The OSFI/ABCP post has been updated with news of remarks by Supt. Dixon to the Commons Finance Committee.
Another very – very – poor day in the market. Volume, though, was relatively light. Now, this is getting a whole lot closer to Technical Analysis than I like, but this does lend some credence to my speculation that this downdraft is retail-driven. Whether or not that actually means anything in terms of future performance is, of course, another matter. entirely.
| 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 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.16% | 4.18% | 49,571 | 17.09 | 1 | +0.0000% | 1,114.1 |
| Fixed-Floater | 4.96% | 4.72% | 59,877 | 15.98 | 7 | -0.7863% | 1,008.8 |
| Floater | 4.06% | 4.06% | 69,576 | 17.32 | 2 | +1.7552% | 943.8 |
| Op. Retract | 4.84% | 2.38% | 85,107 | 2.40 | 15 | +0.0235% | 1,057.8 |
| Split-Share | 5.32% | 5.62% | 68,502 | 4.14 | 15 | -0.5980% | 1,045.3 |
| Interest Bearing | 6.09% | 6.05% | 45,812 | 3.77 | 3 | +0.0003% | 1,118.6 |
| Perpetual-Premium | 5.89% | 4.98% | 377,190 | 9.56 | 13 | -0.1597% | 1,018.1 |
| Perpetual-Discount | 5.85% | 5.92% | 219,683 | 13.99 | 59 | -0.6834% | 896.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.B | SplitShare | -6.0711% | Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 9.43% based on a bid of 19.03 and a hardMaturity 2016-3-25 at 25.00. Amusingly (or not, depending on your point of view), the price was actually UP on a close/close basis, as all three board-lot trades on the day were executed at 20.75. Closed at 19.03-20-49, 12×4, in an impressive display of market-making. Compare with BNA.PR.A (6.18% to 2010-9-30) and BNA.PR.C (7.75% to 2019-1-10). |
| BNA.PR.C | SplitShare | -5.4591% | It did this on NO volume, closing at 19.05-20.25, 22×6. See BNA.PR.B, above. |
| BMO.PR.H | PerpetualDiscount | -3.2538% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.30 and a limitMaturity. |
| BCE.PR.C | FixFloat | -3.0446% | |
| PWF.PR.L | PerpetualDiscount | -2.2978% | Now with a pre-tax bid-YTW of 6.10% based on a bid of 21.26 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | -2.1869% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -1.4342% | Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.93 and a limitMaturity. |
| POW.PR.C | PerpetualDiscount | -1.8036% | Now with a pre-tax bid-YTW of 6.02% based on a bid of 24.50 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | -1.5378% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 24.33 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | -1.4627% | Now with a pre-tax bid-YTW of 5.88% based on a bid of 20.21 and a limitMaturity. |
| TD.PR.O | PerpetualDiscount | -1.4078% | Now with a pre-tax bid-YTW of 5.66% based on a bid of 21.71 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.3514% | Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.71 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | -1.0155% | Now with a pre-tax bid-YTW of 6.03% based on a bid of 18.52 and a limitMaturity. |
| BNS.PR.J | PerpetualDiscount | -1.3240% | Now with a pre-tax bid-YTW of 5.53% based on a bid of 23.85 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | -1.2641% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 21.87 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | -1.2500% | Now with a pre-tax bid-YTW of 5.62% based on a bid of 23.70 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | -1.2471% | Now with a pre-tax bid-YTW of 5.88% based on a bid of 21.38 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | -1.2392% | Now with a pre-tax bid-YTW of 6.61% based on a bid of 18.33 and a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | -1.1986% | Now with a pre-tax bid-YTW of 6.90% based on a bid of 17.31 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | -1.1704% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 21.11 and a limitMaturity. |
| BCE.PR.Z | FixFloat | -1.1550% | |
| GWO.PR.I | PerpetualDiscount | -1.1213% | Now with a pre-tax bid-YTW of 5.82% based on a bid of 19.40 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | -1.1083% | Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.63 and a limitMaturity. |
| BCE.PR.R | FixFloat | -1.0989% | |
| SLF.PR.E | PerpetualDiscount | -1.0256% | Now with a pre-tax bid-YTW of 5.86% based on a bid of 19.30 and a limitMaturity. |
| BAM.PR.B | Floater | +3.0348% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BAM.PR.K | Floater | 45,600 | |
| CM.PR.D | PerpetualDiscount | 27,000 | Desjardins bought 10,000 from Anonymous at 24.60, then 10,000 from Bolder (who?) at 24.57. Now with a pre-tax bid-YTW of 5.99% based on a bid of 24.35 and a limitMaturity. |
| CM.PR.I | PerpetualDiscount | 20,735 | Now with a pre-tax bid-YTW of 6.17% based on a bid of 19.39 and a limitMaturity. |
| RY.PR.W | PerpetualDiscount | 17,902 | Now with a pre-tax bid-YTW of 5.58% based on a bid of 22.16 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | 17,220 | Now with a pre-tax bid-YTW of 6.06% based on a bid of 19.68 and a limitMaturity. |
There were fourteen other index-included $25-pv-equivalent issues trading over 10,000 shares today.