{"id":6469,"date":"2009-05-08T11:37:34","date_gmt":"2009-05-08T15:37:34","guid":{"rendered":"http:\/\/www.prefblog.com\/?p=6469"},"modified":"2009-05-08T11:37:34","modified_gmt":"2009-05-08T15:37:34","slug":"may-7-2009","status":"publish","type":"post","link":"https:\/\/prefblog.com\/?p=6469","title":{"rendered":"May 7, 2009"},"content":{"rendered":"

Across the Curve<\/i> notes that today’s 30-year treasury auction was a disaster<\/a>, perhaps due to considerations of sharply increased supply<\/a>:<\/p>\n

Today\u2019s auction began the Treasury\u2019s monthly sales of the so-called long bond, up from quarterly offerings at the end of last year. That means the government will boost sales of the security from $35 billion in 2008 to $120 billion this year, according to Michael Pond, an interest-rate strategist in New York at Barclays Capital Inc., one of the 16 primary dealers that trade with the central bank and are required to participate in Treasury auctions.<\/p><\/blockquote>\n

After the close, the Fed released results of the stress tests<\/a>.<\/p>\n

Sorry this is so late, folks! Many, many things going on.<\/p>\n\n\n\n\n\n\n\n\n\n\n\n\n
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices<\/strong>
Values are provisional and are finalized monthly<\/td>\n<\/tr>\n
Index<\/td>\nMean
Current
Yield
(at bid)<\/td>\n		Median
YTW<\/td>\n		Median
Average
Trading
Value<\/td>\n		Median
Mod Dur
(YTW)<\/td>\n		Issues<\/td>\nDay’s Perf.<\/td>\nIndex Value<\/td>\n<\/tr>\n
Ratchet<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.7296 %<\/td>\n1,031.5<\/td>\n<\/tr>\n
FixedFloater<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n1.7296 %<\/td>\n1,668.2<\/td>\n<\/tr>\n
Floater<\/td>\n3.65 %<\/td>\n4.30 %<\/td>\n72,325<\/td>\n16.79<\/td>\n3<\/td>\n1.7296 %<\/td>\n1,288.7<\/td>\n<\/tr>\n
OpRet<\/td>\n5.07 %<\/td>\n4.15 %<\/td>\n139,917<\/td>\n1.87<\/td>\n15<\/td>\n0.1705 %<\/td>\n2,147.3<\/td>\n<\/tr>\n
SplitShare<\/td>\n6.04 %<\/td>\n8.02 %<\/td>\n47,742<\/td>\n4.27<\/td>\n3<\/td>\n-0.0791 %<\/td>\n1,778.6<\/td>\n<\/tr>\n
Interest-Bearing<\/td>\n6.00 %<\/td>\n6.62 %<\/td>\n27,956<\/td>\n0.63<\/td>\n1<\/td>\n0.0000 %<\/td>\n1,987.2<\/td>\n<\/tr>\n
Perpetual-Premium<\/td>\n0.00 %<\/td>\n0.00 %<\/td>\n0<\/td>\n0.00<\/td>\n0<\/td>\n0.2187 %<\/td>\n1,681.0<\/td>\n<\/tr>\n
Perpetual-Discount<\/td>\n6.50 %<\/td>\n6.58 %<\/td>\n150,024<\/td>\n13.11<\/td>\n71<\/td>\n0.2187 %<\/td>\n1,548.2<\/td>\n<\/tr>\n
FixedReset<\/td>\n5.77 %<\/td>\n4.92 %<\/td>\n549,814<\/td>\n4.52<\/td>\n36<\/td>\n-0.0313 %<\/td>\n1,961.9<\/td>\n<\/tr>\n<\/table>\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
Performance Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nChange<\/td>\nNotes<\/td>\n<\/tr>\n
BNS.PR.X<\/td>\nFixedReset<\/td>\n-2.01 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-05-25
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.26
\nBid-YTW : 5.18 %<\/td>\n<\/tr>\n
TD.PR.Q<\/td>\nPerpetual-Discount<\/td>\n-1.73 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 22.63
\nEvaluated at bid price : 22.76
\nBid-YTW : 6.20 %<\/td>\n<\/tr>\n
TD.PR.P<\/td>\nPerpetual-Discount<\/td>\n-1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 21.06
\nEvaluated at bid price : 21.06
\nBid-YTW : 6.29 %<\/td>\n<\/tr>\n
BMO.PR.H<\/td>\nPerpetual-Discount<\/td>\n-1.17 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 21.06
\nEvaluated at bid price : 21.06
\nBid-YTW : 6.32 %<\/td>\n<\/tr>\n
NA.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.09 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 18.21
\nEvaluated at bid price : 18.21
\nBid-YTW : 6.70 %<\/td>\n<\/tr>\n
BMO.PR.L<\/td>\nPerpetual-Discount<\/td>\n-1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 22.73
\nEvaluated at bid price : 22.86
\nBid-YTW : 6.36 %<\/td>\n<\/tr>\n
BNA.PR.C<\/td>\nSplitShare<\/td>\n1.08 %<\/td>\nYTW SCENARIO
\nMaturity Type : Hard Maturity
\nMaturity Date\t: 2019-01-10
\nMaturity Price : 25.00
\nEvaluated at bid price : 14.06
\nBid-YTW : 12.45 %<\/td>\n<\/tr>\n
CIU.PR.B<\/td>\nFixedReset<\/td>\n1.12 %<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-01
\nMaturity Price : 25.00
\nEvaluated at bid price : 27.10
\nBid-YTW : 4.78 %<\/td>\n<\/tr>\n
BNS.PR.N<\/td>\nPerpetual-Discount<\/td>\n1.15 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 21.82
\nEvaluated at bid price : 21.90
\nBid-YTW : 6.04 %<\/td>\n<\/tr>\n
BMO.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.26 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 18.51
\nEvaluated at bid price : 18.51
\nBid-YTW : 6.10 %<\/td>\n<\/tr>\n
PWF.PR.F<\/td>\nPerpetual-Discount<\/td>\n1.54 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 19.80
\nEvaluated at bid price : 19.80
\nBid-YTW : 6.69 %<\/td>\n<\/tr>\n
CM.PR.P<\/td>\nPerpetual-Discount<\/td>\n1.65 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 21.53
\nEvaluated at bid price : 21.53
\nBid-YTW : 6.45 %<\/td>\n<\/tr>\n
W.PR.J<\/td>\nPerpetual-Discount<\/td>\n1.84 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 21.01
\nEvaluated at bid price : 21.01
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
NA.PR.K<\/td>\nPerpetual-Discount<\/td>\n2.04 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 22.32
\nEvaluated at bid price : 22.50
\nBid-YTW : 6.53 %<\/td>\n<\/tr>\n
ELF.PR.F<\/td>\nPerpetual-Discount<\/td>\n2.49 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 17.27
\nEvaluated at bid price : 17.27
\nBid-YTW : 7.78 %<\/td>\n<\/tr>\n
GWO.PR.H<\/td>\nPerpetual-Discount<\/td>\n2.82 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 18.25
\nEvaluated at bid price : 18.25
\nBid-YTW : 6.75 %<\/td>\n<\/tr>\n
IAG.PR.A<\/td>\nPerpetual-Discount<\/td>\n2.89 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 17.10
\nEvaluated at bid price : 17.10
\nBid-YTW : 6.83 %<\/td>\n<\/tr>\n
RY.PR.H<\/td>\nPerpetual-Discount<\/td>\n3.41 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 23.77
\nEvaluated at bid price : 23.96
\nBid-YTW : 5.91 %<\/td>\n<\/tr>\n
PWF.PR.L<\/td>\nPerpetual-Discount<\/td>\n3.75 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 19.37
\nEvaluated at bid price : 19.37
\nBid-YTW : 6.65 %<\/td>\n<\/tr>\n
PWF.PR.K<\/td>\nPerpetual-Discount<\/td>\n4.93 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 19.16
\nEvaluated at bid price : 19.16
\nBid-YTW : 6.52 %<\/td>\n<\/tr>\n
BAM.PR.K<\/td>\nFloater<\/td>\n5.35 %<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 9.25
\nEvaluated at bid price : 9.25
\nBid-YTW : 4.30 %<\/td>\n<\/tr>\n<\/table>\n\n\n\n\n\n\n\n\n\n\n
Volume Highlights<\/strong><\/td>\n<\/tr>\n
Issue<\/td>\nIndex<\/td>\nShares
Traded<\/td>\n		Notes<\/td>\n<\/tr>\n
GWO.PR.X<\/td>\nOpRet<\/td>\n158,322<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-09-29
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.30
\nBid-YTW : 4.64 %<\/td>\n<\/tr>\n
RY.PR.D<\/td>\nPerpetual-Discount<\/td>\n98,070<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 18.04
\nEvaluated at bid price : 18.04
\nBid-YTW : 6.26 %<\/td>\n<\/tr>\n
MFC.PR.B<\/td>\nPerpetual-Discount<\/td>\n90,000<\/td>\nYTW SCENARIO
\nMaturity Type : Limit Maturity
\nMaturity Date\t: 2039-05-07
\nMaturity Price : 17.75
\nEvaluated at bid price : 17.75
\nBid-YTW : 6.67 %<\/td>\n<\/tr>\n
MFC.PR.D<\/td>\nFixedReset<\/td>\n87,540<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-07-19
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.30
\nBid-YTW : 5.73 %<\/td>\n<\/tr>\n
PWF.PR.J<\/td>\nOpRet<\/td>\n72,692<\/td>\nYTW SCENARIO
\nMaturity Type : Soft Maturity
\nMaturity Date\t: 2013-07-30
\nMaturity Price : 25.00
\nEvaluated at bid price : 25.61
\nBid-YTW : 4.11 %<\/td>\n<\/tr>\n
RY.PR.Y<\/td>\nFixedReset<\/td>\n68,047<\/td>\nYTW SCENARIO
\nMaturity Type : Call
\nMaturity Date\t: 2014-12-24
\nMaturity Price : 25.00
\nEvaluated at bid price : 26.00
\nBid-YTW : 5.33 %<\/td>\n<\/tr>\n
There were 56 other index-included issues trading in excess of 10,000 shares.<\/td>\n<\/tr>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

Across the Curve notes that today’s 30-year treasury auction was a disaster, perhaps due to considerations of sharply increased supply: Today\u2019s auction began the Treasury\u2019s monthly sales of the so-called long bond, up from quarterly …<\/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-6469","post","type-post","status-publish","format-standard","hentry","category-market-action"],"_links":{"self":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6469","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=6469"}],"version-history":[{"count":0,"href":"https:\/\/prefblog.com\/index.php?rest_route=\/wp\/v2\/posts\/6469\/revisions"}],"wp:attachment":[{"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=6469"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=6469"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/prefblog.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=6469"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}