Sorry about the terse nature of these posts, folks.
Another poor day for preferreds, as been previously mentioned; SunLife issues were yet again among the badly hurt.
| 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% | 4.66% | 60,289 | 16.07 | 7 | -0.1649% | 1,018.8 |
| Floater | 4.09% | 4.09% | 66,219 | 17.27 | 2 | -1.1024% | 936.2 |
| Op. Retract | 4.84% | 2.38% | 85,736 | 2.64 | 15 | -0.0515% | 1,056.9 |
| Split-Share | 5.30% | 5.58% | 70,137 | 4.18 | 15 | -0.0270% | 1,050.4 |
| Interest Bearing | 6.09% | 6.02% | 47,164 | 3.78 | 3 | -0.1657% | 1,118.3 |
| Perpetual-Premium | 5.87% | 4.98% | 392,934 | 9.66 | 13 | -0.1853% | 1,021.4 |
| Perpetual-Discount | 5.79% | 5.85% | 223,111 | 14.11 | 59 | -0.4364% | 906.5 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| ELF.PR.G | PerpetualDiscount | -2.4763% | Now with a pre-tax bid-YTW of 6.54% based on a bid of 18.51 and a limitMaturity. |
| BAM.PR.B | Floater | -2.3810% | Catching up from yesterday. |
| GWO.PR.H | PerpetualDiscount | -2.2477% | Now with a pre-tax bid-YTW of 5.71% based on a bid of 21.31 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | -1.9535% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 21.08 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | -1.9370% | Now with a pre-tax bid-YTW of 5.89% based on a bid of 20.25 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | -1.7535% | Now with a pre-tax bid-YTW of 5.73% based on a bid of 19.61 and a limitMaturity. |
| BAM.PR.M | PerpetualDiscount | -1.7299% | Now with a pre-tax bid-YTW of 6.77% based on a bid of 17.61 and a limitMaturity. |
| BNA.PR.C | SplitShare | -1.6585% | Asset coverage of just under 3.6:1 as of May 30 according to the company. Now with a pre-tax bid-YTW of 7.02% based on a bid of 20.16 and a hardMaturity 2019-1-10. Compare with BNA.PR.A (5.86% to 2010-9-30) and BNA.PR.B (8.29% to 2016-3-25). |
| FBS.PR.B | SplitShare | -1.6178% | Asset coverage of just under 1.7:1 as of June 5, according to the company. Now with a pre-tax bid-YTW of 5.64% based on a bid of 9.73 and a hardMaturity 2011-12-15 at 10.00. |
| SLF.PR.D | PerpetualDiscount | -1.5263% | Now with a pre-tax bid-YTW of 5.97% based on a bid of 18.71 and a limitMaturity. |
| SLF.PR.B | PerpetualDiscount | -1.5100% | Now with a pre-tax bid-YTW of 5.96% based on a bid of 20.22 and a limitMaturity. |
| PWF.PR.E | PerpetualDiscount | -1.1424% | Now with a pre-tax bid-YTW of 5.69% based on a bid of 24.23 and a limitMaturity. |
| GWO.PR.F | PerpetualPremium | -1.1236% | Now with a pre-tax bid-YTW of 5.32% based on a bid of 25.52 and a call 2012-10-30 at 25.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BMO.PR.I | OpRet | 635,000 | Nesbitt crossed 634,200 at 25.20 … nice work! Now with a pre-tax bid-YTW of 1.11% based on a bid of 25.13 and a call 2008-7-12 at 25.00 … it will yield 4.08 if it survives until its softMaturity 2008-11-24 at 25.00. |
| NTL.PR.G | Scraps (Would be Ratchet, but there are credit concerns) | 111,678 | |
| RY.PR.B | PerpetualDiscount | 95,710 | Anonymous crossed 90,000 at 21.05 … but they might have been different anonymice and therefore not a cross. Now with a pre-tax bid-YTW of 5.68% based on a bid of 20.91 and a limitMaturity. |
| BMO.PR.L | PerpetualPremium | 70,560 | Now with a pre-tax bid-YTW of 5.89% based on a bid of 25.10 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | 69,500 | Now with a pre-tax bid-YTW of 5.71% based on a bid of 19.90 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | 35,299 | Now with a pre-tax bid-YTW of 5.66% based on a bid of 20.19 and a limitMaturity. |
There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.