{"id":2510,"date":"2008-07-25T21:36:02","date_gmt":"2008-07-26T01:36:02","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=2510"},"modified":"2008-07-25T21:36:02","modified_gmt":"2008-07-26T01:36:02","slug":"july-25-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=2510","title":{"rendered":"July 25, 2008"},"content":{"rendered":"

PerpetualDiscounts had a good strong day on light volume: up 0.41% to finish just short of the July 10 level. They are now down a mere 4.24% on the month; yield 6.37% or 8.92% interest-equivalent at the standard 1.4x equivalency factor; long corporates<\/a> continue to yield 6.2%, so the spread is now 272bp.<\/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>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\n0<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Fixed-Floater<\/td>\n4.68%<\/td>\n4.39%<\/td>\n67,557<\/td>\n16.33<\/td>\n6<\/td>\n+0.1243%<\/td>\n1,085.5<\/td>\n<\/tr>\n
Floater<\/td>\n4.19%<\/td>\n4.22%<\/td>\n58,149<\/td>\n16.97<\/td>\n3<\/td>\n-1.3008%<\/td>\n880.0<\/td>\n<\/tr>\n
Op. Retract<\/td>\n4.99%<\/td>\n4.47%<\/td>\n134,727<\/td>\n3.26<\/td>\n17<\/td>\n+0.1054%<\/td>\n1,041.7<\/td>\n<\/tr>\n
Split-Share<\/td>\n5.37%<\/td>\n6.13%<\/td>\n61,157<\/td>\n4.50<\/td>\n14<\/td>\n+0.0991%<\/td>\n1,029.5<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n6.13%<\/td>\n5.90%<\/td>\n41,382<\/td>\n3.69<\/td>\n3<\/td>\n+0.2026%<\/td>\n1,122.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.14%<\/td>\n6.15%<\/td>\n70,640<\/td>\n10.67<\/td>\n4<\/td>\n+0.5314%<\/td>\n981.9<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.32%<\/td>\n6.37%<\/td>\n228,563<\/td>\n13.39<\/td>\n67<\/td>\n+0.4139%<\/td>\n840.0<\/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
BAM.PR.B<\/td>\nFloater<\/td>\n-2.1164%<\/td>\n <\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n-2.0319%<\/td>\nNow with a pre-tax bid-YTW of 6.97% based on a bid of 20.25 and a limitMaturity<\/a>.<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-2.0313%<\/td>\n <\/td>\n<\/tr>\n
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n-1.9337%<\/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.J<\/td>\nPerpetualDiscount<\/td>\n-1.5285%<\/td>\nNow with a pre-tax bid-YTW of 6.77% based on a bid of 16.75 and a limitMaturity.<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetualDiscount<\/td>\n-1.2097%<\/td>\nNow with a pre-tax bid-YTW of 6.13% based on a bid of 24.50 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n+1.0107%<\/td>\nNow with a pre-tax bid-YTW of 6.33% based on a bid of 17.99 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n+1.0214%<\/td>\nNow with a pre-tax bid-YTW of 6.07% based on a bid of 21.76 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.C<\/td>\nPerpetualDiscount<\/td>\n+1.0799%<\/td>\nNow with a pre-tax bid-YTW of 6.16% based on a bid of 18.72 and a limitMaturity.<\/td>\n<\/tr>\n
TCA.PR.X<\/td>\nPerpetualDiscount<\/td>\n+1.0870%<\/td>\nNow with a pre-tax bid-YTW of 6.01% based on a bid of 46.50 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.1284%<\/td>\nNow with a pre-tax bid-YTW of 6.14% based on a bid of 21.51 and a limitMaturity.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+1.1284%<\/td>\nAsset coverage of 3.2+:1 as of June 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 8.73% based on a bid of 17.81 and a hardMaturity<\/a> 2019-1-10 at 25.00. Compare with BNA.PR.A (6.19% to 2010-9-30) and BNA.PR.B (8.52% to 2016-3-25).<\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.3187%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 23.05 and a limitMaturity. Trading through Royal Bank. Right.<\/td>\n<\/tr>\n
PWF.PR.H<\/td>\nPerpetualDiscount<\/td>\n+1.3636%<\/td>\nNow with a pre-tax bid-YTW of 6.74% based on a bid of 22.30 and a limitMaturity.<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetualDiscount<\/td>\n+1.6598%<\/td>\nNow with a pre-tax bid-YTW of 6.22% based on a bid of 24.50 and a limitMaturity.<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetualDiscount<\/td>\n+1.7908%<\/td>\nNow with a pre-tax bid-YTW of 6.53% based on a bid of 21.60 and a limitMaturity.<\/td>\n<\/tr>\n
GWO.PR.F<\/td>\nPerpetualDiscount<\/td>\n+1.7952%<\/td>\nNow with a pre-tax bid-YTW of 5.97% based on a bid of 24.95 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n+1.8216%<\/td>\nNow with a pre-tax bid-YTW of 6.47% based on a bid of 21.80 and a limitMaturity.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+2.3278%<\/td>\nNow with a pre-tax bid-YTW of 6.26% based on a bid of 21.10 and a limitMaturity.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n+2.6158%<\/td>\nNow with a pre-tax bid-YTW of 6.06% based on a bid of 18.83 and a limitMaturity.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n+3.0384%<\/td>\nNow with a pre-tax bid-YTW of 6.53% based on a bid of 19.33 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
SLF.PR.E<\/td>\nPerpetualDiscount<\/td>\n316,750<\/td>\nNesbitt crossed 300,000 at 17.75. Now with a pre-tax bid-YTW of 6.42% based on a bid of 17.75 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.B<\/td>\nPerpetualDiscount<\/td>\n46,195<\/td>\nRoyal crossed 25,000 at 19.10. Now with a pre-tax bid-YTW of 6.24% based on a bid of 18.87 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualDiscount<\/td>\n33,900<\/td>\nCIBC crossed 25,000 at 23.95. Now with a pre-tax bid-YTW of 5.88% based on a bid of 23.91 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n31,735<\/td>\nNesbitt crossed 18,000 at 16.20. See BAM.PR.M, below. Now with a pre-tax bid-YTW of 7.38% based on a bid of 16.33 and a limitMaturity.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n27,985<\/td>\nNesbitt crossed 18,000 at 16.50. See BAM.PR.N, above. This really looks like a tax-loss crystallization, but why the different prices? Is one fund being favoured over another? Now with a pre-tax bid-YTW of 7.35% based on a bid of 16.40 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

There were twelve other index-included $25-pv-equivalent issues trading over 10,000 shares today.<\/p>\n

Update, 2008-7-28<\/b>: Newly Assiduous Reader newtoprefs<\/i> comments that he<\/s> she<\/u> has been advised to sell BAM.PR.O short. I have uploaded the HIMIPref™ OpRet Index for 7\/25<\/a>. It is unclear to me why, if you were going to shortsell anything in this index (a big if, in my opinion, but what do I know?) AND you were going to shortsell one of the BAM issues … why wouldn’t you shortsell BAM.PR.I? The yield is 30bp lower than that of BAM.PR.O.<\/p>\n","protected":false},"excerpt":{"rendered":"

PerpetualDiscounts had a good strong day on light volume: up 0.41% to finish just short of the July 10 level. They are now down a mere 4.24% on the month; yield 6.37% or 8.92% interest-equivalent …<\/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-2510","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2510","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=2510"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/2510\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=2510"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=2510"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=2510"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}