Market Action

July 23, 2008

PerpetualDiscounts had a wonderful day today, up nearly a point and closing just short of their value on July 10. They are now down a mere 4.66% on the month, with a weighted-mean-average pre-tax bid-Yield-to-Worst of 6.40% (up 37bp on the month), interest-equivalent to 8.96%, which is a spread of +276bp to long corporates.

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 N/A N/A N/A N/A 0 N/A N/A
Fixed-Floater 4.68% 4.40% 68,855 16.31 6 -0.0675% 1,084.2
Floater 4.17% 4.20% 56,240 17.01 3 -1.1328% 883.8
Op. Retract 4.99% 4.44% 140,946 3.42 17 +0.1973% 1,041.0
Split-Share 5.37% 6.11% 62,575 4.50 14 +0.1881% 1,028.6
Interest Bearing 6.13% 5.93% 40,969 3.69 3 +0.3373% 1,122.9
Perpetual-Premium 6.17% 6.18% 72,676 10.62 4 +0.4087% 977.0
Perpetual-Discount 6.35% 6.40% 232,414 13.36 67 +0.9457% 836.4
Major Price Changes
Issue Index Change Notes
BAM.PR.K Floater -2.2553%  
SLF.PR.D PerpetualDiscount -1.6571% Now with a pre-tax bid-YTW of 6.55% based on a bid of 17.21 and a limitMaturity.
BAM.PR.B Floater -1.3326%  
BNA.PR.B SplitShare -1.3107% Asset coverage of 3.2+:1 as of June 30, according to the company. Now with a pre-tax bid-YTW of 8.48% based on a bid of 20.33 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (6.15% to 2010-9-30) and BNA.PR.C (8.94% to 2019-1-10).
BAM.PR.O OpRet +1.0208% Now with a pre-tax bid-YTW of 6.33% based on a bid of 23.75 and optionCertainty 2013-6-30 at 25.00. Compare with BAM.PR.H (6.46% to 2012-3-30), BAM.PR.I (6.05% to 2013-12-30) and BAM.PR.J (7.02% to 2018-3-30).
BAM.PR.I OpRet +1.0309% See BAM.PR.O, above.
RY.PR.G PerpetualDiscount +1.0603% Now with a pre-tax bid-YTW of 6.22% based on a bid of 18.11 and a limitMaturity.
PWF.PR.H PerpetualDiscount +1.1161% Now with a pre-tax bid-YTW of 6.38% based on a bid of 22.65 and a limitMaturity.
FFN.PR.A SplitShare +1.2461% Asset coverage of just under 1.6:1 as of July 15, according to the company … “As at the close on July 17, 2008, there have been material upward movements in the net asset values ranging from 10% to 25%.” Now with a pre-tax bid-YTW of 5.82% based on a bid of 9.75 and a hardMaturity 2014-12-1 at 10.00.
RY.PR.H PerpetualDiscount +1.2605% Now with a pre-tax bid-YTW of 5.86% based on a bid of 24.10 and a limitMaturity.
CM.PR.P PerpetualDiscount +1.3678% Now with a pre-tax bid-YTW of 6.92% based on a bid of 20.01 and a limitMaturity.
POW.PR.C PerpetualDiscount +1.3806% Now with a pre-tax bid-YTW of 6.63% based on a bid of 22.03 and a limitMaturity.
RY.PR.D PerpetualDiscount +1.3920% Now with a pre-tax bid-YTW of 6.19% based on a bid of 18.21 and a limitMaturity.
BNS.PR.L PerpetualDiscount +1.3959% Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.16 and a limitMaturity.
RY.PR.W PerpetualDiscount +1.4344% Now with a pre-tax bid-YTW of 6.20% based on a bid of 19.80 and a limitMaturity.
SLF.PR.B PerpetualDiscount +1.5500% Now with a pre-tax bid-YTW of 6.40% based on a bid of 19.00 and a limitMaturity.
ELF.PR.G PerpetualDiscount +1.6585% Now with a pre-tax bid-YTW of 7.25% based on a bid of 16.55 and a limitMaturity.
PWF.PR.F PerpetualDiscount +1.6618% Now with a pre-tax bid-YTW of 6.35% based on a bid of 20.80 and a limitMaturity.
TD.PR.P PerpetualDiscount +1.7082% Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.03 and a limitMaturity.
GWO.PR.I PerpetualDiscount +1.7624% Now with a pre-tax bid-YTW of 6.36% based on a bid of 17.90 and a limitMaturity.
PWF.PR.L PerpetualDiscount +1.8267% Now with a pre-tax bid-YTW of 6.58% based on a bid of 19.51 and a limitMaturity.
PWF.PR.K PerpetualDiscount +1.9200% Now with a pre-tax bid-YTW of 6.52% based on a bid of 19.11 and a limitMaturity.
FBS.PR.B SplitShare +1.9792% Asset coverage of 1.5+:1 as of July 17, 2008, according to TD Securities. Now with a pre-tax bid-YTW of 5.64% based on a bid of 9.79 and a hardMaturity 2011-12-15 at 10.00.
POW.PR.B PerpetualDiscount +1.9903% Now with a pre-tax bid-YTW of 6.43% based on a bid of 21.01 and a limitMaturity.
POW.PR.A PerpetualDiscount +2.1127% Now with a pre-tax bid-YTW of 6.49% based on a bid of 21.75 and a limitMaturity.
CM.PR.D PerpetualDiscount +2.1144% Now with a pre-tax bid-YTW of 6.81% based on a bid of 21.25 and a limitMaturity.
RY.PR.B PerpetualDiscount +2.1277% Now with a pre-tax bid-YTW of 6.13% based on a bid of 19.20 and a limitMaturity.
CM.PR.G PerpetualDiscount +2.1388% Now with a pre-tax bid-YTW of 6.95% based on a bid of 19.58 and a limitMaturity.
GWO.PR.H PerpetualDiscount +2.1693% Now with a pre-tax bid-YTW of 6.36% based on a bid of 19.31 and a limitMaturity.
BMO.PR.H PerpetualDiscount +2.2395% Now with a pre-tax bid-YTW of 6.43% based on a bid of 21.00 and a limitMaturity.
CM.PR.E PerpetualDiscount +2.2920% Now with a pre-tax bid-YTW of 6.87% based on a bid of 20.53 and a limitMaturity.
PWF.PR.I PerpetualDiscount +2.5195% Now with a pre-tax bid-YTW of 6.38% based on a bid of 23.60 and a limitMaturity.
GWO.PR.G PerpetualDiscount +3.7313% Now with a pre-tax bid-YTW of 6.31% based on a bid of 20.85 and a limitMaturity.
PWF.PR.E PerpetualDiscount +4.2213% Now with a pre-tax bid-YTW of 6.44% based on a bid of 21.48 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BNS.PR.L PerpetualDiscount 543,211 Nesbitt crossed 500,000 at 18.00, then another 25,000 at the same price. Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.16 and a limitMaturity.
BNS.PR.M PerpetualDiscount 524,912 Nesbitt crossed 500,000 at 18.00. Now with a pre-tax bid-YTW of 6.24% based on a bid of 18.15 and a limitMaturity.
CM.PR.I PerpetualDiscount 523,950 Nesbitt crossed 500,000 at 17.00. Now with a pre-tax bid-YTW of 6.82% based on a bid of 17.36 and a limitMaturity.
PWF.PR.I PerpetualDiscount 254,030 Nesbitt crossed 250,000 at 23.25. Now with a pre-tax bid-YTW of 6.38% based on a bid of 23.60 and a limitMaturity.
BNS.PR.J PerpetualDiscount 226,575 Two trades, four anonymouses. Two blocks of 100,000 at 21.25. Now with a pre-tax bid-YTW of 6.21% based on a bid of 21.28 and a limitMaturity.
BPO.PR.J Scraps (Would be OpRet, but there are credit concerns) 123,950 TD crossed 100,000 at 20.50, then bought 16,200 from Nesbitt at the same price. Now with a pre-tax bid-YTW of 8.98% based on a bid of 20.36 and a softMaturity 2014-12-30 at 25.00.

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

jiHymas

Leave a Reply