October 1, 2008

Just imagine that there are penetrating and astute observations being made here today, OK?

European bank bail-out friction

Possible higher risk-weight for ABS in Europe

Squabbles and alleged skullduggery at Reserve Primary Fund

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.
The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index.
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 4.77% 4.85% 82,740 15.70 6 -0.3554% 1,077.7
Floater 5.36% 5.40% 48,769 14.87 2 -3.3543% 750.8
Op. Retract 5.08% 5.18% 126,326 3.72 14 -0.2095% 1,031.0
Split-Share 5.80% 8.01% 56,785 4.10 12 -0.1437% 968.8
Interest Bearing 6.43% 7.25% 42,707 3.77 3 -0.5934% 1,073.4
Perpetual-Premium 6.25% 6.29% 54,941 13.49 1 0.0000% 993.0
Perpetual-Discount 6.22% 6.29% 179,982 13.49 70 -0.0069% 860.6
Fixed-Reset 5.10% 4.99% 1,186,721 15.32 10 -0.1918% 1,110.8
Major Price Changes
Issue Index Change Notes
BAM.PR.K Floater -6.0000% Closed at 15.51-16.74, with the tmxmoney.com reporting the size as 0x3. Volume 525 shares in the morning, nothing in the afternoon. Ho-hum, just another day of market-making at the Toronto Exchange.
BAM.PR.J OpRet -4.7064% Now with a pre-tax bid-YTW of 8.18% based on a bid of 20.57 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (7.11% to 2012-3-30), BAM.PR.I (6.84% to 2013-12-30) and BAM.PR.O (8.84% to 2013-6-30); and with the perpetuals at about 7.6%.
DFN.PR.A SplitShare -2.2581% Asset coverage of just under 2.3:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.15% based on a bid of 9.09 and a hardMaturity 2014-12-1 at 10.00.
POW.PR.B PerpetualDiscount -2.1359% Now with a pre-tax bid-YTW of 6.67% based on a bid of 20.16 and a limitMaturity.
WFS.PR.A SplitShare -2.0000% Asset coverage of just under 1.6:1 as of September 18, according to Mulvihill. Now with a pre-tax bid-YTW of 10.39% based on a bid of 8.82 and a hardMaturity 2011-6-30. Below $9, some might find even the regular monthly retraction to be attractive.
BCE.PR.C FixFloat -1.5612%  
BCE.PR.Z FixFloat -1.4614%  
GWO.PR.I PerpetualDiscount -1.3714% Now with a pre-tax bid-YTW of 6.57% based on a bid of 17.26 and a limitMaturity.
TD.PR.P PerpetualDiscount -1.2981% Now with a pre-tax bid-YTW of 5.86% based on a bid of 22.81 and a limitMaturity.
PWF.PR.L PerpetualDiscount -1.2458% Now with a pre-tax bid-YTW of 6.31% based on a bid of 20.61 and a limitMaturity.
FIG.PR.A InterestBearing -1.2245% Asset coverage of 1.7+:1 as of September 29 according to Faircourt. Now with a pre-tax bid-YTW of 6.95% (mostly as interest) based on a bid of 9.68 and a hardMaturity 2014-12-31 at 10.00
BCE.PR.Y FixFloat -1.2220%  
FTN.PR.A SplitShare -1.1364% Asset coverage of just under 2.2:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.70% based on a bid of 8.70 and a hardMaturity 2015-12-1 at 10.00
GWO.PR.H PerpetualDiscount -1.0633% Now with a pre-tax bid-YTW of 6.57% based on a bid of 18.61 and a limitMaturity.
BNA.PR.C SplitShare -1.0338% Asset coverage of 3.2+:1 as of August 31 according to the company. Coverage now of just under 2.8:1 based on BAM.A at 28.97 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 11.68% (!) based on a bid of 14.36 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (9.60% to 2010-9-30) and BNA.PR.B (9.54% to 2016-3-25).
BCE.PR.A FixFloat -1.0309%  
BAM.PR.H OpRet -1.0305% See BAM.PR.J, above
FBS.PR.B SplitShare +1.1957% Asset coverage of 1.6+:1 as of September 25, according to TD Securities. Now with a pre-tax bid-YTW of 7.33% based on a bid of 9.31 and a hardMaturity 2011-12-15 at 10.00
CIU.PR.A PerpetualDiscount +1.2625% Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.25 and a limitMaturity.
HSB.PR.C PerpetualDiscount +1.3131% Now with a pre-tax bid-YTW of 6.41% based on a bid of 20.06 and a limitMaturity.
GWO.PR.G PerpetualDiscount +1.6183% Now with a pre-tax bid-YTW of 6.14% based on a bid of 21.35 and a limitMaturity.
BCE.PR.G FixFloat +1.9108%  
LFE.PR.A SplitShare +1.9629% Asset coverage of 2.2+:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.12% based on a bid of 9.35 and a hardMaturity 2012-12-1 at 10.00
W.PR.H PerpetualDiscount +2.0202% Now with a pre-tax bid-YTW of 6.84% based on a bid of 20.20 and a limitMaturity.
POW.PR.A PerpetualDiscount +2.2770% Now with a pre-tax bid-YTW of 6.38% based on a bid of 22.01 and a limitMaturity.
SBN.PR.A SplitShare +2.7397% Asset coverage of 2.1+:1 as of September 18, according to Mulvihill. Now with a pre-tax bid-YTW of 7.38% based on a bid of 9.00 and a hardMaturity 2014-12-1 at 10.00.
Volume Highlights
Issue Index Volume Notes
SLF.PR.E PerpetualDiscount 84,132 Desjardins crossed 75,000 at 18.35. Now with a pre-tax bid-YTW of 6.22% based on a bid of 18.24 and a limitMaturity.
CM.PR.E PerpetualDiscount 73,500 Nesbitt crossed 13,000 at 20.30, TD crossed 60,000 at 20.10. Now with a pre-tax bid-YTW of 7.02% based on a bid of 20.01 and a limitMaturity.
BNS.PR.M PerpetualDiscount 69,400 Nesbitt crossed 50,000 at 19.75. Now with a pre-tax bid-YTW of 5.81% based on a bid of 19.73 and a limitMaturity.
CM.PR.D PerpetualDiscount 58,784 TD crossed 49,800 at 20.75. Now with a pre-tax bid-YTW of 6.98% based on a bid of 20.66 and a limitMaturity.
BNS.PR.R FixedReset 57,820 RBC bought 10,000 and 25,000, both lots at 24.85, both from anonymous.

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

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