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.
This entry was posted on Wednesday, July 23rd, 2008 at 10:25 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
You can leave a response, or trackback from your own site.