On VoxEU, Francesco Giavazzi writes about the suddenly topical OIS / LIBOR spread.
BCE received leave to appeal to the Supreme Court; the case will be heard June 17.
The market drifted downwards, perhaps due to the National Bank Fixed Reset, 5.375%+205 new issue.
| 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 | 4.27% | 4.28% | 54,032 | 16.5 | 1 | -0.1574% | 1,112.4 |
| Fixed-Floater | 4.88% | 4.67% | 62,870 | 16.03 | 7 | -0.6986% | 1,026.2 |
| Floater | 4.07% | 4.12% | 61,352 | 17.09 | 2 | -0.6054% | 926.9 |
| Op. Retract | 4.83% | 2.43% | 89,456 | 2.70 | 15 | +0.0389% | 1,056.7 |
| Split-Share | 5.24% | 5.37% | 73,028 | 4.22 | 15 | +0.1323% | 1,059.2 |
| Interest Bearing | 6.11% | 6.20% | 51,510 | 3.81 | 3 | +0.2373% | 1,115.2 |
| Perpetual-Premium | 5.84% | 5.10% | 415,115 | 6.70 | 13 | +0.0033% | 1,025.6 |
| Perpetual-Discount | 5.67% | 5.71% | 225,444 | 14.31 | 59 | -0.1681% | 924.9 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BCE.PR.G | FixFloat | -2.3684% | |
| RY.PR.F | PerpetualDiscount | -1.3327% | Now with a pre-tax bid-YTW of 5.61% based on a bid of 19.99 and a limitMaturity. |
| BAM.PR.B | Floater | -1.2048% | |
| SLF.PR.C | PerpetualDiscount | -1.1707% | Now with a pre-tax bid-YTW of 5.50% based on a bid of 20.26 and a limitMaturity. |
| BCE.PR.R | FixFloat | -1.1178% | |
| RY.PR.A | PerpetualDiscount | -1.0779% | Now with a pre-tax bid-YTW of 5.56% based on a bid of 20.19 and a limitMaturity. |
| BCE.PR.I | FixFloat | -1.0753% | |
| TD.PR.O | PerpetualDiscount | -1.0204% | Now with a pre-tax bid-YTW of 5.50% based on a bid of 22.31 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -1.0078% | Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.61 and a limitMaturity. |
| W.PR.H | PerpetualDiscount | +1.2074% | Now with a pre-tax bid-YTW of 5.91% based on a bid of 23.47 and a limitMaturity. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.H | PerpetualDiscount | 82,050 | Nesbitt crossed 25,000 at 22.59. Now with a pre-tax bid-YTW of 5.39% based on a bid of 22.50 and a limitMaturity. |
| BMO.PR.L | PerpetualPremium | 74,895 | Nesbitt crossed 60,000 at 25.11. Now with a pre-tax bid-YTW of 5.87% based on a bid of 25.12 and a limitMaturity. |
| FAL.PR.A | Ratchet | 51,750 | Called for redemption. Nesbitt was on the sell side for the day’s last ten trades, starting at 2:12pm and totally 51,650 in a range of 25.38-42. |
| SLF.PR.B | PerpetualDiscount | 40,795 | National Bank crossed each of the day’s last ten trades, time-stamped 3:52 & 3:53, totalling 16,600 shares, all at 21.65. Now with a pre-tax bid-YTW of 5.54% based on a bid of 21.61 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | 24,475 | Now with a pre-tax bid-YTW of 5.89% based on a bid of 20.68 and a limitMaturity. |
There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.