No commentary today, I’m afraid! Month-end calls, with a shrill, unpleasant, voice!
Besides, I’m sulking. All those comments for March 27 and nobody explained to me why, given prices for all the other instruments, CIT CDSs have to be so expensive. Feh.
Apolcalyptionists will be thrilled to learn that we are within a whisker of deepening the peak-to-trough poor performance that I noted had set a record, March-November 2007. From November 30 to February 29, CPD returned +3.33% … month to date it has returned -2.96%. Mind you, the peak-to-trough referred to the BMOCM-50 Index, which is not the same as the S&P/TSX index referenced by CPD … but a bad day on Monday could make the Official Pain a year-long event.
Overall, a down day on the market, but with lots of outliers. Volume was low.
| 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 | 5.37% | 5.38% | 31,478 | 14.89 | 2 | -0.7049% | 1,089.2 |
| Fixed-Floater | 4.77% | 5.41% | 61,930 | 14.99 | 8 | -0.4357% | 1,044.2 |
| Floater | 4.92% | 4.93% | 77,480 | 15.63 | 2 | +0.9826% | 846.3 |
| Op. Retract | 4.84% | 4.14% | 77,540 | 3.01 | 15 | +0.0473% | 1,048.7 |
| Split-Share | 5.40% | 5.98% | 93,141 | 4.11 | 14 | -0.1498% | 1,022.8 |
| Interest Bearing | 6.21% | 6.31% | 65,274 | 3.93 | 3 | +0.0349% | 1,090.8 |
| Perpetual-Premium | 5.81% | 5.65% | 244,637 | 10.13 | 17 | -0.0048% | 1,020.0 |
| Perpetual-Discount | 5.65% | 5.69% | 288,609 | 14.38 | 52 | -0.1327% | 917.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.M | PerpetualDiscount | -2.7979% | Now with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity. |
| BCE.PR.B | Ratchet | -1.6563% | |
| BCE.PR.Z | FixFloat | -1.6556% | |
| FTU.PR.A | SplitShare | -1.6000% | Asset coverage of just under 1.4:1 as of March 14, according to the company. Now with a pre-tax bid-YTW of 9.00% based on a bid of 8.61 and a hardMaturity 2012-12-1 at 10.00. Seems to me that at these kinds of discounts to NAV, you can start analyzing the issue as an equity substitute and probably come out pretty well on the deal. |
| HSB.PR.D | PerpetualDiscount | -1.5453% | Now with a pre-tax bid-YTW of 5.63% based on a bid of 22.30 and a limitMaturity. |
| WFS.PR.A | SplitShare | -1.5045% | Asset coverage of 1.7+:1 as of March 20, according to Mulvihill. Now with a pre-tax bid-YTW of 5.89% based on a bid of 9.82 and a hardMaturity 2011-6-30 at 10.00. |
| BCE.PR.G | FixFloat | -1.4523% | |
| GWO.PR.H | PerpetualDiscount | -1.3825% | Now with a pre-tax bid-YTW of 5.70% based on a bid of 21.40 and a limitMaturity. |
| CM.PR.D | PerpetualDiscount | -1.1350% | Now with a pre-tax bid-YTW of 5.89% based on a bid of 24.39 and a limitMaturity. |
| FBS.PR.B | SplitShare | +1.0695% | Asset coverage of just under 1.6:1 as of March 27 according to TD Securities. Now with a pre-tax bid-YTW of 6.53% based on a bid of 9.45 and a hardMaturity 2011-12-15 at 10.00. |
| BAM.PR.B | Floater | +1.9737% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| FAL.PR.H | PerpetualPremium | 200,800 | Nesbitt crossed 150,000 at 25.10, then another 50,000 at the same price. Now with a pre-tax bid-YTW of 5.32% based on a bid of 25.01 and a call 2008-4-30 at 25.00. |
| FBS.PR.B | SplitShare | 165,140 | CIBC crossed 150,000 at 9.30, then sold 10,000 to Scotia at 9.35. See above. |
| TD.PR.R | PerpetualDiscount | 40,847 | Now with a pre-tax bid-YTW of 5.67% based on a bid of 24.89 and a limitMaturity. |
| TD.PR.Q | PerpetualDiscount | 39,800 | National Bank crossed 20,000 at 25.20. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.15 and a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | 31,270 | Now with a pre-tax bid-YTW of 6.38% based on a bid of 18.76 and a limitMaturity. |
There were twelve other index-included $25-pv-equivalent issues trading over 10,000 shares today.