies that next Friday’s jobs number shouldn’t be disastrous, at any event.<\/p>\n

In other words: we’re confused<\/em>! So what else is new?<\/p>\n

The Fed cut to 4.50% today<\/a>, as expected. When the market is unanimous, the Fed usually listens<\/a>. Accrued Interest<\/em> looks to the future and sees the potential for future cuts<\/a> measured in terms of bank rescue rather than broader inflation\/economic concerns.<\/p>\n

The more things change … in 1993, the US had the steepest yield curve since the Civil War<\/a>, as the Fed was busy bailing out the banks’ profitability (this was in the aftermath to the S&L crisis, remember). Then, in 1994, the music suddenly stopped and Orange County, among others, couldn’t find a chair<\/a>. It will be most interesting to see how this cycle unfolds!<\/p>\n

Well, thank heavens that month’s over! There have been a huge variation of the returns in the HIMIPref\u2122 indices over the past month and the fund<\/a> was unfortunate enough to have identified a broad pricing discrepency just as the panic got started. Returns this month are not a complete disaster, I hasten to add, but will have underperformed the index.<\/p>\n

Mind you, the yield on the fund’s holdings is now well above the index and credit quality is great … so the faster that things normalize, the happier I’ll be! Results should be published on Saturday November 3, or Sunday at the latest.<\/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>\n4.96%<\/td>\n4.91%<\/td>\n404,090<\/td>\n15.52<\/td>\n1<\/td>\n0.0000%<\/td>\n1,049.2<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.91%<\/td>\n4.82%<\/td>\n98,002<\/td>\n15.84<\/td>\n7<\/td>\n-0.0519%<\/td>\n1,041.1<\/td>\n<\/tr>\n
Floater<\/td>\n4.52%<\/td>\n4.54%<\/td>\n65,688<\/td>\n16.27<\/td>\n3<\/td>\n-0.1234%<\/td>\n1,039.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.87%<\/td>\n3.82%<\/td>\n79,227<\/td>\n3.44<\/td>\n15<\/td>\n+0.0956%<\/td>\n1,026.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.17%<\/td>\n4.99%<\/td>\n86,527<\/td>\n4.10<\/td>\n15<\/td>\n+0.3344%<\/td>\n1,043.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.23%<\/td>\n6.22%<\/td>\n61,028<\/td>\n3.59<\/td>\n4<\/td>\n-0.1501%<\/td>\n1,062.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.71%<\/td>\n5.60%<\/td>\n104,069<\/td>\n8.73<\/td>\n17<\/td>\n+0.2043%<\/td>\n1,006.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.58%<\/td>\n5.62%<\/td>\n321,198<\/td>\n14.48<\/td>\n47<\/td>\n+0.2649%<\/td>\n905.0<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.5492%<\/td>\nNow with a pre-tax bid-YTW of 6.09% based on a bid of 19.70 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.0363%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 21.01 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.0482%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 24.10 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.0502%<\/td>\nNow with a pre-tax bid-YTW of 5.70% based on a bid of 22.13 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualPremium (for now!)<\/td>\n+1.0850%<\/td>\nEx-Dividend today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 24.94 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n+1.1759%<\/td>\nNow with a pre-tax bid-YTW of 5.62% based on a bid of 21.51 and a limitMaturity.<\/td>\n<\/tr>\n
FTU.PR.A<\/td>\nSplitShare<\/td>\n+1.1964%<\/td>\nAsset coverage of just under 2.0:1 according to the Company<\/a>. Now with a pre-tax bid-YTW of 4.93% based on a bid of 10.15 and a hardMaturity<\/a> 2012-12-1 at 10.00.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+1.4602%<\/td>\nNow with a pre-tax bid-YTW of 5.66% based on a bid of 20.15 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+1.6900%<\/td>\nNow with a pre-tax bid-YTW of 6.47% based on a bid of 21.06 and a hardMaturity 2019-1-10 at 25.00.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualPremium<\/td>\n+1.7066%<\/td>\nNow with a pre-tax bid-YTW of 5.80% based on a bid of 25.03 and a call 2012-6-14 at 25.00.<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
GWO.PR.X<\/td>\nOpRet<\/td>\n100,629<\/td>\nDesjardins crossed 30,000 at 26.61, then another 70,000 at 26.65. Now with a pre-tax bid-YTW of 3.76% based on a bid of 26.50 and a softMaturity<\/a> 2013-9-29 at 25.00.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n95,846<\/td>\nNow with a pre-tax bid-YTW of 5.71% based on a bid of 19.95 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n85,590<\/td>\nDesjardins crossed 25,000 at 20.00, then Scotia crossed 50,000 at the same price. Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.70 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n82,000<\/td>\nNow with a pre-tax bid-YTW of 5.57% based on a bid of 20.36 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n70,040<\/td>\nNow with a pre-tax bid-YTW of 5.41% based on a bid of 20.85 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were thirty other index-included $25.00-equivalent issues trading over 10,000 shares today.\n<\/p>\n

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

American GDP grew at an annualized rate of 3.9% in the third quarter, but economists were not impressed. On a positive note, ADP Employment data was stronger than expected, which implies that next Friday’s jobs …<\/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-1395","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1395","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=1395"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1395\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1395"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1395"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1395"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}