{"id":2169,"date":"2008-05-20T20:53:16","date_gmt":"2008-05-21T00:53:16","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2169"},"modified":"2008-05-20T20:53:16","modified_gmt":"2008-05-21T00:53:16","slug":"may-20-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2169","title":{"rendered":"May 20, 2008"},"content":{"rendered":"

Sorry folks! Today was boring on the news front AND I was busy, so there’s no macro-level commentary. Accrued Interest<\/i> wrote a good piece on How Safe are the GSEs?<\/a>.<\/p>\n

Strength in the Floating Rate sector continues to astound; they’re really coming back a lot from their extreme depths. I don’t think it has anything to do with the credit, because the BAM perpetuals are still bumping along without any huge gains. PerpetualDiscounts are doing well, but this is simply in line with long corporates, which have returned +1.44% in the month to 5\/20<\/a>.<\/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>\n4.75%<\/td>\n4.78%<\/td>\n47,734<\/td>\n15.94<\/td>\n1<\/td>\n-0.2820%<\/td>\n1,080.6<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.69%<\/td>\n4.58%<\/td>\n65,517<\/td>\n16.13<\/td>\n7<\/td>\n-0.6110%<\/td>\n1,069.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.07%<\/td>\n4.11%<\/td>\n61,380<\/td>\n17.14<\/td>\n2<\/td>\n+0.8898%<\/td>\n927.8<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.83%<\/td>\n2.61%<\/td>\n89,192<\/td>\n2.53<\/td>\n15<\/td>\n-0.0766%<\/td>\n1,056.0<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.25%<\/td>\n5.44%<\/td>\n69,956<\/td>\n4.17<\/td>\n13<\/td>\n+0.2382%<\/td>\n1,059.2<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.10%<\/td>\n5.99%<\/td>\n53,940<\/td>\n3.81<\/td>\n3<\/td>\n+0.4044%<\/td>\n1,111.9<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.89%<\/td>\n5.71%<\/td>\n136,790<\/td>\n5.80<\/td>\n9<\/td>\n+0.0573%<\/td>\n1,021.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.65%<\/td>\n5.69%<\/td>\n298,053<\/td>\n14.03<\/td>\n63<\/td>\n+0.0898%<\/td>\n927.9<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
BCE.PR.Z<\/td>\nFixFloat<\/td>\n-1.4517%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.3878%<\/td>\nNow with a pre-tax bid-YTW of 5.42% based on a bid of 24.16 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+1.0309%<\/td>\nAsset coverage of just under 1.8:1 as of May 16, according to Brookfield Funds<\/a>. Now with a pre-tax bid-YTW of 6.62% (mostly as interest) based on a bid of 9.80 and a hardMaturity<\/a> 2015-3-31 at 10.00.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+1.1543%<\/td>\nNow with a pre-tax bid-YTW of 6.25% based on a bid of 19.28 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+1.2309%<\/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
PWF.PR.K<\/td>\nPerpetualDiscount<\/td>\n79,425<\/td>\nNesbitt crossed 75,000 at 22.24. Now with a pre-tax bid-YTW of 5.66% based on a bid of 22.09 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetualDiscount<\/td>\n75,110<\/td>\nCIBC crossed 50,000 at 24.95. Now with a pre-tax bid-YTW of 5.71% based on a bid of 24.95 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualDiscount (for now!)<\/td>\n60,650<\/td>\nNow with a pre-tax bid-YTW of 5.69% based on a bid of 25.05 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualPremium<\/td>\n52,550<\/td>\nNesbitt crossed 50,000 at 25.30. Now with a pre-tax bid-YTW of 5.80% based on a bid of 25.30 and a call 2012-5-30 at 25.00.<\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetualDiscount<\/td>\n51,800<\/td>\nNesbitt crossed 50,000 at 25.25. Now with a pre-tax bid-YTW of 5.71% based on a bid of 25.25 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Sorry folks! Today was boring on the news front AND I was busy, so there’s no macro-level commentary. Accrued Interest wrote a good piece on How Safe are the GSEs?. Strength in the Floating Rate …<\/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-2169","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2169","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=2169"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2169\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2169"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2169"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2169"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}