Another up day on extremely light volume – and even more extremely light commenting!
| 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 |
N/A |
N/A |
N/A |
N/A |
0 |
N/A |
N/A |
| Fixed-Floater |
4.69% |
4.40% |
57,072 |
16.41 |
7 |
+0.0709% |
1,090.5 |
| Floater |
4.12% |
4.15% |
55,130 |
17.09 |
3 |
+0.4004% |
897.2 |
| Op. Retract |
5.00% |
4.44% |
125,674 |
2.98 |
17 |
-0.0471% |
1,040.9 |
| Split-Share |
5.36% |
6.04% |
58,231 |
4.46 |
14 |
+0.0899% |
1,033.3 |
| Interest Bearing |
6.31% |
6.86% |
5.27 |
2 |
+0.0515% |
1,109.9 |
| Perpetual-Premium |
6.19% |
6.13% |
72,720 |
2.27 |
1 |
-0.0396% |
987.7 |
| Perpetual-Discount |
6.25% |
6.30% |
206,713 |
13.49 |
67 |
+0.0568% |
850.0 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| IAG.PR.A |
PerpetualDiscount |
-5.0164% |
Now with a pre-tax bid-YTW of 6.71% based on a bid of 17.42 and a limitMaturity. The closing quote was 17.42-30, 2×7. This issue has been extremely volatile lately! |
| MFC.PR.C |
PerpetualDiscount |
-3.4751% |
Now with a pre-tax bid-YTW of 6.15% based on a bid of 18.61 and a limitMaturity. |
| BNA.PR.C |
SplitShare |
-2.6781% |
Asset coverage of 3.2+:1 as of June 30, according to the company. Now with a pre-tax bid-YTW of 9.32% based on a bid of 17.08 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.02% to 2010-9-30) and BNA.PR.B (8.59% to 2016-3-25). |
| CU.PR.A |
PerpetualDiscount |
-2.2403% |
Now with a pre-tax bid-YTW of 6.04% based on a bid of 24.00 and a limitMaturity. |
| BAM.PR.O |
OpRet |
-1.5217% |
Now with a pre-tax bid-YTW of 7.51% based on a bid of 22.65 and a softMaturity 2013-6-30 at 25.00. Compare with BAM.PR.H (6.41% to 2012-3-30), BAM.PR.I (6.51% to 2013-12-30) and BAM.PR.O (7.03% to 2018-3-30). As all Assiduous Readers know, I’m an old bond guy. And even after all my experience in the preferred market, I’m still flabbergasted by this kind of yield spread between comparable issues … giving new meaning to the term “new issue concession”. It would seem that prior half-measures for the underwriters to blow this puppy out of inventory haven’t succeeded! |
| CM.PR.E |
PerpetualDiscount |
-1.1154% |
Now with a pre-tax bid-YTW of 6.94% based on a bid of 20.39 and a limitMaturity. |
| GWO.PR.I |
PerpetualDiscount |
+1.2002% |
Now with a pre-tax bid-YTW of 6.15% based on a bid of 18.55 and a limitMaturity. |
| NA.PR.M |
PerpetualDiscount |
+1.0833% |
Now with a pre-tax bid-YTW of 6.21% based on a bid of 24.26 and a limitMaturity. |
| BAM.PR.B |
Floater |
+1.1111% |
|
| SLF.PR.D |
PerpetualDiscount |
+1.1738% |
Now with a pre-tax bid-YTW of 6.24% based on a bid of 18.10 and a limitMaturity. |
| POW.PR.D |
PerpetualDiscount |
+1.3839% |
Now with a pre-tax bid-YTW of 6.40% based on a bid of 19.78 and a limitMaturity. |
| WFS.PR.A |
SplitShare |
+1.5625% |
Asset coverage of 1.6+:1 as of July 24, according to Mulvihill. Now with a pre-tax bid-YTW of 9.12% based on a bid of 9.10 and a limitMaturity hardMaturity 2011-6-30 at 10.00. |
| POW.PR.C |
PerpetualDiscount |
+1.7544% |
Now with a pre-tax bid-YTW of 6.31% based on a bid of 23.20 and a limitMaturity. |
| ENB.PR.A |
PerpetualDiscount |
+2.3697% |
Now with a pre-tax bid-YTW of 5.89% based on a bid of 23.76 and a limitMaturity. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.L |
PerpetualDiscount |
36,550 |
RBC crossed 30,000 at 23.40. Now with a pre-tax bid-YTW of 6.24% based on a bid of 23.30 and a limitMaturity. |
| BMO.PR.K |
PerpetualDiscount |
32,700 |
RBC crossed 30,000 at 21.00. Now with a pre-tax bid-YTW of 6.30% based on a bid of 20.90 and a limitMaturity. |
| ELF.PR.F |
PerpetualDiscount |
27,325 |
Nesbitt crossed 27,300 at 19.40. Now with a pre-tax bid-YTW of 7.00% based on a bid of 19.17 and a limitMaturity. |
| ELF.PR.G |
PerpetualDiscount |
27,302 |
Nesbitt crossed 27,300 at 17.38. Now with a pre-tax bid-YTW of 7.03% based on a bid of 17.10 and a limitMaturity. |
| BNS.PR.L |
PerpetualDiscount |
17,366 |
Now with a pre-tax bid-YTW of 6.17% based on a bid of 18.41 and a limitMaturity. |
There were three other index-included $25-pv-equivalent issues trading over 10,000 shares today.
This entry was posted on Tuesday, August 5th, 2008 at 8:59 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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