{"id":3385,"date":"2008-10-14T22:31:51","date_gmt":"2008-10-15T02:31:51","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=3385"},"modified":"2008-10-14T22:31:51","modified_gmt":"2008-10-15T02:31:51","slug":"october-14-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=3385","title":{"rendered":"October 14, 2008"},"content":{"rendered":"

Whoosh! The Weekend Bank Rescues<\/a> had an effect all right! I think Assiduous Reader Annette<\/i> has it right: Banksgiving Moneyday.<\/p>\n

Accrued Interest<\/i> provides some interesting colour on financial spreads<\/a> while Across the Curve<\/i> counsels caution on Corporates<\/a>.<\/p>\n

Readers of a helpful bent are encourage to air their view on BAM credit quality<\/a>, where some concern is being expressed regarding the recent hammering of BAM’s issues. Like it? Don’t like it? Feel free to call me stupid, as long as you explain why.<\/p>\n

The Performers table is limited to those with an absolute change of 5% or greater, bid\/bid. Sorry, folks …<\/p>\n

\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.
The Fixed-Reset<\/i> index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater<\/i> index.<\/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>\n5.38%<\/td>\n5.63%<\/td>\n77,834<\/td>\n14.71<\/td>\n6<\/td>\n+1.9115%<\/td>\n959.7<\/td>\n<\/tr>\n
Floater<\/td>\n6.32%<\/td>\n6.38%<\/td>\n48,537<\/td>\n13.36<\/td>\n2<\/td>\n-5.4458%<\/td>\n573.1<\/td>\n<\/tr>\n
Op. Retract<\/td>\n5.40%<\/td>\n6.28%<\/td>\n127,931<\/td>\n3.84<\/td>\n14<\/td>\n+1.8597%<\/td>\n978.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n6.30%<\/td>\n10.55%<\/td>\n59,090<\/td>\n4.01<\/td>\n12<\/td>\n+11.2845%<\/td>\n922.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n7.37%<\/td>\n11.24%<\/td>\n48,813<\/td>\n3.48<\/td>\n3<\/td>\n+8.1449%<\/td>\n944.3<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.65%<\/td>\n6.71%<\/td>\n52,538<\/td>\n12.89<\/td>\n1<\/td>\n+2.0824%<\/td>\n933.8<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.76%<\/td>\n6.83%<\/td>\n177,078<\/td>\n12.81<\/td>\n70<\/td>\n+4.1447%<\/td>\n798.6<\/td>\n<\/tr>\n
Fixed-Reset<\/td>\n5.24%<\/td>\n5.07%<\/td>\n989,979<\/td>\n15.27<\/td>\n10<\/td>\n+1.9108%<\/td>\n1,093.3<\/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
BNA.PR.B<\/td>\nSplitShare<\/td>\n-10.4682<\/td>\nAsset coverage of 3.2+:1 as of August 31 according to the company<\/a>. Coverage now of 2.4+:1 based on BAM.A at 25.16 and 2.4 BAM.A held per preferred<\/a>. Now with a pre-tax bid-YTW of 11.66% based on a bid of 17.02 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (16.67% to 2010-9-30) and BNA.PR.C (12.61% to 2019-1-10). Closing quote 17.02-20.99, 7×4. Day’s range of 20.00-20.04.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n-7.7476%<\/td>\n <\/td>\n<\/tr>\n
BNA.PR.A<\/td>\nSplitShare<\/td>\n+5.0000%<\/td>\nSee BNA.PR.B, above<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n+5.0617%<\/td>\nAsset coverage of just under 2.2:1 as of September 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 9.85% based on a bid of 8.51 and a hardMaturity<\/a> 2012-12-1 at 10.00.<\/td>\n<\/tr>\n
FTN.PR.A<\/td>\nSplitShare<\/td>\n+5.3218%<\/td>\nAsset coverage of 2.2+:1 as of September 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 8.15% based on a bid of 8.51 and a hardMaturity 2015-12-1 at 10.00<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n+5.4545%<\/td>\nNow with a pre-tax bid-YTW of 6.59% based on a bid of 17.40 and a limitMaturity<\/a>. Closing quote 17.40-75, 25×34; day’s range 17.01-98.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n+5.6111%<\/td>\nNow with a pre-tax bid-YTW of 7.41% based on a bid of 19.01 and a limitMaturity. Closing Quote 19.01-20, 2×25. Day’s range 19.20-50<\/td>\n<\/tr>\n
BCE.PR.I<\/td>\nFixFloat<\/td>\n+5.7214%<\/td>\n <\/td>\n<\/tr>\n
FIG.PR.A<\/td>\nInterestBearing<\/td>\n+6.2323%<\/td>\nAsset coverage of 1.4+:1 as of October 9, according to Faircourt<\/a>. Now with a pre-tax bid-YTW of 12.27% (interest + capital gains) based on a bid of 7.50 and a hardMaturity 2014-12-31 at 10.00. Closing quote 7.50-99, 10×2. Day’s range, 7.30-00.<\/td>\n<\/tr>\n
BNS.PR.Q<\/td>\nFixedReset<\/td>\n+6.6193%<\/td>\n <\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+6.7333%<\/td>\nNow with a pre-tax bid-YTW of 8.35% based on a bid of 16.01 and a limitMaturity. Closing Quote 16.01-50, 2×6. Day’s range 16.45-99<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualDiscount<\/td>\n+6.7928%<\/td>\nNow with a pre-tax bid-YTW of 6.83% based on a bid of 22.01 and a limitMaturity. Closing Quote 22.01-00, 5×9. Day’s range 22.40-00.<\/td>\n<\/tr>\n
CU.PR.A<\/td>\nPerpetualDiscount<\/td>\n+6.8075%<\/td>\nNow with a pre-tax bid-YTW of 6.47% based on a bid of 22.75 and a limitMaturity. Closing Quote 22.75-50, 5×2. Day’s range 21.63-23.75<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n+6.8556%<\/td>\nNow with a pre-tax bid-YTW of 6.94% based on a bid of 16.21 and a limitMaturity. Closing Quote 16.21-69, 1×2. Day’s range 16.25-68.<\/td>\n<\/tr>\n
CU.PR.B<\/td>\nPerpetualDiscount<\/td>\n+6.8577%<\/td>\nNow with a pre-tax bid-YTW of 6.70% based on a bid of 22.75 and a limitMaturity. Closing Quote 22.75-50, 2×7. Day’s range 23.00-24.00<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+6.9330%<\/td>\nAsset coverage of 1.3:1 as of October 9 according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 8.22% based on a bid of 9.10 and a hardMaturity 2011-12-15 at 10.00. Closing quote 9.10-9.39, 6×20; day’s range 9.10-50<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+7.2222%<\/td>\nSee BNA.PR.B, above<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualDiscount<\/td>\n+7.2647%<\/td>\nNow with a pre-tax bid-YTW of 6.39% based on a bid of 22.00 and a limitMaturity. Closing Quote 22.00-50, 1×12. Day’s range 22.05-23.60.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n+7.3409%<\/td>\nNow with a pre-tax bid-YTW of 9.16% based on a bid of 13.16 and a limitMaturity. Closing Quote 13.16-68, 6×6. Day’s range 13.22-90.<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetualDiscount<\/td>\n+7.4074%<\/td>\nNow with a pre-tax bid-YTW of 6.61% based on a bid of 21.75 and a limitMaturity. Closing Quote 21.75-22.80, 30×10. Day’s range 21.79-23.00<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n+7.4463%<\/td>\nNow with a pre-tax bid-YTW of 6.13% based on a bid of 21.50 and a limitMaturity. Closing Quote 21.50-75, 8×1. Day’s range 21.50-60<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n+7.5224%<\/td>\nNow with a pre-tax bid-YTW of 6.27% based on a bid of 18.01 and a limitMaturity. Closing Quote 18.01-25, 3×8. Day’s range 17.44-01<\/td>\n<\/tr>\n
CM.PR.J<\/td>\nPerpetualDiscount<\/td>\n+7.5642%<\/td>\nNow with a pre-tax bid-YTW of 7.30% based on a bid of 15.00 and a limitMaturity. Closing Quote 15.50-80, 10×6. Day’s range 15.34-75.<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualDiscount<\/td>\n+7.6998%<\/td>\nNow with a pre-tax bid-YTW of 6.36% based on a bid of 22.10 and a limitMaturity. Closing Quote 22.10-88, 10×4. Day’s range 22.20-90<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+7.9286%<\/td>\nNow with a pre-tax bid-YTW of 7.93% based on a bid of 15.11 and a limitMaturity. Closing Quote 15.11-87, 1×2. Day’s range 14.99-00\/<\/td>\n<\/tr>\n
NA.PR.N<\/td>\nFixedReset<\/td>\n+8.0660%<\/td>\n <\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n+8.1171%<\/td>\nNow with a pre-tax bid-YTW of 7.43% based on a bid of 16.25 and a limitMaturity. Closing Quote 16.25-44, 6×5. Day’s range 16.25-90.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualDiscount<\/td>\n+8.5681%<\/td>\nNow with a pre-tax bid-YTW of 6.97% based on a bid of 18.50 and a limitMaturity. Closing Quote 18.50-32, 2×12. Day’s range 17.76-77<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetualDiscount<\/td>\n+8.5930%<\/td>\nNow with a pre-tax bid-YTW of 6.52% based on a bid of 23.00 and a limitMaturity. Closing Quote 23.00-22. Day’s range 22.75-20<\/td>\n<\/tr>\n
CM.PR.I<\/td>\nPerpetualDiscount<\/td>\n+8.7333%<\/td>\nNow with a pre-tax bid-YTW of 7.25% based on a bid of 16.31 and a limitMaturity. Closing Quote 16.31-74, 5×2. Day’s range 15.80-17.00<\/td>\n<\/tr>\n
W.PR.H<\/td>\nPerpetualDiscount<\/td>\n+8.8183%<\/td>\nNow with a pre-tax bid-YTW of 7.49% based on a bid of 18.51 and a limitMaturity. Closing Quote 18.51-20.21, 1×6. Day’s range 17.71-19.00<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+8.8391%<\/td>\nAsset coverage of just under 2.2:1 as of September 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 9.15% based on a bid of 8.25 and a hardMaturity 2014-12-1 at 10.00. Closinq quote of 8.25-97, 10×7. Day’s range of 8.15-50<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+9.7748%<\/td>\nNow with a pre-tax bid-YTW of 6.74% based on a bid of 19.99 and a limitMaturity. Closing Quote 19.99-00 (tight!) 10×4. Day’s range 18.75-20.60 (loose!)<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetualDiscount<\/td>\n+9.7765%<\/td>\nNow with a pre-tax bid-YTW of 7.04% based on a bid of 19.65 and a limitMaturity. Closing Quote 19.65-97 6×5. Day’s range 18.70-20.00<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n+10.3264%<\/td>\nNow with a pre-tax bid-YTW of 7.41% based on a bid of 16.56 and a limitMaturity. Closing Quote 16.56-99 7×6 Day’s range 16.50-17.75<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n+15.9886%<\/td>\nNow with a pre-tax bid-YTW of 11.74% based on a bid of 16.25 and a softMaturity<\/a> 2018-3-30 at 25.00. Compare with BAM.PR.H (10.87% to 2013-6-30), BAM.PR.I (11.95% to 2013-12-30) and BAM.PR.O (11.54% to 2013-12-30); and with the perpetuals at 8.76% and 9.16%. Closing quote of 16.25-84, 1×3. Day’s range of 16.25-00.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n+16.5414%<\/td>\nAsset coverage of just under 1.3:1 as of October 3, according to Brookfield Funds<\/a>. Now with a pre-tax bid-YTW of 11.18% (interest + cap gain) based on a bid of 7.75 and a hardMaturity 2015-3-31 at 10.00. Closing quote 7.75-98, 10×4. Day’s range 7.99-00.<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n+16.8116%<\/td>\nAsset coverage of 1.8+:1 as of September 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 9.63% based on a bid of 8.06 and a hardMaturity<\/a> 2014-12-1 at 10.00. Closing quote of 8.06-24, 1×6. Day’s range of 7.61-50.<\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n+17.8235%<\/td>\nNow with a pre-tax bid-YTW of 8.76% based on a bid of 13.75 and a limitMaturity. Closing Quote 13.75-00 Day’s range 13.50-00<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+19.0828%<\/td>\nAsset coverage of 1.5+:1 as of September 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 14.39% based on a bid of 8.05 and a hardMaturity 2011-6-30 at 10.00. Closing quote, 8.05-74, 25×13. Day’s range, 8.06-49.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+23.2394%<\/td>\nAsset coverage of just under 2.0:1 as of October 2, according to Brompton Group<\/a>. Now with a pre-tax bid-YTW of 8.35% based on a bid of 8.75 and a hardMaturity 2013-11-29 at 10.00. Closing quote 8.75-87, 38×1. Day’s range, 8.75-99.<\/td>\n<\/tr>\n
SBC.PR.A<\/td>\nSplitShare<\/td>\n+39.5462%<\/td>\nAsset coverage of just under 1.7:1 as of October 9 according to Brompton Group<\/a>. Now with a pre-tax bid-YTW of 9.45% based on a bid of 8.61 and a hardMaturity<\/a> 2012-11-30. Closing quote 8.61-9.24 (?), 10x??? (contradictory data). Day’s range 8.10-60.<\/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
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n115,940<\/td>\nNow with a pre-tax bid-YTW of 6.27% based on a bid of 18.01 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.K<\/td>\nPerpetualDiscount<\/td>\n62,070<\/td>\nNow with a pre-tax bid-YTW of 6.21% based on a bid of 19.41 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n60,100<\/td>\nNow with a pre-tax bid-YTW of 6.16% based on a bid of 19.76 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.A<\/td>\nOpRet<\/td>\n46,300<\/td>\nNow with a pre-tax bid-YTW of 5.50% based on a bid of 24.85 and a softMaturity 2011-7-30 at 25.00.<\/td>\n<\/tr>\n
TD.PR.N<\/td>\nOpRet<\/td>\n29,380<\/td>\nNow with a pre-tax bid-YTW of 5.14% based on a bid of 24.36 and a softMaturity 2014-1-30.<\/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":"

Whoosh! The Weekend Bank Rescues had an effect all right! I think Assiduous Reader Annette has it right: Banksgiving Moneyday. Accrued Interest provides some interesting colour on financial spreads while Across the Curve counsels caution …<\/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-3385","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3385","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=3385"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3385\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3385"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3385"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3385"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}