{"id":2269,"date":"2008-06-17T20:34:20","date_gmt":"2008-06-18T00:34:20","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2269"},"modified":"2008-06-17T20:34:20","modified_gmt":"2008-06-18T00:34:20","slug":"june-17-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2269","title":{"rendered":"June 17, 2008"},"content":{"rendered":"

Again, busy!<\/p>\n

I did come up with another rationale for the current … drop, shall we say? … and have updated the Negative Convexity? Negative Schmonvexity!<\/a> post.<\/p>\n

Today was a horrible, horrible day for preferreds, with the market down sharply (as noted by Assiduous Reader lystgl<\/i> in the comments to “New Trough for Preferreds?”<\/a>) on sharply increased volume.<\/p>\n

For those keeping track, today wasn’t even the worst day this year for the PerpetualDiscount sector … that honour belongs to January 17<\/a>. Hmmm … 17th both times, eh? I wonder what a technical analyst would make of that?<\/p>\n

This drop is preferred-specific: the yield on the PerpetualDiscount index today was 6.00%, equivalent to 8.40% interest using a 1.4x conversion factor. Long Corporates<\/a> continue to yield a shade under 6.2%; the 220bp spread is out of the 190-210bp range that has been recently established.<\/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>\n4.17%<\/td>\n4.18%<\/td>\n51,736<\/td>\n17.00<\/td>\n1<\/td>\n+0.1180%<\/td>\n1,115.5<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.94%<\/td>\n4.69%<\/td>\n61,769<\/td>\n16.01<\/td>\n7<\/td>\n+0.4675%<\/td>\n1,013.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.08%<\/td>\n4.07%<\/td>\n68,873<\/td>\n17.28<\/td>\n2<\/td>\n-0.4366%<\/td>\n939.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.84%<\/td>\n2.46%<\/td>\n86,284<\/td>\n2.63<\/td>\n15<\/td>\n-0.1184%<\/td>\n1,056.5<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.30%<\/td>\n5.62%<\/td>\n68,991<\/td>\n4.16<\/td>\n15<\/td>\n+0.4487%<\/td>\n1,050.0<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.10%<\/td>\n4.67%<\/td>\n48,570<\/td>\n2.03<\/td>\n3<\/td>\n+0.4202%<\/td>\n1,123.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.92%<\/td>\n4.85%<\/td>\n375,476<\/td>\n11.13<\/td>\n13<\/td>\n-0.5984%<\/td>\n1,012.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.93%<\/td>\n6.00%<\/td>\n220,738<\/td>\n13.88<\/td>\n59<\/td>\n-1.2649%<\/td>\n885.3<\/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\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
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-4.3290%<\/td>\nNow with a pre-tax bid-YTW of 6.04% based on a bid of 22.10 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-4.0211%<\/td>\nNow with a pre-tax bid-YTW of 6.75% based on a bid of 20.05 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-3.7981%<\/td>\nNow with a pre-tax bid-YTW of 5.66% based on a bid of 20.01 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-3.1390%<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 21.60 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.8342%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 18.17 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualDiscount<\/td>\n-2.6063%<\/td>\nNow with a pre-tax bid-YTW of 6.13% based on a bid of 21.30 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-2.2530%<\/td>\nNow with a pre-tax bid-YTW of 7.06% based on a bid of 16.92 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n-2.2157%<\/td>\nNow with a pre-tax bid-YTW of 6.19% based on a bid of 19.86 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n-2.1983%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 22.69 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n-2.1277%<\/td>\nNow with a pre-tax bid-YTW of 7.02% based on a bid of 17.02 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n-2.0113%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 19.00 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.3514%<\/td>\nNow with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.9422%<\/td>\nNow with a pre-tax bid-YTW of 6.07% based on a bid of 20.70 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.9139%<\/td>\nNow with a pre-tax bid-YTW of 5.94% based on a bid of 20.50 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n-1.9015%<\/td>\nNow with a pre-tax bid-YTW of 5.87% based on a bid of 22.70 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.8849%<\/td>\nNow with a pre-tax bid-YTW of 5.91% based on a bid of 19.26 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualDiscount<\/td>\n-1.7857%<\/td>\nNow with a pre-tax bid-YTW of 6.18% based on a bid of 22.55 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.6912%<\/td>\nNow with a pre-tax bid-YTW of 6.73% based on a bid of 18.02 and a limitMaturity.<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.6658%<\/td>\nNow with a pre-tax bid-YTW of 5.93% based on a bid of 19.48 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n-1.6456%<\/td>\nNow with a pre-tax bid-YTW of 5.71% based on a bid of 23.31 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.6040%<\/td>\nNow with a pre-tax bid-YTW of 5.83% based on a bid of 19.63 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.6032%<\/td>\nNow with a pre-tax bid-YTW of 5.83% based on a bid of 19.64 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.6003%<\/td>\nNow with a pre-tax bid-YTW of 6.26% based on a bid of 22.75 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.5834%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 19.89 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.5728%<\/td>\nNow with a pre-tax bid-YTW of 5.80% based on a bid of 19.40 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.5206%<\/td>\nNow with a pre-tax bid-YTW of 5.77% based on a bid of 24.61 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualDiscount<\/td>\n-1.4967%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 21.06 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.4646%<\/td>\nNow with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.4536%<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 19.66 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.4286%<\/td>\nNow with a pre-tax bid-YTW of 6.11% based on a bid of 24.15 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualPremium (for now!)<\/td>\n-1.4056%<\/td>\nNow with a pre-tax bid-YTW of 5.79% based on a bid of 24.55 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.3205%<\/td>\nNow with a pre-tax bid-YTW of 5.86% based on a bid of 19.43 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.2807%<\/td>\nNow with a pre-tax bid-YTW of 5.84% based on a bid of 19.27 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.2579%<\/td>\nNow with a pre-tax bid-YTW of 5.61% based on a bid of 23.55 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.1910%<\/td>\nNow with a pre-tax bid-YTW of 6.07% based on a bid of 24.06 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.1097%<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 24.06 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.1086%<\/td>\nNow with a pre-tax bid-YTW of 6.16% based on a bid of 22.30 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.0748%<\/td>\nNow with a pre-tax bid-YTW of 6.19% based on a bid of 23.01 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.0323%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 23.01 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n-1.0309%<\/td>\nAsset coverage of just under 1.7:1 as of June 12 according to the company<\/a>. Now with a pre-tax bid-YTW of 6.71% based on a bid of 9.60 and a hardMaturity<\/a> 2011-6-30 at 10.00.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.0265%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 18.70 and a limitMaturity.<\/td>\n<\/tr>\n
FIG.PR.A<\/td>\nInterestBearing<\/td>\n+1.0562%<\/td>\nAsset coverage of just under 1.5:1 as of June 16, according to the company<\/a>. Now with a pre-tax bid-YTW of 2.33% (as interest) based on a bid of 10.01 and a call 2008-7-17 at 10.00.<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\nFixFloat<\/td>\n+1.0615%<\/td>\n <\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n+2.2222%<\/td>\n <\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+5.2493%<\/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 7.10% based on a bid of 20.05 and a hardMaturity<\/a> 2019-1-10 at 25.00. This is just a reversal of yesterday<\/a>‘s plunge, which overstated due to being calculated bid\/bid on a day on which bids evaporated. Compare with BNA.PR.A (6.17% to 2010-9-30) and BNA.PR.B (8.40% to 2016-3-25).<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n+6.46%<\/td>\nSee BNA.PR.C, above.<\/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
BMO.PR.I<\/td>\nOpRet<\/td>\n187,486<\/td>\nCIBC crossed 50,000 at 25.18, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 0.4398% based on a bid of 25.16 and a call 2008-7-17 at 25.00.<\/td>\n<\/tr>\n
NTL.PR.F<\/td>\nScraps (would be Ratchet Rate, but there are credit concerns)<\/td>\n153,675<\/td>\n <\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n134,200<\/td>\nNow with a pre-tax bid-YTW of 5.83% based on a bid of 19.51 and a limitMaturity.<\/td>\n<\/tr>\n
NTL.PR.G<\/td>\nScraps (would be Ratchet Rate, but there are credit concerns)<\/td>\n106,060<\/td>\n <\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n92,500<\/td>\nCIBC crossed 90,000 in two tranches at 22.34.<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\nFixFloat<\/td>\n71,650<\/td>\nCIBC crossed 70,300 at 22.85.<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetualPremium<\/td>\n57,549<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 25.00 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Again, busy! I did come up with another rationale for the current … drop, shall we say? … and have updated the Negative Convexity? Negative Schmonvexity! post. Today was a horrible, horrible day for preferreds, …<\/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-2269","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2269","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=2269"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2269\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2269"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2269"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2269"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}