{"id":1625,"date":"2007-12-20T22:53:29","date_gmt":"2007-12-21T02:53:29","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1625"},"modified":"2007-12-20T22:53:29","modified_gmt":"2007-12-21T02:53:29","slug":"december-20-2007","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1625","title":{"rendered":"December 20, 2007"},"content":{"rendered":"

I’m sorry. I had witty & trenchant analysis planned, the secrets of the universe unveiled and was even going to tell you what the price of oil will be exactly one year hence … but now I’ve run out of time. So all you’re going to get is the links:<\/p>\n

Yet More Trouble for Bear?<\/a><\/p>\n

Lacker: Fed Auction’s Effect Unclear<\/a><\/p>\n

CEPR Policy Insight #18<\/a> (there will be a separate post devoted to this one … tomorrow?)<\/p>\n

MBIA Tumbles on $8.1 Billion of CDOs, Fitch Warning<\/a><\/p>\n

So How Did Morgan Stanley Lose That $9.4 \u00a0Billion<\/a><\/p>\n

Lessons from the North Atlantic Financial Crisis<\/a><\/p>\n

SunTrust Injects $1.4 Billion to Protect Money Funds<\/a><\/p>\n

Merrill’s Writedowns to Top $8 Billion, Analysts Say<\/a><\/p>\n

The alliance between China’s (nominally) communist government and Wall Street deepens … <\/a><\/p>\n

A Proposal for Reviving the Credit Markets<\/a><\/p>\n

Experts Weigh in on Merits of Fiscal Stimulus<\/a><\/p>\n

Whoosh! There’s a day and a half, for anybody keeping track! Preferreds were down again on the day, on heavy volume. The CIBC issues were extremely badly hurt, presumably on news of their subprime\/ACA problems discussed yesterday<\/a>, which may have been exacerbated by tax loss selling.<\/p>\n

There’s some interesting timing issues with the CIBC issues … the last day for tax-loss selling is December 24, and that is their ex-date for the current dividend … tomorrow, December 21, is their last cum-date. So … if you have such an issue you really want to sell, when do you sell it? Decisions, decisions …<\/p>\n

Remember the discussion of Weston yield spreads<\/a> that included a note that the CM.PR.? issues were trading with a yield spread of 11bp? That’s way, way, way out of date now. Looking solely at the bid-YTW of their PerpetualDiscount issues, I make the high yield 6.30% (CM.PR.I) and the low yield 5.91% (CM.PR.D)<\/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>\n5.13%<\/td>\n5.13%<\/td>\n83,476<\/td>\n15.22<\/td>\n2<\/td>\n+0.4326%<\/td>\n1,051.0<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.87%<\/td>\n5.07%<\/td>\n95,550<\/td>\n15.38<\/td>\n8<\/td>\n-0.1635%<\/td>\n1,024.0<\/td>\n<\/tr>\n
Floater<\/td>\n6.10%<\/td>\n6.12%<\/td>\n131,032<\/td>\n13.74<\/td>\n2<\/td>\n+1.0329%<\/td>\n790.8<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.88%<\/td>\n3.06%<\/td>\n86,884<\/td>\n3.29<\/td>\n16<\/td>\n+0.2399%<\/td>\n1,034.1<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.31%<\/td>\n5.43%<\/td>\n111,961<\/td>\n4.31<\/td>\n15<\/td>\n+0.1808%<\/td>\n1,027.6<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.36%<\/td>\n6.92%<\/td>\n67,495<\/td>\n3.66<\/td>\n4<\/td>\n-0.2503%<\/td>\n1,051.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.86%<\/td>\n5.63%<\/td>\n86,708<\/td>\n6.94<\/td>\n11<\/td>\n-0.5641%<\/td>\n1,007.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.61%<\/td>\n5.66%<\/td>\n395,551<\/td>\n14.39<\/td>\n55<\/td>\n-0.6695%<\/td>\n907.7<\/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\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
BAM.PR.G<\/td>\nFixFloat<\/td>\n-4.9974%<\/td>\n\u00a0<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n-4.8573%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-4.6967%<\/td>\nNow with a pre-tax bid-YTW of 6.27% based on a bid of 19.48 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-4.4388%<\/td>\nNow with a pre-tax bid-YTW of 6.11% based on a bid of 18.73 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualDiscount<\/td>\n-3.3755%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 22.90 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualDiscount<\/td>\n-3.3531%<\/td>\nNow with a pre-tax bid-YTW of 6.11% based on a bid of 22.77 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n-3.2635%<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 24.01 and a limitMaturity.<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.8708%<\/td>\nNow with a pre-tax bid-YTW of 5.73% based on a bid of 20.30 and a limitMaturity.<\/td>\n<\/tr>\n
CU.PR.A<\/td>\nPerpetualPremium<\/td>\n-2.4951%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 25.01 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.1277%<\/td>\nNow with a pre-tax bid-YTW of 6.20% based on a bid of 23.00 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.9531%<\/td>\nNow with a pre-tax bid-YTW of 6.18% based on a bid of 22.59 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.6949%<\/td>\nNow with a pre-tax bid-YTW of 5.62% based on a bid of 23.20 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.6585%<\/td>\nNow with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.6463%<\/td>\nNow with a pre-tax bid-YTW of 5.55% based on a bid of 23.30 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.5538%<\/td>\nNow with a pre-tax bid-YTW of 5.91% based on a bid of 24.71 and a limitMaturity.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n-1.5301%<\/td>\nAsset coverage of 1.6+:1 as of December 14, according to the company<\/a>. Now with a pre-tax bid-YTW of 7.89% (mostly as interest) based on a bid of 9.01 and a hardMaturity<\/a> 2015-3-31 at 10.00.<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.3333%<\/td>\nNow with a pre-tax bid-YTW of 5.49% based on a bid of 20.72 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.2566%<\/td>\nNow with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.J<\/td>\nOpRet<\/td>\n-1.2039%<\/td>\nNow with a pre-tax bid-YTW of 4.50% based on a bid of 25.44 and a softMaturity<\/a> 2013-7-30 at 25.00.<\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetualPremium<\/td>\n-1.1534%<\/td>\nNow with a pre-tax bid-YTW of 5.20% based on a bid of 25.71 and a call 2009-1-30 at 25.50 OR a call 2010-1-30 at 25.25.<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.1374%<\/td>\nNow with a pre-tax bid-YTW of 5.46% based on a bid of 20.86 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.0183%<\/td>\nAsset coverage of 3.7+:1 as of November 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 8.65% based on a bid of 17.65 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (5.99% to 2010-9-30) and BNA.PR.B (7.49% to 2016-3-25).<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.0422%<\/td>\nNow with a pre-tax bid-YTW of 5.45% based on a bid of 20.89 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+1.0091%<\/td>\nAsset coverage of just under 2.0:1 as of December 13 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 5.20% based on a bid of 10.01 and a hardMaturity 2011-6-30 at 10.00.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.0947%<\/td>\nNow with a pre-tax bid-YTW of 5.57% based on a bid of 24.01 and a limitMaturity.<\/td>\n<\/tr>\n
SBN.PR.A<\/td>\nSplitShare<\/td>\n+1.1000%<\/td>\nAsset coverage of 2.3+:1 as of December 13, according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 5.08% based on a bid of 10.11 and a hardMaturity 2014-12-1 at 10.00.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.1682%<\/td>\nNow with a pre-tax bid-YTW of 5.55% based on a bid of 21.65 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+1.3356%<\/td>\nNow with a pre-tax bid-YTW of 5.48% based on a bid of 24.28 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n+1.3426%<\/td>\nNow with a pre-tax bid-YTW of 5.55% based on a bid of 20.38 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n+1.7585%<\/td>\n\u00a0<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.9250%<\/td>\nNow with a pre-tax bid-YTW of 5.60% based on a bid of 20.65 and a limitMaturity.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+1.9901%<\/td>\nAsset coverage of 2.4+:1 as of December 13 according to Brompton<\/a>. Now with a pre-tax bid-YTW of 4.98% based on a bid of 10.25 and a hardMaturity 2013-11-29 at 10.00.<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n+2.0494%<\/td>\nNow with a pre-tax bid-YTW of 5.73% based on a bid of 24.40 and a softMaturity 2018-3-30 at 25.00.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\n\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
IQW.PR.C<\/td>\nScraps (would be OpRet, but there are credit concerns)<\/td>\n419,634<\/td>\nIn default.<\/td>\n<\/tr>\n
IQW.PR.D<\/td>\nScraps (would be PerpetualDiscount, but there are credit concerns)<\/td>\n198,225<\/td>\nIn default.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n126,630<\/td>\nNow with a pre-tax bid-YTW of 5.47% based on a bid of 20.43 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n99,502<\/td>\nNow with a pre-tax bid-YTW of 5.60% based on a bid of 21.30 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n90,390<\/td>\nNow with a pre-tax bid-YTW of 5.64% based on a bid of 20.16 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n88,340<\/td>\nNow with a pre-tax bid-YTW of 5.48% based on a bid of 20.63 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n79,080<\/td>\nNow with a pre-tax bid-YTW of 6.75% based on a bid of 17.69 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n76,164<\/td>\nNow with a pre-tax bid-YTW of 5.36% based on a bid of 21.32 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

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

I’m sorry. I had witty & trenchant analysis planned, the secrets of the universe unveiled and was even going to tell you what the price of oil will be exactly one year hence … but …<\/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-1625","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1625","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=1625"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1625\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1625"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1625"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1625"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}