June 18, 2008

Another thoroughly appalling day for the preferred share market. The dividend yield on PerpetualDiscounts is now 6.07%, equivalent to interest of 8.50%. Long Corporates are now at about 6.15%, so the PerpetualDiscount Interest Equivalent spread to long corporates is now at a stunning 235bp, while the 30-year Canada is now at 4.15%. See Party Like It’s 1999! for an illustration of why the PDIE spread is “stunning”.

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 4.18% 4.19% 51,627 17.00 1 -0.0393% 1,115.0
Fixed-Floater 4.96% 4.72% 61,452 15.98 7 -0.3252% 1,010.2
Floater 4.05% 4.05% 71,224 17.33 2 +0.5677% 945.0
Op. Retract 4.85% 2.52% 87,437 2.56 15 -0.0942% 1,055.5
Split-Share 5.30% 5.61% 69,131 4.16 15 +0.0665% 1,050.7
Interest Bearing 6.09% 3.98% 48,952 2.03 3 +0.1004% 1,124.5
Perpetual-Premium 5.95% 4.82% 369,839 11.11 13 -0.3102% 1,008.9
Perpetual-Discount 6.00% 6.07% 222,203 13.78 59 -1.1154% 875.4
Major Price Changes
Issue Index Change Notes
SLF.PR.D PerpetualDiscount -4.2246% Now with a pre-tax bid-YTW of 6.24% based on a bid of 17.91 and a limitMaturity.
POW.PR.A PerpetualDiscount -4.0732% Now with a pre-tax bid-YTW of 6.16% based on a bid of 22.73 and a limitMaturity.
PWF.PR.E PerpetualDiscount -3.5000% Now with a pre-tax bid-YTW of 6.00% based on a bid of 23.16 and a limitMaturity.
GWO.PR.I PerpetualDiscount -3.0649% Now with a pre-tax bid-YTW of 6.06% based on a bid of 18.66 and a limitMaturity.
W.PR.H PerpetualDiscount -2.6510% Now with a pre-tax bid-YTW of 6.24% based on a bid of 22.40 and a limitMaturity.
TD.PR.O PerpetualDiscount -2.4988% Now with a pre-tax bid-YTW of 5.85% based on a bid of 21.07 and a limitMaturity.
RY.PR.D PerpetualDiscount -2.2108% Now with a pre-tax bid-YTW of 5.99% based on a bid of 19.02 and a limitMaturity.
W.PR.J PerpetualDiscount -2.1730% Now with a pre-tax bid-YTW of 6.34% based on a bid of 22.51 and a limitMaturity.
TD.PR.P PerpetualDiscount -2.1450% Now with a pre-tax bid-YTW of 5.84% based on a bid of 22.81 and a limitMaturity.
ELF.PR.G PerpetualDiscount -2.0533% Now with a pre-tax bid-YTW of 6.88% based on a bid of 17.65 and a limitMaturity.
RY.PR.A PerpetualDiscount -2.0103% Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.01 and a limitMaturity.
CM.PR.P PerpetualDiscount -1.9512% Now with a pre-tax bid-YTW of 6.31% based on a bid of 22.11 and a limitMaturity.
RY.PR.E PerpetualDiscount -1.8528% Now with a pre-tax bid-YTW of 5.97% based on a bid of 19.07 and a limitMaturity.
IAG.PR.A PerpetualDiscount -1.8480% Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.12 and a limitMaturity.
BNS.PR.L PerpetualDiscount -1.7312% Now with a pre-tax bid-YTW of 5.93% based on a bid of 19.30 and a limitMaturity.
BNS.PR.M PerpetualDiscount -1.6811% Now with a pre-tax bid-YTW of 5.93% based on a bid of 19.30 and a limitMaturity.
BAM.PR.N PerpetualDiscount -1.6451% Now with a pre-tax bid-YTW of 7.14% based on a bid of 16.74 and a limitMaturity.
RY.PR.C PerpetualDiscount -1.5768% Now with a pre-tax bid-YTW of 6.02% based on a bid of 19.35 and a limitMaturity.
ELF.PR.F PerpetualDiscount -1.3965% Now with a pre-tax bid-YTW of 6.85% based on a bid of 19.77 and a limitMaturity.
RY.PR.F PerpetualDiscount -1.3492% Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.01 and a limitMaturity.
BMO.PR.J PerpetualDiscount -1.3326% Now with a pre-tax bid-YTW of 5.91% based on a bid of 19.25 and a limitMaturity.
BCE.PR.A FixFloat -1.2848%  
BNS.PR.J PerpetualDiscount -1.2314% Now with a pre-tax bid-YTW of 5.69% based on a bid of 23.26 and a limitMaturity.
MFC.PR.B PerpetualDiscount -1.2225% Now with a pre-tax bid-YTW of 5.79% based on a bid of 20.20 and a limitMaturity.
SLF.PR.B PerpetualDiscount -1.2152% Now with a pre-tax bid-YTW of 6.18% based on a bid of 19.51 and a limitMaturity.
RY.PR.B PerpetualDiscount -1.2066% Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.65 and a limitMaturity.
RY.PR.G PerpetualDiscount -1.1942% Now with a pre-tax bid-YTW of 5.99% based on a bid of 19.03 and a limitMaturity.
BNA.PR.B SplitShare -1.1846% Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 8.60% based on a bid of 20.02 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (6.18% to 2010-9-30) and BNA.PR.C (7.01% to 2019-1-10).
SLF.PR.A PerpetualDiscount -1.1771% Now with a pre-tax bid-YTW of 6.18% based on a bid of 19.31 and a limitMaturity.
GWO.PR.H PerpetualDiscount -1.1707% Now with a pre-tax bid-YTW of 6.01% based on a bid of 20.26 and a limitMaturity.
NA.PR.L PerpetualDiscount -1.1581% Now with a pre-tax bid-YTW of 6.27% based on a bid of 19.63 and a limitMaturity.
SLF.PR.E PerpetualDiscount -1.1506% Now with a pre-tax bid-YTW of 5.98% based on a bid of 18.90 and a limitMaturity.
BCE.PR.R FixFloat -1.1304%  
HSB.PR.D PerpetualDiscount -1.1111% Now with a pre-tax bid-YTW of 6.14% based on a bid of 20.47 and a limitMaturity.
POW.PR.B PerpetualDiscount -1.0825% Now with a pre-tax bid-YTW of 6.06% based on a bid of 22.11 and a limitMaturity.
CM.PR.H PerpetualDiscount -1.0698% Now with a pre-tax bid-YTW of 6.29% based on a bid of 19.42 and a limitMaturity.
MFC.PR.C PerpetualDiscount -1.0495% Now with a pre-tax bid-YTW of 5.72% based on a bid of 19.80 and a limitMaturity.
TD.PR.Q PerpetualDiscount -1.0183% Now with a pre-tax bid-YTW of 5.85% based on a bid of 24.30 and a limitMaturity.
WFS.PR.A SplitShare +1.0417% Asset coverage of just under 1.7:1 as of June 12 according to the company. Now with a pre-tax bid-YTW of 6.34% based on a bid of 9.70 and a hardMaturity 2011-6-30 at 10.00.
POW.PR.C PerpetualDiscount +1.0455% Now with a pre-tax bid-YTW of 6.03% based on a bid of 24.04 and a limitMaturity.
BAM.PR.B Floater +1.1702%  
BMO.PR.H PerpetualDiscount +2.1296% Now with a pre-tax bid-YTW of 6.06% based on a bid of 22.06 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
BMO.PR.I OpRet 162,000 Anonymous bought 122,000 from Nesbitt in six tranches at 25.20 … not necessarily the same “anonymous” for each tranche. Now with a pre-tax bid-YTW of -0.37% based on a bid of 25.18 and a call 2008-7-18 at 25.00.
RY.PR.W PerpetualDiscount 149,975 Now with a pre-tax bid-YTW of 5.58% based on a bid of 22.20 and a limitMaturity.
BNS.PR.K PerpetualDiscount 101,200 Desjardins crossed 90,800 at 21.20. Now with a pre-tax bid-YTW of 5.77% based on a bid of 21.15 and a limitMaturity.
SLF.PR.A PerpetualDiscount 57,270 Anonymous bought 10,000 from Scotia at 19.45. Now with a pre-tax bid-YTW of 6.18% based on a bid of 19.31 and a limitMaturity.
TD.PR.O PerpetualDiscount 45,700 Now with a pre-tax bid-YTW of 5.85% based on a bid of 21.07 and a limitMaturity.

There were twenty-eight other index-included $25-pv-equivalent issues trading over 10,000 shares today.

This entry was posted on Wednesday, June 18th, 2008 at 10:52 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

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