In one of the year’s easier calls, BCE issues skyrocketted today … now, if only I’d known that while Friday’s market was still trading! As suspected, the broader market followed. Volume was OK, but nothing special … my suspicion is that the Swoon in June was largely retail window dressing (based on the the strange price behaviour and relatively low volume) and that institutional players – such as they are – are looking at all this kerfuffle with an air of bemusement.
But what do I know?
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 | 4.21% | 4.23% | 52,104 | 16.97 | 1 | -0.0393% | 1,114.1 |
Fixed-Floater | 4.81% | 4.54% | 64,821 | 16.17 | 7 | +5.2272% | 1,042.3 |
Floater | 4.01% | 4.01% | 69,500 | 17.40 | 2 | +0.7841% | 955.2 |
Op. Retract | 4.85% | 2.86% | 85,966 | 2.55 | 15 | -0.2108% | 1,055.1 |
Split-Share | 5.30% | 5.66% | 67,029 | 4.14 | 15 | +0.1020% | 1,049.7 |
Interest Bearing | 6.10% | 3.08% | 47,609 | 2.01 | 3 | +0.1674% | 1,123.4 |
Perpetual-Premium | 5.92% | 4.65% | 351,774 | 9.52 | 13 | +0.6112% | 1,013.1 |
Perpetual-Discount | 5.95% | 6.02% | 222,299 | 13.84 | 59 | +0.8044% | 882.6 |
Major Price Changes | |||
Issue | Index | Change | Notes |
GWO.PR.E | OpRet | -1.1262% | Now with a pre-tax bid-YTW of 4.01% based on a bid of 25.46 and a call 2011-4-30 at 25.00. |
SLF.PR.B | PerpetualDiscount | +1.0050% | Now with a pre-tax bid-YTW of 6.01% based on a bid of 20.10 and a limitMaturity. |
MFC.PR.C | PerpetualDiscount | +1.0101% | Now with a pre-tax bid-YTW of 5.67% based on a bid of 20.00 and a limitMaturity. |
W.PR.J | PerpetualDiscount | +1.1995% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 22.78 and a limitMaturity. |
PWF.PR.I | PerpetualPremium | +1.2000% | Now with a pre-tax bid-YTW of 5.95% based on a bid of 25.30 and a call 2012-5-30 at 25.00. |
SBN.PR.A | Splitshare | +1.2024% | Asset coverage of 2.2+:1 as of June 12 according to Mulvihill. Now with a pre-tax bid-YTW of 5.10% based on a bid of 10.10 and a hardMaturity 2014-12-1 at 10.00. |
HSB.PR.D | PerpetualDiscount | +1.2048% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 21.00 and a limitMaturity. |
BNS.PR.N | PerpetualDiscount | +1.3333% | Now with a pre-tax bid-YTW of 5.85% based on a bid of 22.80 and a limitMaturity. |
CM.PR.J | PerpetualDiscount | +1.3774% | Now with a pre-tax bid-YTW of 6.23% based on a bid of 18.40 and a limitMaturity. |
RY.PR.G | PerpetualDiscount | +1.4263% | Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.20 and a limitMaturity. |
BAM.PR.K | Floater | +1.5702% | |
RY.PR.D | PerpetualDiscount | +1.5873% | Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.20 and a limitMaturity. |
CM.PR.D | PerpetualDiscount | +1.6000% | Now with a pre-tax bid-YTW of 6.06% based on a bid of 24.13 and a limitMaturity. |
CM.PR.E | PerpetualDiscount | +1.7467% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 23.30 and a limitMaturity. |
CM.PR.H | PerpetualDiscount | +1.7653% | Now with a pre-tax bid-YTW of 6.24% based on a bid of 19.60 and a limitMaturity. |
ELF.PR.G | PerpetualDiscount | +2.0397% | Now with a pre-tax bid-YTW of 6.74% based on a bid of 18.01 and a limitMaturity. |
SLF.PR.E | PerpetualDiscount | +2.0942% | Now with a pre-tax bid-YTW of 5.80% based on a bid of 19.50 and a limitMaturity. |
RY.PR.B | PerpetualDiscount | +2.2727% | Now with a pre-tax bid-YTW of 5.88% based on a bid of 20.25 and a limitMaturity. |
PWF.PR.F | PerpetualDiscount | +2.3459% | Now with a pre-tax bid-YTW of 5.99% based on a bid of 22.25 and a limitMaturity. |
PWF.PR.L | PerpetualDiscount | +2.3810% | Now with a pre-tax bid-YTW of 6.04% based on a bid of 21.50 and a limitMaturity. |
POW.PR.A | PerpetualDiscount | +2.4313% | Now with a pre-tax bid-YTW of 6.16% based on a bid of 22.75 and a limitMaturity. |
CM.PR.P | PerpetualDiscount | +2.4719% | Now with a pre-tax bid-YTW of 6.11% based on a bid of 22.80 and a limitMaturity. |
RY.PR.C | PerpetualDiscount | +2.5907% | Now with a pre-tax bid-YTW of 5.88% based on a bid of 19.80 and a limitMaturity. |
IAG.PR.A | PerpetualDiscount | +2.7027% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 19.80 and a limitMaturity. |
POW.PR.C | PerpetualDiscount | +2.7027% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 23.90 and a limitMaturity. |
BCE.PR.G | FixFloat | +4.7727% | |
BCE.PR.Z | FixFloat | +4.8526% | |
BCE.PR.C | FixFloat | +5.6000% | |
BCE.PR.R | FixFloat | +5.8296% | |
BCE.PR.I | FixFloat | +7.5455% | |
BCE.PR.A | FixFloat | +8.1818% |
Volume Highlights | |||
Issue | Index | Volume | Notes |
RY.PR.E | PerpetualDiscount | 47,200 | Nesbitt bought 10,000 from HSBC at 19.20. Now with a pre-tax bid-YTW of 5.94% based on a bid of 19.18 and a limitMaturity. |
BCE.PR.Z | FixFloat | 41,867 | CIBC crossed 40,500 at 23.10. |
MFC.PR.C | PerpetualDiscount | 36,661 | Now with a pre-tax bid-YTW of 5.67% based on a bid of 20.00 and a limitMaturity. |
SLF.PR.A | PerpetualDiscount | 33,450 | CIBC crossed 25,000 at 19.80. Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.76 and a limitMaturity. |
ELF.PR.G | PerpetualDiscount | 32,100 | Nesbitt bought 28,000 from RBC at 18.00 in five tranches. Now with a pre-tax bid-YTW of 6.74% based on a bid of 18.01 and a limitMaturity. |
There were twenty-one other index-included $25-pv-equivalent issues trading over 10,000 shares today.