{"id":2277,"date":"2008-06-18T22:52:00","date_gmt":"2008-06-19T02:52:00","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2277"},"modified":"2008-06-18T22:52:00","modified_gmt":"2008-06-19T02:52:00","slug":"june-18-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2277","title":{"rendered":"June 18, 2008"},"content":{"rendered":"

Another thoroughly appalling day for the preferred share market. The dividend yield on PerpetualDiscounts is now 6.07%, equivalent to interest of 8.50%. Long Corporates are now at about 6.15%<\/a>, so the PerpetualDiscount Interest Equivalent spread to long corporates is now at a stunning 235bp, while the 30-year Canada is now at 4.15%. See Party Like It’s 1999!<\/a> for an illustration of why the PDIE spread is “stunning”.<\/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>\n4.18%<\/td>\n4.19%<\/td>\n51,627<\/td>\n17.00<\/td>\n1<\/td>\n-0.0393%<\/td>\n1,115.0<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.96%<\/td>\n4.72%<\/td>\n61,452<\/td>\n15.98<\/td>\n7<\/td>\n-0.3252%<\/td>\n1,010.2<\/td>\n<\/tr>\n
Floater<\/td>\n4.05%<\/td>\n4.05%<\/td>\n71,224<\/td>\n17.33<\/td>\n2<\/td>\n+0.5677%<\/td>\n945.0<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.85%<\/td>\n2.52%<\/td>\n87,437<\/td>\n2.56<\/td>\n15<\/td>\n-0.0942%<\/td>\n1,055.5<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.30%<\/td>\n5.61%<\/td>\n69,131<\/td>\n4.16<\/td>\n15<\/td>\n+0.0665%<\/td>\n1,050.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.09%<\/td>\n3.98%<\/td>\n48,952<\/td>\n2.03<\/td>\n3<\/td>\n+0.1004%<\/td>\n1,124.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.95%<\/td>\n4.82%<\/td>\n369,839<\/td>\n11.11<\/td>\n13<\/td>\n-0.3102%<\/td>\n1,008.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.00%<\/td>\n6.07%<\/td>\n222,203<\/td>\n13.78<\/td>\n59<\/td>\n-1.1154%<\/td>\n875.4<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n-4.2246%<\/td>\nNow with a pre-tax bid-YTW of 6.24% based on a bid of 17.91 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n-4.0732%<\/td>\nNow with a pre-tax bid-YTW of 6.16% based on a bid of 22.73 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-3.5000%<\/td>\nNow with a pre-tax bid-YTW of 6.00% based on a bid of 23.16 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n-3.0649%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 18.66 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.6510%<\/td>\nNow with a pre-tax bid-YTW of 6.24% based on a bid of 22.40 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n-2.4988%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 21.07 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetualDiscount<\/td>\n-2.2108%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 19.02 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.1730%<\/td>\nNow with a pre-tax bid-YTW of 6.34% based on a bid of 22.51 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n-2.1450%<\/td>\nNow with a pre-tax bid-YTW of 5.84% based on a bid of 22.81 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n-2.0533%<\/td>\nNow with a pre-tax bid-YTW of 6.88% based on a bid of 17.65 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.0103%<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 19.01 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualDiscount<\/td>\n-1.9512%<\/td>\nNow with a pre-tax bid-YTW of 6.31% based on a bid of 22.11 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.8528%<\/td>\nNow with a pre-tax bid-YTW of 5.97% based on a bid of 19.07 and a limitMaturity.<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.8480%<\/td>\nNow with a pre-tax bid-YTW of 6.05% based on a bid of 19.12 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.7312%<\/td>\nNow with a pre-tax bid-YTW of 5.93% based on a bid of 19.30 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.6811%<\/td>\nNow with a pre-tax bid-YTW of 5.93% based on a bid of 19.30 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n-1.6451%<\/td>\nNow with a pre-tax bid-YTW of 7.14% based on a bid of 16.74 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.5768%<\/td>\nNow with a pre-tax bid-YTW of 6.02% based on a bid of 19.35 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.3965%<\/td>\nNow with a pre-tax bid-YTW of 6.85% based on a bid of 19.77 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.3492%<\/td>\nNow with a pre-tax bid-YTW of 5.92% based on a bid of 19.01 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.3326%<\/td>\nNow with a pre-tax bid-YTW of 5.91% based on a bid of 19.25 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n-1.2848%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.2314%<\/td>\nNow with a pre-tax bid-YTW of 5.69% based on a bid of 23.26 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.2225%<\/td>\nNow with a pre-tax bid-YTW of 5.79% based on a bid of 20.20 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.2152%<\/td>\nNow with a pre-tax bid-YTW of 6.18% based on a bid of 19.51 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.2066%<\/td>\nNow with a pre-tax bid-YTW of 6.05% based on a bid of 19.65 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.1942%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 19.03 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n-1.1846%<\/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 8.60% based on a bid of 20.02 and a hardMaturity<\/a> 2016-3-25 at 25.00. Compare with BNA.PR.A (6.18% to 2010-9-30) and BNA.PR.C (7.01% to 2019-1-10).<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n-1.1771%<\/td>\nNow with a pre-tax bid-YTW of 6.18% based on a bid of 19.31 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.1707%<\/td>\nNow with a pre-tax bid-YTW of 6.01% based on a bid of 20.26 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.1581%<\/td>\nNow with a pre-tax bid-YTW of 6.27% based on a bid of 19.63 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.1506%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 18.90 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.1304%<\/td>\n <\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.1111%<\/td>\nNow with a pre-tax bid-YTW of 6.14% based on a bid of 20.47 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.0825%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 22.11 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.0698%<\/td>\nNow with a pre-tax bid-YTW of 6.29% based on a bid of 19.42 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.0495%<\/td>\nNow with a pre-tax bid-YTW of 5.72% based on a bid of 19.80 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualDiscount<\/td>\n-1.0183%<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 24.30 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+1.0417%<\/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 6.34% based on a bid of 9.70 and a hardMaturity<\/a> 2011-6-30 at 10.00.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n+1.0455%<\/td>\nNow with a pre-tax bid-YTW of 6.03% based on a bid of 24.04 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+1.1702%<\/td>\n <\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualDiscount<\/td>\n+2.1296%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 22.06 and a limitMaturity.<\/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
BMO.PR.I<\/td>\nOpRet<\/td>\n162,000<\/td>\nAnonymous bought 122,000 from Nesbitt in six tranches at 25.20 … not necessarily the same “anonymous” for each tranche. Now with a pre-tax bid-YTW of -0.37% based on a bid of 25.18 and a call 2008-7-18 at 25.00.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualDiscount<\/td>\n149,975<\/td>\nNow with a pre-tax bid-YTW of 5.58% based on a bid of 22.20 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n101,200<\/td>\nDesjardins crossed 90,800 at 21.20. Now with a pre-tax bid-YTW of 5.77% based on a bid of 21.15 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n57,270<\/td>\nAnonymous bought 10,000 from Scotia at 19.45. Now with a pre-tax bid-YTW of 6.18% based on a bid of 19.31 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n45,700<\/td>\nNow with a pre-tax bid-YTW of 5.85% based on a bid of 21.07 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Another thoroughly appalling day for the preferred share market. The dividend yield on PerpetualDiscounts is now 6.07%, equivalent to interest of 8.50%. Long Corporates are now at about 6.15%, so the PerpetualDiscount Interest Equivalent spread …<\/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-2277","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2277","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=2277"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2277\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2277"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2277"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2277"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}