{"id":2400,"date":"2008-07-17T21:55:46","date_gmt":"2008-07-18T01:55:46","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2400"},"modified":"2008-07-17T21:55:46","modified_gmt":"2008-07-18T01:55:46","slug":"july-17-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2400","title":{"rendered":"July 17, 2008"},"content":{"rendered":"

There’s a story in Vanity Fair about the Bear Stearns collapse<\/a> – good reading! All fluff, of course, but entertaining fluff.<\/p>\n

Today’s factoid is the claim that US Financials have just experienced an 11-standard-deviation price move<\/a>. But don’t tell Merrill<\/a>!<\/p>\n

Speaking of multiple standard deviation events … PerpetualDiscounts didn’t lose money today! The last up-day was June 24; since then, there were sixteen consecutive down days, in the course of which PerpetualDiscounts lost 8.85% of their value, with the weighted-mean dividend yield increasing from 6.01% to 6.63%. I hope that’s some kind of record … all this pain has to be worth something! We shall now wait with bated breath to see whether today’s return represents a turning of the tide or a dead cat bounce.<\/p>\n

After the bounce, PerpetualDiscounts yield 6.56%, equivalent to 9.18% interest after the 1.4x conversion factor. Long corporates<\/a> ticked up to about 6.18%, so the Pre-Tax Interest Equivalent Spread is now about 300bp.<\/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>\n4.33%<\/td>\n3.95%<\/td>\n39,511<\/td>\n0.08<\/td>\n1<\/td>\n+0.000%<\/td>\n1,122.4<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.69%<\/td>\n4.42%<\/td>\n72,218<\/td>\n16.30<\/td>\n6<\/td>\n-0.5099%<\/td>\n1,082.8<\/td>\n<\/tr>\n
Floater<\/td>\n4.16%<\/td>\n4.19%<\/td>\n50,364<\/td>\n17.05<\/td>\n3<\/td>\n-0.7498%<\/td>\n885.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.99%<\/td>\n4.55%<\/td>\n150,496<\/td>\n3.13<\/td>\n17<\/td>\n+0.0064%<\/td>\n1,040.6<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.44%<\/td>\n6.66%<\/td>\n63,769<\/td>\n4.08<\/td>\n14<\/td>\n+0.5637%<\/td>\n1,016.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.13%<\/td>\n6.05%<\/td>\n43,167<\/td>\n3.72<\/td>\n3<\/td>\n+0.2048%<\/td>\n1,122.5<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.19%<\/td>\n6.19%<\/td>\n68,639<\/td>\n10.61<\/td>\n4<\/td>\n-0.5206%<\/td>\n973.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.50%<\/td>\n6.56%<\/td>\n236,355<\/td>\n13.13<\/td>\n67<\/td>\n+0.9720%<\/td>\n814.1<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-2.3578%<\/td>\n <\/td>\n<\/tr>\n
CU.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.1277%<\/td>\nNow with a pre-tax bid-YTW of 6.40% based on a bid of 23.00 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetualDiscount<\/td>\n-1.5707%<\/td>\nNow with a pre-tax bid-YTW of 5.93% based on a bid of 47.00 and a limitMaturity.<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-1.4583%<\/td>\n <\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-1.2243%<\/td>\nNow with a pre-tax bid-YTW of 6.42% based on a bid of 17.75 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualDiscount<\/td>\n-1.0864%<\/td>\nNow with a pre-tax bid-YTW of 7.46% based on a bid of 18.21 and a limitMaturity.<\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetualPremium<\/td>\n-1.0588%<\/td>\nNow with a pre-tax bid-YTW of 6.03% based on a bid of 25.23 and a call 2011-1-30 at 25.00.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-1.0556%<\/td>\nAsset coverage of 3.2+:1 as of June 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 8.70% based on a bid of 17.81 and a softMaturity<\/a> 2019-1-10 at 25.00. Compare with BNA.PR.A (6.22% to 2010-9-30) and BNA.PR.B (8.49% to 2016-3-25). <\/td>\n<\/tr>\n
BCE.PR.Z<\/td>\nFixFloat<\/td>\n-1.0412%<\/td>\n <\/td>\n<\/tr>\n
PWF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+1.0385%<\/td>\nNow with a pre-tax bid-YTW of 6.34% based on a bid of 23.35 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.0609%<\/td>\nNow with a pre-tax bid-YTW of 6.71% based on a bid of 18.10 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualDiscount<\/td>\n+1.1064%<\/td>\nNow with a pre-tax bid-YTW of 6.33% based on a bid of 23.76 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n+1.1236%<\/td>\nNow with a pre-tax bid-YTW of 6.91% based on a bid of 22.50 and a softMaturity<\/a> 2018-3-30 at 25.00. Compare with BAM.PR.H (6.43% to 2012-3-30), BAM.PR.I (6.16% to 2013-12-30) and BAM.PR.O (6.45% to 2013-6-30).<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualDiscount<\/td>\n+1.1349%<\/td>\nNow with a pre-tax bid-YTW of 6.07% based on a bid of 23.17 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n+1.1730%<\/td>\nNow with a pre-tax bid-YTW of 6.60% based on a bid of 17.25 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.G<\/td>\nPerpetualDiscount<\/td>\n+1.2325%<\/td>\nNow with a pre-tax bid-YTW of 6.35% based on a bid of 18.07 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualDiscount<\/td>\n+1.2742%<\/td>\nNow with a pre-tax bid-YTW of 6.35% based on a bid of 23.05 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n+1.2958%<\/td>\nNow with a pre-tax bid-YTW of 6.29% based on a bid of 17.98 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n+1.3514%<\/td>\nNow with a pre-tax bid-YTW of 6.75% based on a bid of 18.00 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n+1.3563%<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 19.43 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.3594%<\/td>\nNow with a pre-tax bid-YTW of 6.76% based on a bid of 18.64 and a limitMaturity.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n+1.4218%<\/td>\nNow with a pre-tax bid-YTW of 6.57% based on a bid of 19.26 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.C<\/td>\nPerpetualDiscount<\/td>\n+1.4741%<\/td>\nNow with a pre-tax bid-YTW of 6.85% based on a bid of 21.34 and a limitMaturity.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+1.4878%<\/td>\nAsset coverage of 1.5+:1 as of July 10, according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 6.42% based on a bid of 9.55 and a hardMaturity<\/a> 2011-12-15.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.6026%<\/td>\nNow with a pre-tax bid-YTW of 7.14% based on a bid of 15.85 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.6468%<\/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
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.6657%<\/td>\nNow with a pre-tax bid-YTW of 6.19% based on a bid of 18.31 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+1.7205%<\/td>\nNow with a pre-tax bid-YTW of 6.76% based on a bid of 19.51 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.7514%<\/td>\nNow with a pre-tax bid-YTW of 6.67% based on a bid of 18.01 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+1.7816%<\/td>\nNow with a pre-tax bid-YTW of 7.55% based on a bid of 17.71 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n+1.9608%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 18.20 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.G<\/td>\nPerpetualDiscount<\/td>\n+2.0291%<\/td>\nNow with a pre-tax bid-YTW of 6.71% based on a bid of 19.61 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.1053%<\/td>\nNow with a pre-tax bid-YTW of 6.17% based on a bid of 19.40 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.1108%<\/td>\nNow with a pre-tax bid-YTW of 6.09% based on a bid of 19.35 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n+2.6963%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 21.71 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.W<\/td>\nPerpetualDiscount<\/td>\n+2.7835%<\/td>\nNow with a pre-tax bid-YTW of 6.26% based on a bid of 19.94 and a limitMaturity.<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+2.9928%<\/td>\nAsset coverage of 2.1+:1 as of July 15 according to the company<\/a>. Now with a pre-tax bid-YTW of 5.36% based on a bid of 9.98 and a hardMaturity 2014-12-1.<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+3.0241%<\/td>\nNow with a pre-tax bid-YTW of 6.88% based on a bid of 20.10 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n+3.1450%<\/td>\nNow with a pre-tax bid-YTW of 7.28% based on a bid of 19.35 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n+3.1501%<\/td>\nNow with a pre-tax bid-YTW of 6.30% based on a bid of 18.01 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n+3.2934%<\/td>\nNow with a pre-tax bid-YTW of 6.52% based on a bid of 17.25 and a limitMaturity.<\/td>\n<\/tr>\n
SBC.PR.A<\/td>\nSplitShare<\/td>\n+3.6269%<\/td>\nAsset coverage of 1.9+:1 as of July 10, according to the company<\/a>. Now with a pre-tax bid-YTW of 5.29% based on a bid of 10.00 and a hardMaturity 2012-11-30 at 10.00.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+4.0462%<\/td>\nNow with a pre-tax bid-YTW of 6.81% based on a bid of 19.80 and a limitMaturity.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+4.9020%<\/td>\nNow with a pre-tax bid-YTW of 7.47% based on a bid of 16.05 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
CM.PR.A<\/td>\nOpRet<\/td>\n419,550<\/td>\nNesbit crossed 25,000 at 25.76 and 375,000 at 25.75. Now with a pre-tax bid-YTW of 2.00% based on a bid of 25.76 and a call 2008-11-30 at 25.75.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n56,682<\/td>\nNesbitt crossed 35,000 at 18.00. Now with a pre-tax bid-YTW of 6.31% based on a bid of 17.93 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetualDiscount<\/td>\n55,400<\/td>\nNesbitt crossed 50,000 at 23.05. Now with a pre-tax bid-YTW of 6.35% based on a bid of 23.05 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n52,750<\/td>\nNesbitt crossed 50,000 at 25.90. Now with a pre-tax bid-YTW of 3.90% based on a bid of 25.85 and a softMaturity 2014-1-30 at 25.00.<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n44,990<\/td>\nRBC bought 14,500 from Nesbitt at 15.75. Now with a pre-tax bid-YTW of 7.14% based on a bid of 15.85 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":"

There’s a story in Vanity Fair about the Bear Stearns collapse – good reading! All fluff, of course, but entertaining fluff. Today’s factoid is the claim that US Financials have just experienced an 11-standard-deviation price …<\/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-2400","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2400","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=2400"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2400\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2400"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2400"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2400"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}