{"id":2247,"date":"2008-06-11T23:41:40","date_gmt":"2008-06-12T03:41:40","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2247"},"modified":"2008-06-11T23:41:40","modified_gmt":"2008-06-12T03:41:40","slug":"june-11-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2247","title":{"rendered":"June 11, 2008"},"content":{"rendered":"

The post BIS Quarterly Review Deprecates ABX Benchmark for SubPrime<\/a> has been updated to make it a little less cryptic.<\/p>\n

Wouldn’t you know it! Just when I’m idiotically busy, Accrued Interest<\/i> comes up with two good posts:How are Bonds Quoted?<\/a> (great primer material) and LIBOR our only hope? No … there is another!<\/a> which introduces ICAP<\/a>, sponsored by ICAP PLC<\/a> the “world’s biggest inter-dealer broker”<\/a>. So no summaries for you, guys, I’m too busy. I hope to have escaped the current crush in about a week.<\/p>\n

It was clobbering time again in the preferred share market, with Sunlife issues being hit particularly hard, just as they were on June 9<\/a>. I confess that I don’t know what has been causing this … there doesn’t appear to be any news of note and the common stock isn’t doing anything too alarming.<\/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>\n4.14%<\/td>\n3.86%<\/td>\n51,724<\/td>\n0.08<\/td>\n1<\/td>\n+0.1182%<\/td>\n1,114.1<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.91%<\/td>\n4.65%<\/td>\n61,047<\/td>\n16.08<\/td>\n7<\/td>\n+0.3801%<\/td>\n1,020.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.04%<\/td>\n4.04%<\/td>\n66,206<\/td>\n17.37<\/td>\n2<\/td>\n+1.3532%<\/td>\n946.6<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.84%<\/td>\n2.30%<\/td>\n86,355<\/td>\n2.64<\/td>\n15<\/td>\n-0.0331%<\/td>\n1,057.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.29%<\/td>\n5.57%<\/td>\n70,859<\/td>\n4.18<\/td>\n15<\/td>\n-0.3525%<\/td>\n1,050.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.08%<\/td>\n6.03%<\/td>\n47,157<\/td>\n3.79<\/td>\n3<\/td>\n+0.0002%<\/td>\n1,120.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.86%<\/td>\n4.62%<\/td>\n396,056<\/td>\n8.80<\/td>\n13<\/td>\n-0.0144%<\/td>\n1,023.3<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.76%<\/td>\n5.82%<\/td>\n223,813<\/td>\n14.15<\/td>\n59<\/td>\n-0.3716%<\/td>\n910.5<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-3.7468%<\/td>\nNow with a pre-tax bid-YTW of 5.87% based on a bid of 19.01 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n-2.7475%<\/td>\nNow with a pre-tax bid-YTW of 5.87% based on a bid of 20.53 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n-2.5653%<\/td>\nAsset coverage of just under 3.6:1 as of May 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 8.17% based on a bid of 20.51 and a hardMaturity<\/a> 2016-3-25 at 25.00. Compare with BNA.PR.A (5.86% to 2010-9-30) and BNA.PR.C (6.81% to 2019-1-10).<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.4102%<\/td>\nNow with a pre-tax bid-YTW of 5.77% based on a bid of 20.65 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.7653%<\/td>\nNow with a pre-tax bid-YTW of 6.04% based on a bid of 18.92 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n-2.0619%<\/td>\nNow with a pre-tax bid-YTW of 5.88% based on a bid of 19.00 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.9867%<\/td>\nWent ex-dividend today … looks like the price over-compensated! Now with a pre-tax bid-YTW of 5.97% based on a bid of 21.45 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.6288%<\/td>\nNow with a pre-tax bid-YTW of 5.64% based on a bid of 19.93 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.6569%<\/td>\nNow with a pre-tax bid-YTW of 6.04% based on a bid of 20.18 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n-1.5984%<\/td>\nNow with a pre-tax bid-YTW of 5.73% based on a bid of 19.70 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.3605%<\/td>\nNow with a pre-tax bid-YTW of 5.93% based on a bid of 21.75 and a limitMaturity.<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetualPremium<\/td>\n-1.1811%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 25.10 and a call 2012-7-1 at 25.00.<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetualDiscount<\/td>\n-1.0435%<\/td>\nNow with a pre-tax bid-YTW of 5.82% based on a bid of 22.76 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.0127%<\/td>\nNow with a pre-tax bid-YTW of 5.77% based on a bid of 19.55 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n+1.0941%<\/td>\n <\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.1219%<\/td>\nNow with a pre-tax bid-YTW of 5.82% based on a bid of 19.83 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\nFixFloat<\/td>\n+1.1379%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+2.8199%<\/td>\nWent ex-dividend today, but the price went up anyway!<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
NTL.PR.G<\/td>\nScraps (Would be Ratchet, but there are credit concerns)<\/td>\n176,800<\/td>\n <\/td>\n<\/tr>\n
NTL.PR.F<\/td>\nScraps (Would be Ratchet, but there are credit concerns)<\/td>\n142,942<\/td>\nCIBC crossed 100,000 at 11.00.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n113,135<\/td>\nNesbitt crossed 50,000 at 22.36; National Bank crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.51% based on a bid of 22.32 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n56,890<\/td>\nNow with a pre-tax bid-YTW of 5.63% based on a bid of 19.96 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n49,200<\/td>\nNow with a pre-tax bid-YTW of 5.65% based on a bid of 21.01 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualPremium<\/td>\n46,300<\/td>\nNow with a pre-tax bid-YTW of 5.70% based on a bid of 25.13 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualPremium<\/td>\n42,507<\/td>\n“Anonymous” bought 40,000 from RBC in five tranches, all at 25.10 … not necessarily the same “anonymous”. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.10 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

The post BIS Quarterly Review Deprecates ABX Benchmark for SubPrime has been updated to make it a little less cryptic. Wouldn’t you know it! Just when I’m idiotically busy, Accrued Interest comes up with two …<\/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-2247","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2247","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=2247"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2247\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2247"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2247"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2247"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}