{"id":2318,"date":"2008-06-26T23:02:06","date_gmt":"2008-06-27T03:02:06","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2318"},"modified":"2008-06-26T23:02:06","modified_gmt":"2008-06-27T03:02:06","slug":"june-26-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2318","title":{"rendered":"June 26, 2008"},"content":{"rendered":"

Tireless researchers in PrefBlog’s Department of Things That Don’t Really Make a Whole Lot of Sense have been looking at the various Commerce issues lately…<\/p>\n

\n\n\n\n\n\n\n\n\n\n\n
CM Perpetuals<\/td>\n<\/tr>\n
Issue<\/td>\nDividend<\/td>\nQuote<\/td>\nPre-Tax
Bid-YTW<\/td>\n<\/tr>\n
CM.PR.J<\/td>\n1.125<\/td>\n17.63-83<\/td>\n6.39%<\/td>\n<\/tr>\n
CM.PR.I<\/td>\n1.175<\/td>\n18.70-79<\/td>\n6.29%<\/td>\n<\/tr>\n
CM.PR.H<\/td>\n1.200<\/td>\n19.07-19<\/td>\n6.30%<\/td>\n<\/tr>\n
CM.PR.G<\/td>\n1.350<\/td>\n21.51-73<\/td>\n6.28%<\/td>\n<\/tr>\n
CM.PR.P<\/td>\n1.375<\/td>\n22.22-43<\/td>\n6.17%<\/td>\n<\/tr>\n
CM.PR.E<\/td>\n1.400<\/td>\n23.01-48<\/td>\n6.08%<\/td>\n<\/tr>\n
CM.PR.D<\/td>\n1.4375<\/td>\n23.40-62<\/td>\n6.14%<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

So not only do we have the slope of the yields being in the wrong direction (see my articles on Convexity<\/a> and Perpetual Hockey Sticks<\/a>) but … doesn’t the spread seem a little … er … extreme<\/i> to anybody? It’s almost as much as the spread on Westons that attracted comment last year<\/a>!<\/p>\n

The best performance of the day came from HPF.PR.B, which closed at 10.50-74, 12×23 … up 4.79% bid\/bid. All 8,800 shares traded were bought by Nesbitt … could this be related to the Annual Retraction<\/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>\n4.24%<\/td>\n3.86%<\/td>\n47,881<\/td>\n0.08<\/td>\n1<\/td>\n+0.3842%<\/td>\n1,118.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.81%<\/td>\n4.54%<\/td>\n62,504<\/td>\n16.21<\/td>\n7<\/td>\n+0.0801%<\/td>\n1,046.0<\/td>\n<\/tr>\n
Floater<\/td>\n4.09%<\/td>\n4.09%<\/td>\n71,448<\/td>\n17.23<\/td>\n2<\/td>\n+0.2008%<\/td>\n936.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.89%<\/td>\n2.93%<\/td>\n216,362<\/td>\n2.84<\/td>\n16<\/td>\n-0.0278%<\/td>\n1,051.8<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.34%<\/td>\n5.79%<\/td>\n66,490<\/td>\n4.14<\/td>\n15<\/td>\n-0.0705%<\/td>\n1,045.6<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.14%<\/td>\n4.15%<\/td>\n46,926<\/td>\n2.01<\/td>\n3<\/td>\n+0.2346%<\/td>\n1,121.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n5.93%<\/td>\n4.61%<\/td>\n332,503<\/td>\n10.32<\/td>\n13<\/td>\n-0.2470%<\/td>\n1,013.7<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n5.98%<\/td>\n6.03%<\/td>\n221,554<\/td>\n13.86<\/td>\n59<\/td>\n-0.3069%<\/td>\n881.6<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualDiscount<\/td>\n-3.5426%<\/td>\nNow with a pre-tax bid-YTW of 6.28% based on a bid of 21.51 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n-2.0408%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 18.72 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-2.1951%<\/td>\nNow with a pre-tax bid-YTW of 6.09% based on a bid of 20.05 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.0556%<\/td>\nNow with a pre-tax bid-YTW of 6.39% based on a bid of 17.63 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-2.0408%<\/td>\nNow with a pre-tax bid-YTW of 5.98% based on a bid of 24.00 and a softMaturity<\/a> 2013-6-30 at 25.00.<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.9483%<\/td>\nNow with a pre-tax bid-YTW of 6.01% based on a bid of 23.15 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.8200%<\/td>\nNow with a pre-tax bid-YTW of 5.84% based on a bid of 19.42 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.8037%<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 23.41 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.6216%<\/td>\nNow with a pre-tax bid-YTW of 5.86% based on a bid of 20.02 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n-1.5271%<\/td>\nNow with a pre-tax bid-YTW of 6.29% based on a bid of 18.70 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n-1.1386%<\/td>\nNow with a pre-tax bid-YTW of 5.97% based on a bid of 19.97 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.1134%<\/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 7.45% based on a bid of 19.54 and a hardMaturity 2019-1-10 at 25.00.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.0909%<\/td>\nNow with a pre-tax bid-YTW of 5.99% based on a bid of 19.04 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualDiscount<\/td>\n-1.0843%<\/td>\nNow with a pre-tax bid-YTW of 5.78% based on a bid of 24.63 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.0545%<\/td>\nNow with a pre-tax bid-YTW of 6.19% based on a bid of 22.65 and a limitMaturity.<\/td>\n<\/tr>\n
STW.PR.A<\/td>\nInterestBearing<\/td>\n+1.0945%<\/td>\nAsset coverage of 1.8+:1 as of June 19, according to Middlefield<\/a>. Now with a pre-tax bid-YTW of 5.30% based on a bid of 10.01 and a call 2009-1-31 at 10.00.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n+1.3656%<\/td>\nNow with a pre-tax bid-YTW of 6.08% based on a bid of 23.01 and a limitMaturity.<\/td>\n<\/tr>\n
SBC.PR.A<\/td>\nSplitShare<\/td>\n+1.3958%<\/td>\nAsset coverage of just under 2.1:1 as of June 19, according to Brompton Group<\/a>. Now with a pre-tax bid-YTW of 4.88% based on a bid of 10.13 and a hardMaturity 2012-11-30 at 10.00.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n+1.4957%<\/td>\nNow with a pre-tax bid-YTW of 5.89% based on a bid of 19.00 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n+1.5287%<\/td>\nNow with a pre-tax bid-YTW of 6.03% based on a bid of 23.91 and a softMaturity 2018-3-30 at 25.00.<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n+1.7975%<\/td>\nNow with a pre-tax bid-YTW of 5.66% based on a bid of 21.22 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
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n68,350<\/td>\nAnonymous bought 36,000 from Nesbitt at 21.15. Now with a pre-tax bid-YTW of 5.83% based on a bid of 21.17 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n47,919<\/td>\nRBC crossed 34,100 at 19.60. Now with a pre-tax bid-YTW of 5.84% based on a bid of 19.40 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n45,970<\/td>\nRBC crossed 37,800 at 20.10. Now with a pre-tax bid-YTW of 6.16% based on a bid of 20.00 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n44,575<\/td>\nRBC crossed 35,100 at 20.95. Now with a pre-tax bid-YTW of 6.06% based on a bid of 20.75 and a limitMaturity.<\/td>\n<\/tr>\n
ACO.PR.A<\/td>\nOpRet<\/td>\n42,220<\/td>\nCIBC crossed 41,900 at 26.55. Now with a pre-tax bid-YTW of 2.12% based on a bid of 26.55 and a call 2008-12-31 at 26.00.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Tireless researchers in PrefBlog’s Department of Things That Don’t Really Make a Whole Lot of Sense have been looking at the various Commerce issues lately… CM Perpetuals Issue Dividend Quote Pre-TaxBid-YTW CM.PR.J 1.125 17.63-83 6.39% …<\/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-2318","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2318","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=2318"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2318\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2318"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2318"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2318"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}