{"id":3425,"date":"2008-10-16T22:29:12","date_gmt":"2008-10-17T02:29:12","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=3425"},"modified":"2008-10-16T22:29:12","modified_gmt":"2008-10-17T02:29:12","slug":"october-16-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=3425","title":{"rendered":"October 16, 2008"},"content":{"rendered":"

Canadas efforts<\/a> to join the Banksgiving Moneyday<\/a> rescues have now commenced implementation. The results of the first mortgage reverse-auction have been announced<\/a>:<\/p>\n

Auction Date: October 16, 2008
\nSettlement Date: October 23, 2008
\nMaturity Date: October 15, 2013
\nAmount: $5 billion
\nHigh Yield: 4.679%
\nLow Yield: 4.041%
\nAverage Yield: 4.241%<\/p><\/blockquote>\n

There are rumours that old What-Debt? is going to have to run a deficit<\/a>:<\/p>\n

While his Oct. 14 victory left him with more Conservative Party seats in Parliament, the deepening global financial crisis may force him to backpedal on both pledges.<\/p>\n

Harper yesterday said his first move may be a taxpayer- funded package to keep financial institutions competitive amid bailouts in the U.S. and Europe. With the budget surplus shrinking and Harper lacking a parliamentary majority, he’ll also probably end up spending more than he wants because he’ll need help passing legislation from opposition parties that want to expand social programs. <\/p><\/blockquote>\n

Geez … having cut taxes and run the structural budget balance to zero in order to goose an already over-stimulated economy, we now find that bad times may require a deficit. What a surprise. What an absolutely incredible surprise.<\/p>\n

On the bright side US inflation is moderating<\/a>, although the headline number is still scary looking:<\/p>\n

Prices increased 4.9 percent in the 12 months to September after a year-over-year gain of 5.4 percent in August. The core rate increased 2.5 percent from September 2007, the same as the year-over-year increase in the prior month.<\/p><\/blockquote>\n

Via Dealbreaker<\/a> comes news that Iceland’s Glitnir Bank has defaulted<\/a> on a $750-million FRN.<\/p>\n

And the Fed’s discount window is wide open<\/a>:<\/p>\n

The Federal Reserve’s direct loans to commercial banks rose to a record $101.9 billion yesterday versus $98.1 billion a week earlier as still-high money market rates encouraged more borrowing from the lender of last resort.<\/p>\n

Borrowing by securities firms through the Fed’s Primary Dealer Credit Facility totaled $133.9 billion, up from $123 billion, the central bank said today in its weekly report.<\/p>\n

“The ability to borrow 90-day funds at 1.75 percent is a good deal for a lot of banks,” said Michael Feroli, economist at JPMorgan Chase & Co. “The stigma of borrowing from the Fed is declining.”<\/p><\/blockquote>\n

Borrowing 90-day funds at 1.75 is a very good deal for a lot of banks. I have no objections to the facility itself, but the discount rate is set way too low, in defiance of Bagehot.<\/p>\n

Closed off the ‘performers’ table at +\/- 2% today. Volatility continues high, liquidity continues dry.<\/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>\n5.42%<\/td>\n5.66%<\/td>\n75,071<\/td>\n14.67<\/td>\n6<\/td>\n-0.6734%<\/td>\n953.4<\/td>\n<\/tr>\n
Floater<\/td>\n6.61%<\/td>\n6.69%<\/td>\n47,386<\/td>\n12.95<\/td>\n2<\/td>\n-2.1863%<\/td>\n548.4<\/td>\n<\/tr>\n
Op. Retract<\/td>\n5.41%<\/td>\n6.47%<\/td>\n124,750<\/td>\n4.04<\/td>\n14<\/td>\n-0.0754%<\/td>\n976.4<\/td>\n<\/tr>\n
Split-Share<\/td>\n6.39%<\/td>\n10.98%<\/td>\n58,719<\/td>\n3.99<\/td>\n12<\/td>\n+1.1844%<\/td>\n913.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n7.88%<\/td>\n13.10%<\/td>\n49,045<\/td>\n3.34<\/td>\n3<\/td>\n-3.7209%<\/td>\n886.0<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.66%<\/td>\n6.73%<\/td>\n50,402<\/td>\n12.86<\/td>\n1<\/td>\n-2.2917%<\/td>\n931.4<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.80%<\/td>\n6.87%<\/td>\n173,478<\/td>\n12.75<\/td>\n70<\/td>\n+0.4681%<\/td>\n794.6<\/td>\n<\/tr>\n
Fixed-Reset<\/td>\n5.23%<\/td>\n5.05%<\/td>\n937,200<\/td>\n15.30<\/td>\n10<\/td>\n-0.0738%<\/td>\n1,097.4<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
FIG.PR.A<\/td>\nInterestBearing<\/td>\n-7.1523%<\/td>\nAsset coverage of just under 1.4:1 as of October 15, according to Faircourt<\/a>. Now with a pre-tax bid-YTW of 13.74% based on a bid of 7.01 and a hardMaturity<\/a> 2014-12-31 at 10.00. Closing quote 7.01-78, 3×2. Day’s range of 7.25-79.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-6.3396%<\/td>\nAsset coverage of 3.2+:1 as of August 31 according to the company<\/a>. Coverage now of 2.2+:1 based on BAM.A at 22.98 and 2.4 BAM.A held per preferred<\/a>. Now with a pre-tax bid-YTW of 13.87% based on a bid of 12.41 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (18.16% to 2010-9-30) and BNA.PR.B (9.72% to 2016-3-25). Closing quote 12.41-24. Day’s range of 12.46-24.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-4.3721%<\/td>\n <\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetualDiscount<\/td>\n-4.1814%<\/td>\nNow with a pre-tax bid-YTW of 7.11% based on a bid of 19.02 and a limitMaturity<\/a>. Closing quote 19.02-99, 15×5; day’s range 18.77-20.00.<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n-3.9474%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n-3.9474%<\/td>\nNow with a pre-tax bid-YTW of 13.00% based on a bid of 18.25 and optionCertainty<\/a> 2013-6-30 at 25.00. Compare with BAM.PR.H (11.69% to 2012-3-30), BAM.PR.I (10.74% to 2013-12-30) and BAM.PR.J (11.33% to 2018-3-30). Closing quote 18.25-50, 5×6. Day’s range 18.00-75.<\/td>\n<\/tr>\n
BSD.PR.A<\/td>\nInterestBearing<\/td>\n-3.1294%<\/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 13.87% (interest + cap gain) based on a bid of 6.81 and a hardMaturity 2015-3-31 at 10.00. Closing quote 6.81-7.50, 25×7. All 968 shares traded today were at 6.78 – looks like one order.<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetualDiscount<\/td>\n-3.0025%<\/td>\nNow with a pre-tax bid-YTW of 7.02% based on a bid of 19.06 and a limitMaturity. Closing Quote 19.06-50, 3×20. Day’s range 19.05-65.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n-2.6393%<\/td>\nNow with a pre-tax bid-YTW of 6.91% based on a bid of 16.60 and a limitMaturity. Closing Quote 16.60-70, 15×5. Day’s range 16.70-10.<\/td>\n<\/tr>\n
FTN.PR.A<\/td>\nSplitShare<\/td>\n-2.4752%<\/td>\nAsset coverage of 2.2+:1 as of September 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 9.54% based on a bid of 7.88 and a hardMaturity 2015-12-1 at 10.00. Closing quote of 7.88-09, 24×2. Day’s range 7.63-01.<\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetualPremium (for now!)<\/td>\n-2.2917%<\/td>\nNow with a pre-tax bid-YTW of 6.73% based on a bid of 23.45 and a limitMaturity. Closing Quote 23.45-94, 3×2. Day’s range 23.50-39.<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-2.0833%<\/td>\nClosing Quote 23.50-00, 9×3. Day’s range 23.50-00.<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n-2.0408%<\/td>\nClosing Quote 24.00-39, 1×20. Day’s range 24.35-69.<\/td>\n<\/tr>\n
RY.PR.A<\/td>\nPerpetualDiscount<\/td>\n+2.0290%<\/td>\nNow with a pre-tax bid-YTW of 6.44% based on a bid of 17.60 and a limitMaturity. Closing Quote 17.60-86, 6×8. Day’s range 17.46 (?) – 99.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n+2.0710%<\/td>\nNow with a pre-tax bid-YTW of 7.04% based on a bid of 17.25 and a limitMaturity. Closing Quote 17.25-40, 16×15. Day’s range 17.25 (?) – 89 (?).<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n+2.1114%<\/td>\nNow with a pre-tax bid-YTW of 6.59% based on a bid of 17.41 and a limitMaturity. Closing Quote 17.41-49, 9×4. Day’s range 17.04-52.<\/td>\n<\/tr>\n
PWF.PR.I<\/td>\nPerpetualDiscount<\/td>\n+2.1739%<\/td>\nNow with a pre-tax bid-YTW of 6.40% based on a bid of 23.50 and a limitMaturity. Closing Quote 23.50-60, 5×8. Day’s range 22.12-24.70 (!).<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n+2.3151%<\/td>\nNow with a pre-tax bid-YTW of 6.98% based on a bid of 18.12 and a limitMaturity. Closing Quote 18.12-00, 2×31. Traded 100 shares at 19.00.<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+2.3810%<\/td>\nAsset coverage of 1.9+:1 as of October 16, according to some guy’s estimate<\/a>. Now with a pre-tax bid-YTW of 8.32% based on a bid of 8.60 and a hardMaturity 2014-12-1 at 10.00. Closing quote 8.60-77, 20×2. Day’s range 8.35-57.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.4296%<\/td>\nNow with a pre-tax bid-YTW of 7.28% based on a bid of 18.55 and a limitMaturity. Closing Quote 18.55-89, 4×1. Day’s range 18.25-99.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n+2.4670%<\/td>\nNow with a pre-tax bid-YTW of 7.06% based on a bid of 17.86 and a limitMaturity. Closing Quote 17.86-45, 7×7. Day’s range 17.79-45.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.5419%<\/td>\nNow with a pre-tax bid-YTW of 6.84% based on a bid of 17.75 and a limitMaturity. Closing Quote 17.75-99, 17×4. Day’s range 17.51-33.<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetualDiscount<\/td>\n+2.6417%<\/td>\nNow with a pre-tax bid-YTW of 6.67% based on a bid of 18.65 and a limitMaturity. Closing Quote 18.65-99, 4X2. Day’s range 18.01-99.<\/td>\n<\/tr>\n
SLF.PR.D<\/td>\nPerpetualDiscount<\/td>\n+2.8894%<\/td>\nNow with a pre-tax bid-YTW of 6.87% based on a bid of 16.38 and a limitMaturity. Closing Quote 16.38-50, 5×10. Day’s range 16.16-50.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n+3.0568%<\/td>\nNow with a pre-tax bid-YTW of 6.81% based on a bid of 16.52 and a limitMaturity. Closing Quote 16.52-43, 3×11. Day’s range 15.93-90.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+3.0769%<\/td>\nNow with a pre-tax bid-YTW of 6.56% based on a bid of 20.10 and a limitMaturity. Closing Quote 20.10-99, 10×5. Day’s range 20.15-29.<\/td>\n<\/tr>\n
SBC.PR.A<\/td>\nSplitShare<\/td>\n+3.5496%<\/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 9.96% based on a bid of 8.46 and a hardMaturity<\/a> 2012-11-30. Closing quote 8.46-85, 10×26. Day’s range 6.18-8.50 (!).<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+3.9239%<\/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 8.39% based on a bid of 8.74 and a hardMaturity 2013-11-29 at 10.00. Closing quote 8.74-24, 2×2. Day’s range, 8.74-24.<\/td>\n<\/tr>\n
BAM.PR.I<\/td>\nOpRet<\/td>\n+6.5495%<\/td>\nSee BAM.PR.O, above.<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n+6.9900%<\/td>\nAsset coverage of 1.8+:1 as of September 30, according to the company<\/a>. Now with a pre-tax bid-YTW of 11.13% based on a bid of 7.50 and a hardMaturity<\/a> 2014-12-1 at 10.00. Closing quote of 7.50-68, 11×13. Day’s range of 7.50-60.<\/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
TD.PR.P<\/td>\nPerpetualDiscount<\/td>\n84,503<\/td>\nTD crossed 75,000 at 20.51. Now with a pre-tax bid-YTW of 6.43% based on a bid of 20.50 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n37,030<\/td>\nNow with a pre-tax bid-YTW of 6.91% based on a bid of 16.60 and a limitMaturity.<\/td>\n<\/tr>\n
BNS.PR.R<\/td>\nFixedReset<\/td>\n31,800<\/td>\nRBC bought two lots of 10,000 each from (possible different) anonymous(es).<\/td>\n<\/tr>\n
RY.PR.E<\/td>\nPerpetualDiscount<\/td>\n27,500<\/td>\nCIBC bought 11,800 at 17.30 from CIBC. Now with a pre-tax bid-YTW of 6.59% based on a bid of 17.41 and a limitMaturity.<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n23,000<\/td>\nNesbitt crossed 10,000 at 24.15.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Canadas efforts to join the Banksgiving Moneyday rescues have now commenced implementation. The results of the first mortgage reverse-auction have been announced: Auction Date: October 16, 2008 Settlement Date: October 23, 2008 Maturity Date: October …<\/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-3425","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3425","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=3425"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3425\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3425"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3425"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3425"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}