{"id":2282,"date":"2008-06-19T20:15:54","date_gmt":"2008-06-20T00:15:54","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2282"},"modified":"2008-06-19T20:15:54","modified_gmt":"2008-06-20T00:15:54","slug":"june-19-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2282","title":{"rendered":"June 19, 2008"},"content":{"rendered":"

Accrued Interest<\/i> has posted a good piece about CDS clearing<\/a> and exposures; I have added the link to my discussion of his prior post on the issue<\/a>.<\/p>\n

OSFI has, essentially, banned “Global Market Disruption” lines of credit<\/a>, which have been much discussed since non-bank ABCP sponsors found out just how little liquidity they actually provided. Banned? Well, not in so many words. But the credit conversion factor is now the same as a guaranteed line; therefore, the cost to the bank (in terms of capital when the line’s undrawn) will be the same; therefore it seems highly unlikely that anybody will ever want one. It’s an interesting issue and OSFI has included a fair bit of discussion with the advisory. I’ll try to review the rule change … soon!<\/p>\n

Practically a return to good times today … PerpetualDiscounts were down only 40bp! Their pre-tax bid-YTW now averages 6.09%; at the standard factor of 1.4x, this is equivalent to 8.53% interest. Those feverishly updating their historical yield spread graphs<\/a> will note that 30-year Canadas are now at 4.18% and long Corporates at a little over 6.10% … so call Canadas\/Corporates at 195bp and preferreds\/corporates at 240. This is a thoroughly bizarre market.<\/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>\n4.19%<\/td>\n4.20%<\/td>\n53,460<\/td>\n17.02<\/td>\n1<\/td>\n0.0000%<\/td>\n1,115.0<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n5.01%<\/td>\n4.80%<\/td>\n61,685<\/td>\n15.90<\/td>\n7<\/td>\n-1.1266%<\/td>\n998.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.02%<\/td>\n4.02%<\/td>\n70,782<\/td>\n17.39<\/td>\n2<\/td>\n+0.7315%<\/td>\n951.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.85%<\/td>\n2.52%<\/td>\n87,648<\/td>\n2.55<\/td>\n15<\/td>\n-0.0097%<\/td>\n1,055.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.31%<\/td>\n5.67%<\/td>\n69,455<\/td>\n4.15<\/td>\n15<\/td>\n-0.2410%<\/td>\n1,048.1<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.09%<\/td>\n3.56%<\/td>\n48,552<\/td>\n2.02<\/td>\n3<\/td>\n-0.0327%<\/td>\n1,124.1<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.96%<\/td>\n4.81%<\/td>\n366,149<\/td>\n11.08<\/td>\n13<\/td>\n-0.1660%<\/td>\n1,007.2<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.02%<\/td>\n6.09%<\/td>\n222,572<\/td>\n13.74<\/td>\n59<\/td>\n-0.3954%<\/td>\n871.9<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BCE.PR.C<\/td>\nFixFloat<\/td>\n-3.9721%<\/td>\n <\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-3.3168%<\/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 7.44% based on a bid of 19.53 and a hardMaturity<\/a> 2019-1-10 at 25.00. Compare with BNA.PR.A (6.16% to 2010-9-30) and BNA.PR.B (8.49% to 2016-3-25).<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.8243%<\/td>\nNow with a pre-tax bid-YTW of 6.22% based on a bid of 18.58 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-2.6697%<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 21.51 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n-2.5597%<\/td>\n <\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n-2.2047%<\/td>\nNow with a pre-tax bid-YTW of 6.17% based on a bid of 23.51 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n-2.1778%<\/td>\nNow with a pre-tax bid-YTW of 6.07% based on a bid of 22.01 and a limitMaturity.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n-2.0619%<\/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 7.11% based on a bid of 9.50 and a hardMaturity 2011-6-30 at 10.00 … 9.95% interest-equivalent for three year money isn’t all that bad!<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-1.3901%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.2953%<\/td>\nNow with a pre-tax bid-YTW of 6.01% based on a bid of 19.05 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.1759%<\/td>\nNow with a pre-tax bid-YTW of 6.10% based on a bid of 21.01 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.1596%<\/td>\nNow with a pre-tax bid-YTW of 6.40% based on a bid of 17.90 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n-1.1329%<\/td>\nNow with a pre-tax bid-YTW of 6.37% based on a bid of 19.20 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetualDiscount<\/td>\n-1.1294%<\/td>\nNow with a pre-tax bid-YTW of 6.18% based on a bid of 21.01 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-1.0748%<\/td>\nNow with a pre-tax bid-YTW of 5.76% based on a bid of 23.01 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.0521%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 18.81 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualDiscount<\/td>\n-1.0309%<\/td>\nNow with a pre-tax bid-YTW of 6.17% based on a bid of 24.00 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-1.0114%<\/td>\n <\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n-1.0048%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 20.69 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n-1.1634%<\/td>\nNow with a pre-tax bid-YTW of 6.77% based on a bid of 20.00 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.2301%<\/td>\nNow with a pre-tax bid-YTW of 6.10% based on a bid of 19.75 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n+1.5541%<\/td>\nNow with a pre-tax bid-YTW of 5.97% based on a bid of 18.95 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n+2.3661%<\/td>\nNow with a pre-tax bid-YTW of 6.08% based on a bid of 22.93 and a limitMaturity. A fine company. But why is it trading THROUGH the Sunlifes?<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n405,200<\/td>\nNesbitt crossed 400,000 shares in four tranches, all at 21.00. Now with a pre-tax bid-YTW of 5.82% based on a bid of 20.99 and a limitMaturity.<\/td>\n<\/tr>\n
NTL.PR.F<\/td>\nScraps (would be Ratchet, but there are credit concerns)<\/td>\n132,350<\/td>\nNesbitt crossed 20,000, Scotia crossed 50,000, Nesbitt repeated for 15,400 shares (and sold 4,600 to Scotia) and CIBC crossed 40,000 – all at 12.10.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n118,940<\/td>\nNow with a pre-tax bid-YTW of 6.01% based on a bid of 19.05 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n68,895<\/td>\nNow with a pre-tax bid-YTW of 6.14% based on a bid of 19.44 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualDiscount<\/td>\n55,955<\/td>\nCIBC crossed 50,000 at 22.20. Now with a pre-tax bid-YTW of 5.58% based on a bid of 22.19 and a limitMaturity.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n126,390<\/td>\nCIBC crossed 70,000 at 9.90, then Nesbitt crossed 50,000 at the same price. Asset coverage of just under 1.6:1 as of June 12, according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 5.25% based on a bid of 9.86 and a hardMaturity 2011-12-15 at 10.00.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Accrued Interest has posted a good piece about CDS clearing and exposures; I have added the link to my discussion of his prior post on the issue. OSFI has, essentially, banned “Global Market Disruption” lines …<\/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-2282","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2282","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=2282"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2282\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2282"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2282"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2282"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}