{"id":4467,"date":"2008-12-13T00:07:19","date_gmt":"2008-12-13T04:07:19","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=4467"},"modified":"2008-12-13T00:07:19","modified_gmt":"2008-12-13T04:07:19","slug":"december-12-2008","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=4467","title":{"rendered":"December 12, 2008"},"content":{"rendered":"

Volume continued heavy today, but should start slowing next week. Still, the deadline for tax-loss selling is Wednesday Dec 24, so we shall see!<\/p>\n

PerpetualDiscounts now yield an average of 6.99%<\/s> 7.99%<\/b> pre-tax, equivalent to 9.79%<\/s> 11.19%<\/b> pre-tax interest at the standard 1.4x conversion factor. Long corporates<\/a> are at 7.60%, so the Pre-Tax Interest-Equivalent spread is now 219bp<\/s> 359bp<\/b>.<\/p>\n

Many thanks to Assiduous Reader Chris, who points out in the comments below that I am an idiot.<\/i><\/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>\n7.75%<\/td>\n8.08%<\/td>\n97,994<\/td>\n12.50<\/td>\n6<\/td>\n-4.4604%<\/td>\n684.0<\/td>\n<\/tr>\n
Floater<\/td>\n8.96%<\/td>\n9.01%<\/td>\n77,662<\/td>\n10.44<\/td>\n2<\/td>\n+4.3973%<\/td>\n360.9<\/td>\n<\/tr>\n
Op. Retract<\/td>\n5.50%<\/td>\n6.79%<\/td>\n149,966<\/td>\n4.16<\/td>\n15<\/td>\n-0.1896%<\/td>\n987.1<\/td>\n<\/tr>\n
Split-Share<\/td>\n6.88%<\/td>\n13.09%<\/td>\n77,994<\/td>\n3.98<\/td>\n14<\/td>\n+0.7681%<\/td>\n899.3<\/td>\n<\/tr>\n
Interest Bearing<\/td>\n9.80%<\/td>\n21.65%<\/td>\n53,709<\/td>\n2.77<\/td>\n3<\/td>\n+0.2261%<\/td>\n748.7<\/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>\n7.86%<\/td>\n7.99%<\/td>\n218,843<\/td>\n11.44<\/td>\n71<\/td>\n-0.3034%<\/td>\n704.5<\/td>\n<\/tr>\n
Fixed-Reset<\/td>\n6.05%<\/td>\n5.47%<\/td>\n1,228,142<\/td>\n14.37<\/td>\n18<\/td>\n+0.4038%<\/td>\n997.7<\/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
Major Price Changes<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BCE.PR.G<\/td>\nFixFloat<\/td>\n-8.7833%<\/td>\n <\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetualDiscount<\/td>\n-6.6176%<\/td>\nNow with a pre-tax bid-YTW of 9.11% based on a bid of 12.70 and a limitMaturity<\/a>. Closing quote 12.70-19, 8×3. Day’s range of 11.99-13.60.<\/td>\n<\/tr>\n
BCE.PR.R<\/td>\nFixFloat<\/td>\n-6.0000%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.M<\/td>\nPerpetualDiscount<\/td>\n-5.9289%<\/td>\nNow with a pre-tax bid-YTW of 12.59% based on a bid of 9.52 and a limitMaturity<\/a>. Closing quote 9.52-76, 2×3. Day’s range of 9.60-13.<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n-5.7803%<\/td>\nAsset coverage of 1.7-:1, based on BAM.A at 17.49 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 20.59% based on a bid of 8.15 and a hardMaturity<\/a> 2019-01-10 at 25.00. Closing quote of 8.15-39, 2×1. Day’s range of 8.20-65.<\/td>\n<\/tr>\n
BCE.PR.A<\/td>\nFixFloat<\/td>\n-5.4268%<\/td>\n <\/td>\n<\/tr>\n
FBS.PR.B<\/td>\nSplitShare<\/td>\n-5.1881%<\/td>\nAsset coverage of 1.1-:1 as of December 11 according to TD Securities<\/a>. Now with a pre-tax bid-YTW of 16.55% based on a bid of 7.31 and a hardMaturity 2011-12-15 at 10.00. Closing quote of 7.31-45, 10×10. Day’s range of 7.20-71.<\/td>\n<\/tr>\n
BCE.PR.I<\/td>\nFixFloat<\/td>\n-4.4185%<\/td>\n <\/td>\n<\/tr>\n
BNS.PR.J<\/td>\nPerpetualDiscount<\/td>\n-3.3315%<\/td>\nNow with a pre-tax bid-YTW of 7.68% based on a bid of 17.41 and a limitMaturity<\/a>. Closing quote 17.41-50, 4×20. Day’s range of 17.21-09.<\/td>\n<\/tr>\n
BCE.PR.Y<\/td>\nFixFloat<\/td>\n-3.0612%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.J<\/td>\nOpRet<\/td>\n-2.8452%<\/td>\nNow with a pre-tax bid-YTW of 14.07% based on a bid of 14.00 and a softMaturity<\/a> 2018-3-30 at 25.00. Now with a pre-tax bid-YTW of 14.00-25, 10×10. Day’s range of 14.00-15.15.<\/td>\n<\/tr>\n
TD.PR.S<\/td>\nFixedReset<\/td>\n-2.7078%<\/td>\n <\/td>\n<\/tr>\n
BAM.PR.N<\/td>\nPerpetualDiscount<\/td>\n-2.5974%<\/td>\nNow with a pre-tax bid-YTW of 12.29% based on a bid of 9.75 and a limitMaturity<\/a>. Closing quote 9.75-84, 2×1. Day’s range of 9.51-00.<\/td>\n<\/tr>\n
CIU.PR.A<\/td>\nPerpetualDiscount<\/td>\n-2.5271%<\/td>\nNow with a pre-tax bid-YTW of 8.63% based on a bid of 13.50 and a limitMaturity<\/a>. Closing quote 13.50-71, 2×1. Day’s range of 13.50-71.<\/td>\n<\/tr>\n
HSB.PR.D<\/td>\nPerpetualDiscount<\/td>\n-2.5000%<\/td>\nNow with a pre-tax bid-YTW of 8.06% based on a bid of 15.60 and a limitMaturity<\/a>. Closing quote 15.60-25, 5×4. Day’s range of 15.75-25.<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetualDiscount<\/td>\n-2.1449%<\/td>\nNow with a pre-tax bid-YTW of 7.93% based on a bid of 16.88 and a limitMaturity<\/a>. Closing quote 16.88-30, 4×7. Day’s range of 16.85-70.<\/td>\n<\/tr>\n
SLF.PR.A<\/td>\nPerpetualDiscount<\/td>\n+2.0423%<\/td>\nNow with a pre-tax bid-YTW of 8.24% based on a bid of 14.49 and a limitMaturity<\/a>. Closing quote 14.49-50, 1×38. Day’s range of 14.12-50.<\/td>\n<\/tr>\n
BAM.PR.B<\/td>\nFloater<\/td>\n+2.1472%<\/td>\n <\/td>\n<\/tr>\n
WFS.PR.A<\/td>\nSplitShare<\/td>\n+2.1879%<\/td>\nAsset coverage of 1.2+:1 as of December 4 according to Mulvihill<\/a>. Now with a pre-tax bid-YTW of 15.29% based on a bid of 7.94 and a hardMaturity 2011-6-30 at 10.00. Closing quote of 7.94-26, 50×22. Day’s range of 7.51-10.<\/td>\n<\/tr>\n
FFN.PR.A<\/td>\nSplitShare<\/td>\n+2.4320%<\/td>\nAsset coverage of 1.3+:1 as of November 28 according to the company<\/a>. Now with a pre-tax bid-YTW of 12.23% based on a bid of 7.16 and a hardMaturity<\/a> 2014-12-1 at 10.00. Closing quote of 7.16-32, 40×10. Day’s range of 6.74-25.<\/td>\n<\/tr>\n
TD.PR.A<\/td>\nFixedReset<\/td>\n+2.8169%<\/td>\n <\/td>\n<\/tr>\n
DFN.PR.A<\/td>\nSplitShare<\/td>\n+2.8249%<\/td>\nAsset coverage of 1.7+:1 as of November 28 according to the company<\/a>. Now with a pre-tax bid-YTW of 7.22% based on a bid of 9.10 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 9.10-19, 25×18. Day’s range of 8.89-10.<\/td>\n<\/tr>\n
DF.PR.A<\/td>\nSplitShare<\/td>\n+2.9139%<\/td>\nAsset coverage of 1.4+:1 as of November 28 according to the company<\/a>. Now with a pre-tax bid-YTW of 10.49% based on a bid of 7.77 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 7.77-10, 4×5. Day’s range of 7.55-78.<\/td>\n<\/tr>\n
LFE.PR.A<\/td>\nSplitShare<\/td>\n+3.0864%<\/td>\nAsset coverage of 1.6-:1 as of November 28 according to the company<\/a>. Now with a pre-tax bid-YTW of 10.57% based on a bid of 8.35 and a hardMaturity 2012-12-1 at 10.00. Closing quote of 8.35-87, 22×1. Day’s range of 8.00-37.<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n+6.5350%<\/td>\n <\/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.C<\/td>\nFixedReset<\/td>\n119,190<\/td>\nNational crossed one block of 50,000 at 25.00 and another at 25.01.<\/td>\n<\/tr>\n
BNS.PR.L<\/td>\nPerpetualDiscount<\/td>\n77,915<\/td>\nNesbitt crossed 53,300 at 15.30. Now with a pre-tax bid-YTW of 7.49% based on a bid of 15.30 and a limitMaturity.<\/td>\n<\/tr>\n
RY.PR.N<\/td>\nFixedReset<\/td>\n75,690<\/td>\nNational crossed 43,200 at 25.21.<\/td>\n<\/tr>\n
BNS.PR.M<\/td>\nPerpetualDiscount<\/td>\n74,964<\/td>\nNesbitt crossed 53,300 at 15.30. Now with a pre-tax bid-YTW of 7.48% based on a bid of 15.33 and a limitMaturity.<\/td>\n<\/tr>\n
BMO.PR.N<\/td>\nFixedReset<\/td>\n73,230<\/td>\nNesbitt bought 10,000 from National at 24.99. New issue settled yesterday<\/a>.<\/td>\n<\/tr>\n<\/table>\n<\/div>\n

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

Volume continued heavy today, but should start slowing next week. Still, the deadline for tax-loss selling is Wednesday Dec 24, so we shall see! PerpetualDiscounts now yield an average of 6.99% 7.99% pre-tax, equivalent to …<\/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-4467","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4467","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=4467"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/4467\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4467"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4467"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4467"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}