{"id":4286,"date":"2008-12-03T23:26:13","date_gmt":"2008-12-04T03:26:13","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=4286"},"modified":"2008-12-03T23:26:13","modified_gmt":"2008-12-04T03:26:13","slug":"december-3-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=4286","title":{"rendered":"December 3, 2008"},"content":{"rendered":"

Econbrowser<\/i>‘s James Hamilton reviews 5-Year TIPS<\/a>, which have been showing some rather unusual behaviour recently:<\/p>\n

on Monday, the TIPS yield fell 214 basis points, while the nominal yield was down only 22 basis points, leaving the TIPS yield only slightly above the nominal.<\/p><\/blockquote>\n

Dr. Hamilton quotes extensively from Greg Mankiw<\/a> who points out:<\/p>\n

Starting 12\/01\/2008, the TIPS yield curve will use on-the-run TIPS as knot points rather than all securities under 20 years<\/p><\/blockquote>\n

There are two kinds of TIPS – on-the-run (recent issue) and off-the-run (old issue). The older issues will have a lot of prior inflation embedded in their price; the new issues will have none. Since the minimum redemption value of a TIPS is par, this means that a deflationary environment will erode the principal of off-the-run TIPS while leaving the on-the-run issues unscathed; hence, there is now not simply a liquidity premium contributing to the difference in yields, but an embedded put as well.<\/p>\n

Assiduous Readers will remember that continued five-year TIPS issuance is dubious<\/a>. They will also be aware that the Cleveland Fed has given up<\/a> trying to figure out what TIPS yields really mean!<\/p>\n

Entirely reasonable performance today on continued high volume. Of particular interest is the spike in volume and prices of splitShare corporations.<\/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>\n7.02%<\/td>\n7.36%<\/td>\n78,664<\/td>\n13.26<\/td>\n6<\/td>\n-1.7358%<\/td>\n751.0<\/td>\n<\/tr>\n
Floater<\/td>\n9.71%<\/td>\n10.00%<\/td>\n61,180<\/td>\n9.31<\/td>\n2<\/td>\n+2.1503%<\/td>\n364.7<\/td>\n<\/tr>\n
Op. Retract<\/td>\n5.53%<\/td>\n7.01%<\/td>\n142,588<\/td>\n4.18<\/td>\n15<\/td>\n-0.0515%<\/td>\n977.0<\/td>\n<\/tr>\n
Split-Share<\/td>\n7.31%<\/td>\n14.49%<\/td>\n66,886<\/td>\n3.89<\/td>\n14<\/td>\n+1.6050%<\/td>\n838.4<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n9.46%<\/td>\n20.51%<\/td>\n58,779<\/td>\n2.89<\/td>\n3<\/td>\n-0.9721%<\/td>\n772.4<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\nN\/A<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n7.92%<\/td>\n8.04%<\/td>\n197,377<\/td>\n11.40<\/td>\n71<\/td>\n+0.2976%<\/td>\n697.9<\/td>\n<\/tr>\n
Fixed-Reset<\/td>\n6.13%<\/td>\n5.59%<\/td>\n1,076,057<\/td>\n14.21<\/td>\n15<\/td>\n+0.2764%<\/td>\n974.7<\/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
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-12.4375%<\/td>\nNow with a pre-tax bid-YTW of 15.20% based on a bid of 14.01 and a hardMaturity<\/a> 2016-3-25 at 25.00. Closing quote of 14.01-15.49, 10×1. Day’s range of 14.00-76.<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-7.4279%<\/td>\n <\/td>\n<\/tr>\n
RY.PR.F<\/td>\nPerpetualDiscount<\/td>\n-5.5556%<\/td>\nNow with a pre-tax bid-YTW of 7.35% based on a bid of 15.30 and a limitMaturity<\/a>. Closing quote 15.45-57, 9×3. Day’s range of 15.00-16.50.<\/td>\n<\/tr>\n
CM.PR.E<\/td>\nPerpetualDiscount<\/td>\n-3.1579%<\/td>\nNow with a pre-tax bid-YTW of 8.62% based on a bid of 16.56 and a limitMaturity<\/a>. Closing quote 16.56-75, 5×10. Day’s range of 16.56-25.<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetualDiscount<\/td>\n-3.1455%<\/td>\nNow with a pre-tax bid-YTW of 8.32% based on a bid of 14.78 and a limitMaturity<\/a>. Closing quote 14.78-27, 3×16. Day’s range of 14.49-15.55.<\/td>\n<\/tr>\n
MFC.PR.C<\/td>\nPerpetualDiscount<\/td>\n-3.1271%<\/td>\nNow with a pre-tax bid-YTW of 7.77% based on a bid of 14.56 and a limitMaturity<\/a>. Closing quote 14.55-68, 26×2. Day’s range of 14.51-30.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n-2.9412%<\/td>\n <\/td>\n<\/tr>\n
CM.PR.G<\/td>\nPerpetualDiscount<\/td>\n-2.5563%<\/td>\nNow with a pre-tax bid-YTW of 8.60% based on a bid of 16.01 and a limitMaturity<\/a>. Closing quote 16.01-27, 5×1. Day’s range of 15.52-16.62.<\/td>\n<\/tr>\n
CM.PR.K<\/td>\nFixedReset<\/td>\n-2.4096%<\/td>\n <\/td>\n<\/tr>\n
FTN.PR.A<\/td>\nSplitShare<\/td>\n-2.3585%<\/td>\nAsset coverage of 1.6-:1 as of November 28, according to the company<\/a>. Now with a pre-tax bid-YTW of 14.07% based on a bid of 6.21 and a hardMaturity<\/a> 2015-12-1 at 10.00. Closing quote of 6.21-40, 7×1. Day’s range of 6.13-51.<\/td>\n<\/tr>\n
SBN.PR.A<\/td>\nSplitShare<\/td>\n-2.0732%<\/td>\nAsset coverage of 1.8+:1 as of November 30 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 9.78% based on a bid of 8.03 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.03-45, 30×10. Day’s range of 7.91-15.<\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n-2.0730%<\/td>\nNow with a pre-tax bid-YTW of 12.42% based on a bid of 9.92 and a limitMaturity<\/a>. Closing quote 9.92-10.09, 1×4. Day’s range of 9.90-16.<\/td>\n<\/tr>\n
NA.PR.M<\/td>\nPerpetualDiscount<\/td>\n-2.0619%<\/td>\nNow with a pre-tax bid-YTW of 8.01% based on a bid of 19.00 and a limitMaturity<\/a>. Closing quote 19.00-50, 15×2. Day’s range of 19.10-80.<\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-2.0270%<\/td>\nNow with a pre-tax bid-YTW of 13.82% based on a bid of 14.50 and a softMaturity<\/a> 2018-3-30 at 25.00. Closing quote of 14.50-69, 8×1. Day’s range of 14.00-00.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n+2.0906%<\/td>\nNow with a pre-tax bid-YTW of 7.77% based on a bid of 14.65 and a limitMaturity<\/a>. Closing quote 14.65-90, 20×12. Day’s range of 14.00-15.00.<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetualDiscount<\/td>\n+2.0913%<\/td>\nNow with a pre-tax bid-YTW of 8.25% based on a bid of 16.11 and a limitMaturity<\/a>. Closing quote 16.11-35, 10×1. Day’s range of 15.90-60.<\/td>\n<\/tr>\n
LBS.PR.A<\/td>\nSplitShare<\/td>\n+2.1898%<\/td>\nAsset coverage of 1.4+:1 as of October 17, according to Brompton Group<\/a>. Now with a pre-tax bid-YTW of 14.12% based on a bid of 7.00 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 7.00-14, 30×1. Day’s range of 6.90-19.<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n+2.2005%<\/td>\n <\/td>\n<\/tr>\n
ENB.PR.A<\/td>\nPerpetualDiscount<\/td>\n+2.3000%<\/td>\nNow with a pre-tax bid-YTW of 6.78% based on a bid of 20.46 and a limitMaturity<\/a>. Closing quote 20.46-21.92 (!). Day’s range of 19.99-46.<\/td>\n<\/tr>\n
ELF.PR.G<\/td>\nPerpetualDiscount<\/td>\n+2.3622%<\/td>\nNow with a pre-tax bid-YTW of 9.36% based on a bid of 13.00 and a limitMaturity<\/a>. Closing quote 13.00-88, 11X2. Day’s range of 12.70-00.<\/td>\n<\/tr>\n
TD.PR.Y<\/td>\nFixedReset<\/td>\n+2.4691%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.O<\/td>\nPerpetualDiscount<\/td>\n+2.6761%<\/td>\nNow with a pre-tax bid-YTW of 7.58% based on a bid of 18.80 and a limitMaturity<\/a>. Closing quote 18.80-03, 20×8. Day’s range of 18.50-00.<\/td>\n<\/tr>\n
POW.PR.A<\/td>\nPerpetualDiscount<\/td>\n+2.6786%<\/td>\nNow with a pre-tax bid-YTW of 8.30% based on a bid of 17.25 and a limitMaturity<\/a>. Closing quote 17.25-50, 2×24. Day’s range of 16.80-50.<\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n+2.7778%<\/td>\nAsset coverage of 1.1+:1 as of November 27 according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 15.93% based on a bid of 7.40 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 7.40-48, 20×10. Day’s range of 7.30-49.<\/td>\n<\/tr>\n
SLF.PR.C<\/td>\nPerpetualDiscount<\/td>\n+3.0133%<\/td>\nNow with a pre-tax bid-YTW of 7.59% based on a bid of 14.70 and a limitMaturity<\/a>. Closing quote 14.70-71, 158×1. Day’s range of 14.00-15.01.<\/td>\n<\/tr>\n
SLF.PR.B<\/td>\nPerpetualDiscount<\/td>\n+3.0239%<\/td>\nNow with a pre-tax bid-YTW of 8.22% based on a bid of 14.65 and a limitMaturity<\/a>. Closing quote 14.65-70, 20×2. Day’s range of 14.25-70.<\/td>\n<\/tr>\n
DF.PR.A<\/td>\nSplitShare<\/td>\n+3.2389%<\/td>\nAsset coverage of 1.4+:1 as of November 28 according to the company<\/a>. Now with a pre-tax bid-YTW of 10.77% based on a bid of 7.65 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 7.65-87, 100×1. Day’s range of 7.49-50.<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n+3.5616%<\/td>\nAsset coverage of 1.6-:1 as of November 14 according to the company<\/a>. Now with a pre-tax bid-YTW of 13.45% based on a bid of 7.56 and a hardMaturity<\/a> 2012-12-1 at 10.00. Closing quote of 7.56-95, 50×14. Day’s range of 7.23-95.<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetualDiscount<\/td>\n+3.6482%<\/td>\nNow with a pre-tax bid-YTW of 7.35% based on a bid of 15.91 and a limitMaturity<\/a>. Closing quote 15.91-10, 3×20. Day’s range of 15.40-16.40.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+3.7901%<\/td>\n <\/td>\n<\/tr>\n
PWF.PR.E<\/td>\nPerpetualDiscount<\/td>\n+4.1905%<\/td>\nNow with a pre-tax bid-YTW of 8.54% based on a bid of 16.41 and a limitMaturity<\/a>. Closing quote 16.41-51, 1×2. Day’s range of 15.90-80.<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n+4.3165%<\/td>\nAsset coverage of 1.4+:1 as of November 14 according to the company<\/a>. Now with a pre-tax bid-YTW of 16.78% based on a bid of 5.80 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 5.80-6.83, 4×2. Day’s range of 5.60-00.<\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+7.8329%<\/td>\nAsset coverage of 1.9-:1 as of November 14 according to the company<\/a>. Now with a pre-tax bid-YTW of 9.16% based on a bid of 8.26 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.26-49, 50×1. Day’s range of 7.79-39.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+8.1989%<\/td>\nAsset coverage of 1.3-:1 as of November 30 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 15.25% based on a bid of 8.05 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 8.05-15, 14×10. Day’s range of 7.09-8.15.<\/td>\n<\/tr>\n<\/table>\n<\/div>\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
TD.PR.O<\/td>\nPerpetualDiscount<\/td>\n235,205<\/td>\nTD crossed 200,000 at 16.40. Now with a pre-tax bid-YTW of 7.45% based on a bid of 16.55 and a limitMaturity.<\/td>\n<\/tr>\n
BPO.PR.I<\/td>\nScraps (Would be OpRet but there are credit concerns)<\/td>\n202,555<\/td>\nTD crossed 100,000 at 17.60, then another 100,000 at the same price. Now with a pre-tax bid-YTW of 27.11% based on a bid of 17.01 and OptionCertainty<\/a> 2010-12-31 at 25.00.<\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n238,665<\/td>\nRBC crossed 191,000 at 8.15. Asset coverage of 1.3-:1 as of November 30 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 15.25% based on a bid of 8.05 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 8.05-15, 14×10. Day’s range of 7.09-8.15.<\/td>\n<\/tr>\n
BMO.PR.K<\/td>\nPerpetualDiscount<\/td>\n79,315<\/td>\nDesjardins crossed 27,200 at 16.60. Now with a pre-tax bid-YTW of 8.25% based on a bid of 16.11 and a limitMaturity.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n71,220<\/td>\nNational Bank crossed 40,000 at 14.09. Now with a pre-tax bid-YTW of 8.39% based on a bid of 14.20 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetualDiscount<\/td>\n69,000<\/td>\nNow with a pre-tax bid-YTW of 7.77% based on a bid of 14.65 and a limitMaturity.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Econbrowser‘s James Hamilton reviews 5-Year TIPS, which have been showing some rather unusual behaviour recently: on Monday, the TIPS yield fell 214 basis points, while the nominal yield was down only 22 basis points, leaving …<\/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-4286","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4286","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=4286"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4286\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4286"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4286"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4286"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}