{"id":1993,"date":"2008-03-28T22:17:28","date_gmt":"2008-03-29T02:17:28","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=1993"},"modified":"2008-03-28T22:17:28","modified_gmt":"2008-03-29T02:17:28","slug":"march-28-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=1993","title":{"rendered":"March 28, 2008"},"content":{"rendered":"

No commentary today, I’m afraid! Month-end calls, with a shrill, unpleasant, voice!<\/p>\n

Besides, I’m sulking. All those comments for March 27<\/a> and nobody explained to me why, given prices for all the other instruments, CIT CDSs have to be so expensive. Feh.<\/p>\n

Apolcalyptionists will be thrilled to learn that we are within a whisker of deepening the peak-to-trough poor performance that I noted had set a record, March-November 2007<\/a>. From November 30 to February 29, CPD returned +3.33% … month to date it has returned -2.96%. Mind you, the peak-to-trough referred to the BMOCM-50 Index, which is not the same as the S&P\/TSX index referenced by CPD … but a bad day on Monday could make the Official Pain a year-long event.<\/p>\n

Overall, a down day on the market, but with lots of outliers. Volume was low.<\/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>\n5.37%<\/td>\n5.38%<\/td>\n31,478<\/td>\n14.89<\/td>\n2<\/td>\n-0.7049%<\/td>\n1,089.2<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.77%<\/td>\n5.41%<\/td>\n61,930<\/td>\n14.99<\/td>\n8<\/td>\n-0.4357%<\/td>\n1,044.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.92%<\/td>\n4.93%<\/td>\n77,480<\/td>\n15.63<\/td>\n2<\/td>\n+0.9826%<\/td>\n846.3<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.84%<\/td>\n4.14%<\/td>\n77,540<\/td>\n3.01<\/td>\n15<\/td>\n+0.0473%<\/td>\n1,048.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.40%<\/td>\n5.98%<\/td>\n93,141<\/td>\n4.11<\/td>\n14<\/td>\n-0.1498%<\/td>\n1,022.8<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.21%<\/td>\n6.31%<\/td>\n65,274<\/td>\n3.93<\/td>\n3<\/td>\n+0.0349%<\/td>\n1,090.8<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.81%<\/td>\n5.65%<\/td>\n244,637<\/td>\n10.13<\/td>\n17<\/td>\n-0.0048%<\/td>\n1,020.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.65%<\/td>\n5.69%<\/td>\n288,609<\/td>\n14.38<\/td>\n52<\/td>\n-0.1327%<\/td>\n917.6<\/td>\n<\/tr>\n<\/table>\n<\/div>\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.M<\/td>\nPerpetualDiscount<\/td>\n-2.7979%<\/td>\nNow with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BCE.PR.B<\/td>\nRatchet<\/td>\n-1.6563%<\/td>\n <\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixFloat<\/td>\n-1.6556%<\/td>\n <\/td>\n<\/tr>\n
FTU.PR.A<\/td>\nSplitShare<\/td>\n-1.6000%<\/td>\nAsset coverage of just under 1.4:1 as of March 14, according to the company<\/a>. Now with a pre-tax bid-YTW of 9.00% based on a bid of 8.61 and a hardMaturity<\/a> 2012-12-1 at 10.00. Seems to me that at these kinds of discounts to NAV, you can start analyzing the issue as an equity substitute and probably come out pretty well on the deal.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.5453%<\/td>\nNow with a pre-tax bid-YTW of 5.63% based on a bid of 22.30 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n-1.5045%<\/td>\nAsset coverage of 1.7+:1 as of March 20, according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 5.89% based on a bid of 9.82 and a hardMaturity 2011-6-30 at 10.00.<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-1.4523%<\/td>\n <\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.3825%<\/td>\nNow with a pre-tax bid-YTW of 5.70% based on a bid of 21.40 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.1350%<\/td>\nNow with a pre-tax bid-YTW of 5.89% based on a bid of 24.39 and a limitMaturity.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+1.0695%<\/td>\nAsset coverage of just under 1.6:1 as of March 27 according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 6.53% based on a bid of 9.45 and a hardMaturity 2011-12-15 at 10.00.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+1.9737%<\/td>\n <\/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
FAL.PR.H<\/td>\nPerpetualPremium<\/td>\n200,800<\/td>\nNesbitt crossed 150,000 at 25.10, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 5.32% based on a bid of 25.01 and a call 2008-4-30 at 25.00.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n165,140<\/td>\nCIBC crossed 150,000 at 9.30, then sold 10,000 to Scotia at 9.35. See above.<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualDiscount<\/td>\n40,847<\/td>\nNow with a pre-tax bid-YTW of 5.67% based on a bid of 24.89 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualDiscount<\/td>\n39,800<\/td>\nNational Bank crossed 20,000 at 25.20. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.15 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n31,270<\/td>\nNow with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were twelve other index-included $25-pv-equivalent issues trading over 10,000 shares today.<\/p>\n","protected":false},"excerpt":{"rendered":"

No commentary today, I’m afraid! Month-end calls, with a shrill, unpleasant, voice! Besides, I’m sulking. All those comments for March 27 and nobody explained to me why, given prices for all the other instruments, CIT …<\/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-1993","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1993","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=1993"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/1993\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=1993"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=1993"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=1993"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}