{"id":3491,"date":"2008-10-20T20:31:54","date_gmt":"2008-10-21T00:31:54","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=3491"},"modified":"2008-10-20T20:31:54","modified_gmt":"2008-10-21T00:31:54","slug":"october-20-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=3491","title":{"rendered":"October 20, 2008"},"content":{"rendered":"

Bloomberg has some interesting colour on the US TIPS market<\/a>:<\/p>\n

Treasury Inflation-Protected Securities fell 8 percent since June as investors shunned all but the most easily traded debt amid the seizure in credit markets. TIPS were the only part of the U.S. government bond market to lose money in that time as Treasuries of all maturities gained 2.12 percent, according to Merrill Lynch & Co. indexes.<\/p>\n

BlackRock Inc., Brown Brothers Harriman & Co., DWS Investment GmbH and New Century Advisors are buying the securities because inflation will likely increase at a faster pace over the next decade than the 1 percent annual rate TIPS yields suggest. Consumer prices, unchanged in September, may increase 4.5 percent this year and 2.65 percent in 2009, according to the median estimate of 69 forecasters surveyed by Bloomberg.<\/p><\/blockquote>\n

The Cleveland Fed’s liquidity adjusted inflation expectations estimator<\/a> shows a ten year expectation of 1.48% as of 10\/16, vs. the unadjusted figure of 0.95%.<\/p>\n

A very good day for markets in general, credit markets particularly and especially prefs! PerpetualDiscounts now yield 6.77% dividend, equivalent to 9.48% interest at the standard factor of 1.4x, while long corporates are now at 7.25%<\/a> for a pre-tax interest-equivalent spread of 223bp.<\/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>\n5.37%<\/td>\n5.61%<\/td>\n70,920<\/td>\n14.75<\/td>\n6<\/td>\n+0.4190%<\/td>\n961.4<\/td>\n<\/tr>\n
Floater<\/td>\n6.63%<\/td>\n6.71%<\/td>\n47,107<\/td>\n12.91<\/td>\n2<\/td>\n-3.6728%<\/td>\n548.3<\/td>\n<\/tr>\n
Op. Retract<\/td>\n5.35%<\/td>\n6.28%<\/td>\n125,807<\/td>\n4.05<\/td>\n14<\/td>\n+0.9336%<\/td>\n988.3<\/td>\n<\/tr>\n
Split-Share<\/td>\n6.19%<\/td>\n10.15%<\/td>\n59,011<\/td>\n4.02<\/td>\n12<\/td>\n+1.7515%<\/td>\n943.7<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n7.48%<\/td>\n11.85%<\/td>\n53,381<\/td>\n3.44<\/td>\n3<\/td>\n+2.4139%<\/td>\n933.6<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n6.76%<\/td>\n6.84%<\/td>\n48,326<\/td>\n12.71<\/td>\n1<\/td>\n-2.1601%<\/td>\n917.5<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.70%<\/td>\n6.77%<\/td>\n174,867<\/td>\n12.86<\/td>\n70<\/td>\n+0.9456%<\/td>\n807.0<\/td>\n<\/tr>\n
Fixed-Reset<\/td>\n5.22%<\/td>\n5.04%<\/td>\n900,641<\/td>\n15.31<\/td>\n10<\/td>\n-0.0661%<\/td>\n1,099.3<\/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
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-6.7146%<\/td>\n <\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-2.1951%<\/td>\n <\/td>\n<\/tr>\n
CL.PR.B<\/td>\nPerpetualPremium (for now!)<\/td>\n-2.1601%<\/td>\nNow with a pre-tax bid-YTW of 6.84% based on a bid of 23.10 and a limitMaturity<\/a>. Closing quote 23.10-60, 5×4. All trades today at 23.60.<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-2.0833%<\/td>\n <\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetualDiscount<\/td>\n+2.0418%<\/td>\nNow with a pre-tax bid-YTW of 6.40% based on a bid of 21.99 and a limitMaturity. Closing Quote 21.53-99, 3×7. Day’s range of 21.53-25.<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetualDiscount<\/td>\n+2.0588%<\/td>\nNow with a pre-tax bid-YTW of 7.08% based on a bid of 17.35 and a limitMaturity. Closing Quote 17.35-44, 10X5. Day’s range of 16.75-25.<\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualDiscount<\/td>\n+2.0824%<\/td>\nNow with a pre-tax bid-YTW of 6.38% based on a bid of 22.06 and a limitMaturity. Closing Quote 22.06-75, 5×1. Day’s range of 21.52-23.15.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n+2.0987%<\/td>\nNow with a pre-tax bid-YTW of 6.68% based on a bid of 18.00 and a limitMaturity. Closing Quote 18.00-61, 10×16. Day’s range 17.75-01.<\/td>\n<\/tr>\n
HSB.PR.C<\/td>\nPerpetualDiscount<\/td>\n+2.1322%<\/td>\nNow with a pre-tax bid-YTW of 6.74% based on a bid of 19.16 and a limitMaturity. Closing Quote 19.16-60, 3×2. Day’s range 19.01-30.<\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+2.2578%<\/td>\nNow with a pre-tax bid-YTW of 6.35% based on a bid of 21.74 and a limitMaturity. Closing Quote 21.74-00, 1×2. Day’s range of 21.50-75.<\/td>\n<\/tr>\n
CM.PR.D<\/td>\nPerpetualDiscount<\/td>\n+2.2786%<\/td>\nNow with a pre-tax bid-YTW of 7.33% based on a bid of 19.75 and a limitMaturity. Closing Quote 19.75-19, 2×1. Day’s range 19.50-22.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+2.2969%<\/td>\nNow with a pre-tax bid-YTW of 6.65% based on a bid of 18.26 and a limitMaturity. Closing Quote 18.26-50, 2×3. Day’s range 18.16-50.<\/td>\n<\/tr>\n
BAM.PR.H<\/td>\nOpRet<\/td>\n+2.4286%<\/td>\nNow with a pre-tax bid-YTW of 10.92% based on a bid of 21.51 and softMaturity<\/a> 2012-3-30 at 25.00. Compare with BAM.PR.I (10.65% to 2013-12-30), BAM.PR.J (10.63% to 2018-3-30) and BAM.PR.O (11.13% to 2013-6-30). Closing quote 21.51-98, 5×3. Day’s range 20.50-21.50.<\/td>\n<\/tr>\n
POW.PR.D<\/td>\nPerpetualDiscount<\/td>\n+2.4417%<\/td>\nNow with a pre-tax bid-YTW of 6.84% based on a bid of 18.46 and a limitMaturity. Closing Quote 18.46-60, 10×1. Day’s range 18.42-85.<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetualDiscount<\/td>\n+2.5038%<\/td>\nNow with a pre-tax bid-YTW of 6.58% based on a bid of 20.06 and a limitMaturity. Closing Quote 20.06-79, 3×10. Day’s range 20.00-21.25.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n+2.5629%<\/td>\nNow with a pre-tax bid-YTW of 6.22% based on a bid of 21.21 and a limitMaturity. Closing Quote 21.21-48, 4×3. Day’s range 20.95-50.<\/td>\n<\/tr>\n
TD.PR.R<\/td>\nPerpetualDiscount<\/td>\n+2.7166%<\/td>\nNow with a pre-tax bid-YTW of 6.42% based on a bid of 21.93 and a limitMaturity. Closing Quote 21.93-49, 3×10. Day’s range 21.86-50.<\/td>\n<\/tr>\n
BNA.PR.A<\/td>\nSplitShare<\/td>\n+3.0800%<\/td>\nAsset coverage of just under 2.8:1 as of September 30 according to the company<\/a>. Coverage now of 2.4+:1 based on BAM.A at 25.44 and 2.4 BAM.A held per preferred<\/a>. Now with a pre-tax bid-YTW of 17.55% based on a bid of 20.75 and a hardMaturity 2010-9-30 at 25.00. Compare with BNA.PR.B (10.43% to 2016-3-25) and BNA.PR.C (12.11% to 2019-1-10). Closing quote 20.75-22.94, 2×1. No trades today.<\/td>\n<\/tr>\n
TCA.PR.Y<\/td>\nPerpetualDiscount<\/td>\n+3.1746%<\/td>\nNow with a pre-tax bid-YTW of 6.15% based on a bid of 45.50 and a limitMaturity. Closing Quote 45.50-48, 3×5. Day’s range 45.75-50.<\/td>\n<\/tr>\n
BNA.PR.B<\/td>\nSplitShare<\/td>\n+3.4541%<\/td>\nSee BNA.PR.A, above. Closing quote 18.27-19.44, 6×5. No trades.<\/td>\n<\/tr>\n
POW.PR.B<\/td>\nPerpetualDiscount<\/td>\n+3.5380%<\/td>\nNow with a pre-tax bid-YTW of 6.78% based on a bid of 19.90 and a limitMaturity. Closing Quote 19.90-99, 8×3. Day’s range 19.94-10.<\/td>\n<\/tr>\n
FTN.PR.A<\/td>\nSplitShare<\/td>\n+3.6585%<\/td>\nAsset coverage of 2.2+:1 as of September 30 according to the company<\/a>. Now with a pre-tax bid-YTW of 8.19% based on a bid of 8.50 and a hardMaturity 2015-12-1 at 10.00. Closing quote of 8.50-96, 10×3. Day’s range 8.30-50.<\/td>\n<\/tr>\n
BAM.PR.O<\/td>\nOpRet<\/td>\n+4.5769%<\/td>\nSee BAM.PR.H, above. Closing quote 19.65-00, 1×16. Day’s range 18.95-20.00.<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+4.7836%<\/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 6.98% based on a bid of 9.20 and a hardMaturity 2014-12-1 at 10.00. Closing quote 9.20-49, 5×5. Day’s range 8.92-65.<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n+4.7904%<\/td>\nSee BAM.PR.H, above. Closing quote 17.50-74, 5×10. Day’s range 17.00-75.<\/td>\n<\/tr>\n
FIG.PR.A<\/td>\nInterestBearing<\/td>\n+6.1224%<\/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 11.48% based on a bid of 7.80 and a hardMaturity<\/a> 2014-12-31 at 10.00. Closing quote 7.80-99, 2×1. Day’s range of 7.50-06.<\/td>\n<\/tr>\n
GWO.PR.I<\/td>\nPerpetualDiscount<\/td>\n+6.5970%<\/td>\nNow with a pre-tax bid-YTW of 6.98% based on a bid of 16.32 and a limitMaturity. Closing Quote 16.32-59, 4×5. Day’s range 15.89-59.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n+9.3604%<\/td>\nSee BNA.PR.B, above. Closing quote 14.02-96, 8×5. Day’s range of 13.22-14.96.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n
\n\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.M<\/td>\nPerpetualDiscount<\/td>\n335,600<\/td>\nNesbitt crossed 199,200 at 17.60, then another 120,000 at the same price. Now with a pre-tax bid-YTW of 6.41% based on a bid of 17.65 and a limitMaturity.<\/td>\n<\/tr>\n
DC.PR.A<\/td>\nScraps (would be OpRet but there are credit concerns)<\/td>\n177,400<\/td>\nCIBC crossed 166,900 at 13.75. Now with a pre-tax bid-YTW of 15.62% based on a bid of 13.52 and a softMaturity 2016-6-29 at 25.00.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n154,700<\/td>\nDesjardins crossed 55,000 at 17.60, then Nesbitt crossed 80,500 at the same price. Now with a pre-tax bid-YTW of 6.43% based on a bid of 17.60 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n151,400<\/td>\nNesbitt crossed 123,400 at 16.60, but the trade was cancelled. They then crossed 75,000 at 16.60, then 48,400 at the same price. Now with a pre-tax bid-YTW of 6.88% based on a bid of 16.69 and a limitMaturity.<\/td>\n<\/tr>\n
CM.PR.H<\/td>\nPerpetualDiscount<\/td>\n109,045<\/td>\nTD crossed 98,000 at 16.35. Now with a pre-tax bid-YTW of 7.40% based on a bid of 16.33 and a limitMaturity.<\/td>\n<\/tr>\n
L.PR.A<\/td>\nScraps (would be OpRet but there are credit concerns)<\/td>\n104,650<\/td>\nRBC crossed 24,900 at 22.00, then CIBC crossed 64,900 at the same price. Now with a pre-tax bid-YTW of 8.33% based on a bid of 22.00 and a softMaturity 2015-7-30 at 25.00.<\/td>\n<\/tr>\n
PIC.PR.A<\/td>\nScraps (would be SplitShare but there are credit concerns)<\/td>\n173,050<\/td>\nCIBC crossed 158,900 at 13.00. Now with a pre-tax bid-YTW of 13.17% based on a bid of 13.07 and a hardMaturity 2010-11-1 at 15.00.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Bloomberg has some interesting colour on the US TIPS market: Treasury Inflation-Protected Securities fell 8 percent since June as investors shunned all but the most easily traded debt amid the seizure in credit markets. TIPS …<\/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-3491","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3491","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=3491"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/3491\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=3491"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=3491"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=3491"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}