The post BIS Quarterly Review Deprecates ABX Benchmark for SubPrime has been updated to make it a little less cryptic.
Wouldn’t you know it! Just when I’m idiotically busy, Accrued Interest comes up with two good posts:How are Bonds Quoted? (great primer material) and LIBOR our only hope? No … there is another! which introduces
It was clobbering time again in the preferred share market, with Sunlife issues being hit particularly hard, just as they were on June 9. I confess that I don’t know what has been causing this … there doesn’t appear to be any news of note and the common stock isn’t doing anything too alarming.
| 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 | 4.14% | 3.86% | 51,724 | 0.08 | 1 | +0.1182% | 1,114.1 |
| Fixed-Floater | 4.91% | 4.65% | 61,047 | 16.08 | 7 | +0.3801% | 1,020.5 |
| Floater | 4.04% | 4.04% | 66,206 | 17.37 | 2 | +1.3532% | 946.6 |
| Op. Retract | 4.84% | 2.30% | 86,355 | 2.64 | 15 | -0.0331% | 1,057.4 |
| Split-Share | 5.29% | 5.57% | 70,859 | 4.18 | 15 | -0.3525% | 1,050.7 |
| Interest Bearing | 6.08% | 6.03% | 47,157 | 3.79 | 3 | +0.0002% | 1,120.1 |
| Perpetual-Premium | 5.86% | 4.62% | 396,056 | 8.80 | 13 | -0.0144% | 1,023.3 |
| Perpetual-Discount | 5.76% | 5.82% | 223,813 | 14.15 | 59 | -0.3716% | 910.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| SLF.PR.C | PerpetualDiscount | -3.7468% | Now with a pre-tax bid-YTW of 5.87% based on a bid of 19.01 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -2.7475% | Now with a pre-tax bid-YTW of 5.87% based on a bid of 20.53 and a limitMaturity. |
| BNA.PR.B | SplitShare | -2.5653% | Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 8.17% based on a bid of 20.51 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (5.86% to 2010-9-30) and BNA.PR.C (6.81% to 2019-1-10). |
| SLF.PR.A | PerpetualDiscount | -2.4102% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.65 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | -1.7653% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 18.92 and a limitMaturity. |
| SLF.PR.D | PerpetualDiscount | -2.0619% | Now with a pre-tax bid-YTW of 5.88% based on a bid of 19.00 and a limitMaturity. |
| HSB.PR.C | PerpetualDiscount | -1.9867% | Went ex-dividend today … looks like the price over-compensated! Now with a pre-tax bid-YTW of 5.97% based on a bid of 21.45 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.6288% | Now with a pre-tax bid-YTW of 5.64% based on a bid of 19.93 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | -1.6569% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 20.18 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | -1.5984% | Now with a pre-tax bid-YTW of 5.73% based on a bid of 19.70 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | -1.3605% | Now with a pre-tax bid-YTW of 5.93% based on a bid of 21.75 and a limitMaturity. |
| CU.PR.B | PerpetualPremium | -1.1811% | Now with a pre-tax bid-YTW of 5.98% based on a bid of 25.10 and a call 2012-7-1 at 25.00. |
| BMO.PR.K | PerpetualDiscount | -1.0435% | Now with a pre-tax bid-YTW of 5.82% based on a bid of 22.76 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | -1.0127% | Now with a pre-tax bid-YTW of 5.77% based on a bid of 19.55 and a limitMaturity. |
| BCE.PR.R | FixFloat | +1.0941% | |
| IAG.PR.A | PerpetualDiscount | +1.1219% | Now with a pre-tax bid-YTW of 5.82% based on a bid of 19.83 and a limitMaturity. |
| BCE.PR.C | FixFloat | +1.1379% | |
| BAM.PR.B | Floater | +2.8199% | Went ex-dividend today, but the price went up anyway! |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| NTL.PR.G | Scraps (Would be Ratchet, but there are credit concerns) | 176,800 | |
| NTL.PR.F | Scraps (Would be Ratchet, but there are credit concerns) | 142,942 | CIBC crossed 100,000 at 11.00. |
| TD.PR.O | PerpetualDiscount | 113,135 | Nesbitt crossed 50,000 at 22.36; National Bank crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.51% based on a bid of 22.32 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | 56,890 | Now with a pre-tax bid-YTW of 5.63% based on a bid of 19.96 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | 49,200 | Now with a pre-tax bid-YTW of 5.65% based on a bid of 21.01 and a limitMaturity. |
| TD.PR.R | PerpetualPremium | 46,300 | Now with a pre-tax bid-YTW of 5.70% based on a bid of 25.13 and a limitMaturity. |
| BNS.PR.O | PerpetualPremium | 42,507 | “Anonymous” bought 40,000 from RBC in five tranches, all at 25.10 … not necessarily the same “anonymous”. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.10 and a limitMaturity. |
There were twenty other index-included $25-pv-equivalent issues trading over 10,000 shares today.