Well! The market appears to have decided that the end of the world is perhaps not quite as imminent as previously thought, with the perpetual indices up strongly today. BCE issues were also up big-time, perhaps influenced by the Rob Carrick article.
The perpetuals are still down on the week-to-date, however, and tomorrow’s US CPI number could, potentially, have an effect. We’ll see.
| 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 | 5.57% | 5.66% | 30,671 | 14.58 | 2 | +0.1329% | 955.8 |
| Fixed-Floater | 5.62% | 5.76% | 134,995 | 14.62 | 7 | +1.5985% | 894.1 |
| Floater | 4.84% | 3.81% | 94,684 | 0.54 | 3 | -0.2389% | 1,046.8 |
| Op. Retract | 4.82% | 3.87% | 86,133 | 3.39 | 17 | +0.1243% | 1,021.5 |
| Split-Share | 5.04% | 4.66% | 172,499 | 4.01 | 15 | +0.4056% | 1,039.6 |
| Interest Bearing | 6.71% | 6.91% | 89,989 | 6.13 | 4 | -0.1916% | 1,032.4 |
| Perpetual-Premium | 5.44% | 5.24% | 149,546 | 9.16 | 34 | +0.3925% | 1,012.8 |
| Perpetual-Discount | 5.11% | 5.15% | 543,583 | 15.23 | 29 | +1.0233% | 954.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.I | OpRet | -1.2177% | Now with a pre-tax bid-YTW of 3.31% based on a bid of 26.77 and a call 2009-7-30 at 25.75. The market is obviously hoping for a softMaturity 2013-12-30 at 25.00, to yield 4.24%. |
| RY.PR.A | PerpetualDiscount | +1.0027% | Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.16 and a limitMaturity. |
| BCE.PR.Z | FixFloat | +1.0733% | |
| BNS.PR.L | PerpetualDiscount | +1.0806% | Now with a pre-tax bid-YTW of 5.08% based on a bid of 22.45 and a limitMaturity. |
| RY.PR.D | PerpetualDiscount | +1.0904% | Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.25 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | +1.1394% | Now with a pre-tax bid-YTW of 5.13% based on a bid of 23.08 and a limitMaturity. |
| CM.PR.P | PerpetualPremium | +1.1549% | Now with a pre-tax bid-YTW of 5.35% based on a bid of 25.40 and a call 2012-11-28 at 25.00 |
| SLF.PR.D | PerpetualDiscount | +1.1628% | Now with a pre-tax bid-YTW of 5.13% based on a bid of 21.75 and a limitMaturity. |
| MFC.PR.C | PerpetualDiscount | +1.1664% | Now with a pre-tax bid-YTW of 5.01% based on a bid of 22.55 and a limitMaturity. |
| RY.PR.W | PerpetualPremium | +1.2392% | Now with a pre-tax bid-YTW of 5.03% based on a bid of 24.51 and a limitMaturity. |
| POW.PR.D | PerpetualDiscount | +1.2500% | Now with a pre-tax bid-YTW of 5.22% based on a bid of 24.30 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | +1.3387% | Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.71 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | +1.3761% | Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.10 and a limitMaturity. |
| RY.PR.E | PerpetualDiscount | +1.4473% | Now with a pre-tax bid-YTW of 5.06% based on a bid of 22.43 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | +1.4605% | Now with a pre-tax bid-YTW of 5.13% based on a bid of 22.23 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | +1.4939% | Now with a pre-tax bid-YTW of 5.11% based on a bid of 22.42 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | +1.6092% | Now with a pre-tax bid-YTW of 5.10% based on a bid of 22.10 and a limitMaturity. |
| MFC.PR.B | PerptualDiscount | +1.6579% | Now with a pre-tax bid-YTW of 5.00% based on a bid of 23.30 and a limitMaturity. |
| ELF.PR.F | PerpetualPremium | +1.7059% | Now with a pre-tax bid-YTW of 5.37% based on a bid of 25.04 and a limitMaturity. |
| PWF.PR.F | PerpetualPremium | +1.7886% | Now with a pre-tax bid-YTW of 5.30% based on a bid of 25.04 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | +1.9533% | Now with a pre-tax bid-YTW of 5.22% based on a bid of 24.01 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | +1.9761% | Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.19 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | +2.1341% | Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.45 and a limitMaturity. |
| BCE.PR.G | FixFloat | +2.1990% | |
| BNS.PR.K | PerpetualPremium (for now!) | +2.3077% | Now with a pre-tax bid-YTW of 5.08% based on a bid of 23.94 and a limitMaturity. |
| BNA.PR.C | SplitShare | +2.7601% | Now with a pre-tax bid-YTW of 4.75% based on a bid of 24.20 and a hardMaturity 2019-1-10 at 25.00. |
| BCE.PR.R | FixFloat | +2.7607% | |
| BCE.PR.I | FixFloat | +5.1536% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.J | PerpetualDiscount | 241,535 | Scotia crossed 15,000 at 22.15. Now with a pre-tax bid-YTW of 5.12% based on a bid of 22.18 and a limitMaturity. |
| CIU.PR.A | PerpetualDiscount | 208,500 | Nesbitt crossed 150,000 at 23.00, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 5.03% based on a bid of 23.00 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | 163,850 | Nesbitt bought 14,600 from Anonymous at 22.10; Desjardins crossed 23,900 at 22.11. Now with a pre-tax bid-YTW of 5.14% based on a bid of 22.20 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | 94,316 | Now with a pre-tax bid-YTW of 5.13% based on a bid of 21.75 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | 69,050 | Now with a pre-tax bid-YTW of 5.18% based on a bid of 23.45 and a limitMaturity. |
There were thirty-two other $25-equivalent index-included issues trading over 10,000 shares today.