June 23, 2008

In one of the year’s easier calls, BCE issues skyrocketted today … now, if only I’d known that while Friday’s market was still trading! As suspected, the broader market followed. Volume was OK, but nothing special … my suspicion is that the Swoon in June was largely retail window dressing (based on the the strange price behaviour and relatively low volume) and that institutional players – such as they are – are looking at all this kerfuffle with an air of bemusement.

But what do I know?

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 4.21% 4.23% 52,104 16.97 1 -0.0393% 1,114.1
Fixed-Floater 4.81% 4.54% 64,821 16.17 7 +5.2272% 1,042.3
Floater 4.01% 4.01% 69,500 17.40 2 +0.7841% 955.2
Op. Retract 4.85% 2.86% 85,966 2.55 15 -0.2108% 1,055.1
Split-Share 5.30% 5.66% 67,029 4.14 15 +0.1020% 1,049.7
Interest Bearing 6.10% 3.08% 47,609 2.01 3 +0.1674% 1,123.4
Perpetual-Premium 5.92% 4.65% 351,774 9.52 13 +0.6112% 1,013.1
Perpetual-Discount 5.95% 6.02% 222,299 13.84 59 +0.8044% 882.6
Major Price Changes
Issue Index Change Notes
GWO.PR.E OpRet -1.1262% Now with a pre-tax bid-YTW of 4.01% based on a bid of 25.46 and a call 2011-4-30 at 25.00.
SLF.PR.B PerpetualDiscount +1.0050% Now with a pre-tax bid-YTW of 6.01% based on a bid of 20.10 and a limitMaturity.
MFC.PR.C PerpetualDiscount +1.0101% Now with a pre-tax bid-YTW of 5.67% based on a bid of 20.00 and a limitMaturity.
W.PR.J PerpetualDiscount +1.1995% Now with a pre-tax bid-YTW of 6.27% based on a bid of 22.78 and a limitMaturity.
PWF.PR.I PerpetualPremium +1.2000% Now with a pre-tax bid-YTW of 5.95% based on a bid of 25.30 and a call 2012-5-30 at 25.00.
SBN.PR.A Splitshare +1.2024% Asset coverage of 2.2+:1 as of June 12 according to Mulvihill. Now with a pre-tax bid-YTW of 5.10% based on a bid of 10.10 and a hardMaturity 2014-12-1 at 10.00.
HSB.PR.D PerpetualDiscount +1.2048% Now with a pre-tax bid-YTW of 5.99% based on a bid of 21.00 and a limitMaturity.
BNS.PR.N PerpetualDiscount +1.3333% Now with a pre-tax bid-YTW of 5.85% based on a bid of 22.80 and a limitMaturity.
CM.PR.J PerpetualDiscount +1.3774% Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.40 and a limitMaturity.
RY.PR.G PerpetualDiscount +1.4263% Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.20 and a limitMaturity.
BAM.PR.K Floater +1.5702%  
RY.PR.D PerpetualDiscount +1.5873% Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.20 and a limitMaturity.
CM.PR.D PerpetualDiscount +1.6000% Now with a pre-tax bid-YTW of 6.06% based on a bid of 24.13 and a limitMaturity.
CM.PR.E PerpetualDiscount +1.7467% Now with a pre-tax bid-YTW of 6.11% based on a bid of 23.30 and a limitMaturity.
CM.PR.H PerpetualDiscount +1.7653% Now with a pre-tax bid-YTW of 6.24% based on a bid of 19.60 and a limitMaturity.
ELF.PR.G PerpetualDiscount +2.0397% Now with a pre-tax bid-YTW of 6.74% based on a bid of 18.01 and a limitMaturity.
SLF.PR.E PerpetualDiscount +2.0942% Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.50 and a limitMaturity.
RY.PR.B PerpetualDiscount +2.2727% Now with a pre-tax bid-YTW of 5.88% based on a bid of 20.25 and a limitMaturity.
PWF.PR.F PerpetualDiscount +2.3459% Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.25 and a limitMaturity.
PWF.PR.L PerpetualDiscount +2.3810% Now with a pre-tax bid-YTW of 6.04% based on a bid of 21.50 and a limitMaturity.
POW.PR.A PerpetualDiscount +2.4313% Now with a pre-tax bid-YTW of 6.16% based on a bid of 22.75 and a limitMaturity.
CM.PR.P PerpetualDiscount +2.4719% Now with a pre-tax bid-YTW of 6.11% based on a bid of 22.80 and a limitMaturity.
RY.PR.C PerpetualDiscount +2.5907% Now with a pre-tax bid-YTW of 5.88% based on a bid of 19.80 and a limitMaturity.
IAG.PR.A PerpetualDiscount +2.7027% Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.80 and a limitMaturity.
POW.PR.C PerpetualDiscount +2.7027% Now with a pre-tax bid-YTW of 6.07% based on a bid of 23.90 and a limitMaturity.
BCE.PR.G FixFloat +4.7727%  
BCE.PR.Z FixFloat +4.8526%  
BCE.PR.C FixFloat +5.6000%  
BCE.PR.R FixFloat +5.8296%  
BCE.PR.I FixFloat +7.5455%  
BCE.PR.A FixFloat +8.1818%  
Volume Highlights
Issue Index Volume Notes
RY.PR.E PerpetualDiscount 47,200 Nesbitt bought 10,000 from HSBC at 19.20. Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.18 and a limitMaturity.
BCE.PR.Z FixFloat 41,867 CIBC crossed 40,500 at 23.10.
MFC.PR.C PerpetualDiscount 36,661 Now with a pre-tax bid-YTW of 5.67% based on a bid of 20.00 and a limitMaturity.
SLF.PR.A PerpetualDiscount 33,450 CIBC crossed 25,000 at 19.80. Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.76 and a limitMaturity.
ELF.PR.G PerpetualDiscount 32,100 Nesbitt bought 28,000 from RBC at 18.00 in five tranches. Now with a pre-tax bid-YTW of 6.74% based on a bid of 18.01 and a limitMaturity.

There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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