Just imagine that there are penetrating and astute observations being made here today, OK?
European bank bail-out friction
Possible higher risk-weight for ABS in Europe
Squabbles and alleged skullduggery at Reserve Primary Fund
| 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. The Fixed-Reset index was added effective 2008-9-5 at that day’s closing value of 1,119.4 for the Fixed-Floater index. |
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| 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 | 4.77% | 4.85% | 82,740 | 15.70 | 6 | -0.3554% | 1,077.7 |
| Floater | 5.36% | 5.40% | 48,769 | 14.87 | 2 | -3.3543% | 750.8 |
| Op. Retract | 5.08% | 5.18% | 126,326 | 3.72 | 14 | -0.2095% | 1,031.0 |
| Split-Share | 5.80% | 8.01% | 56,785 | 4.10 | 12 | -0.1437% | 968.8 |
| Interest Bearing | 6.43% | 7.25% | 42,707 | 3.77 | 3 | -0.5934% | 1,073.4 |
| Perpetual-Premium | 6.25% | 6.29% | 54,941 | 13.49 | 1 | 0.0000% | 993.0 |
| Perpetual-Discount | 6.22% | 6.29% | 179,982 | 13.49 | 70 | -0.0069% | 860.6 |
| Fixed-Reset | 5.10% | 4.99% | 1,186,721 | 15.32 | 10 | -0.1918% | 1,110.8 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BAM.PR.K | Floater | -6.0000% | Closed at 15.51-16.74, with the tmxmoney.com reporting the size as 0x3. Volume 525 shares in the morning, nothing in the afternoon. Ho-hum, just another day of market-making at the Toronto Exchange. |
| BAM.PR.J | OpRet | -4.7064% | Now with a pre-tax bid-YTW of 8.18% based on a bid of 20.57 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (7.11% to 2012-3-30), BAM.PR.I (6.84% to 2013-12-30) and BAM.PR.O (8.84% to 2013-6-30); and with the perpetuals at about 7.6%. |
| DFN.PR.A | SplitShare | -2.2581% | Asset coverage of just under 2.3:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.15% based on a bid of 9.09 and a hardMaturity 2014-12-1 at 10.00. |
| POW.PR.B | PerpetualDiscount | -2.1359% | Now with a pre-tax bid-YTW of 6.67% based on a bid of 20.16 and a limitMaturity. |
| WFS.PR.A | SplitShare | -2.0000% | Asset coverage of just under 1.6:1 as of September 18, according to Mulvihill. Now with a pre-tax bid-YTW of 10.39% based on a bid of 8.82 and a hardMaturity 2011-6-30. Below $9, some might find even the regular monthly retraction to be attractive. |
| BCE.PR.C | FixFloat | -1.5612% | |
| BCE.PR.Z | FixFloat | -1.4614% | |
| GWO.PR.I | PerpetualDiscount | -1.3714% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 17.26 and a limitMaturity. |
| TD.PR.P | PerpetualDiscount | -1.2981% | Now with a pre-tax bid-YTW of 5.86% based on a bid of 22.81 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | -1.2458% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 20.61 and a limitMaturity. |
| FIG.PR.A | InterestBearing | -1.2245% | Asset coverage of 1.7+:1 as of September 29 according to Faircourt. Now with a pre-tax bid-YTW of 6.95% (mostly as interest) based on a bid of 9.68 and a hardMaturity 2014-12-31 at 10.00 |
| BCE.PR.Y | FixFloat | -1.2220% | |
| FTN.PR.A | SplitShare | -1.1364% | Asset coverage of just under 2.2:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.70% based on a bid of 8.70 and a hardMaturity 2015-12-1 at 10.00 |
| GWO.PR.H | PerpetualDiscount | -1.0633% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 18.61 and a limitMaturity. |
| BNA.PR.C | SplitShare | -1.0338% | Asset coverage of 3.2+:1 as of August 31 according to the company. Coverage now of just under 2.8:1 based on BAM.A at 28.97 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 11.68% (!) based on a bid of 14.36 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (9.60% to 2010-9-30) and BNA.PR.B (9.54% to 2016-3-25). |
| BCE.PR.A | FixFloat | -1.0309% | |
| BAM.PR.H | OpRet | -1.0305% | See BAM.PR.J, above |
| FBS.PR.B | SplitShare | +1.1957% | Asset coverage of 1.6+:1 as of September 25, according to TD Securities. Now with a pre-tax bid-YTW of 7.33% based on a bid of 9.31 and a hardMaturity 2011-12-15 at 10.00 |
| CIU.PR.A | PerpetualDiscount | +1.2625% | Now with a pre-tax bid-YTW of 6.05% based on a bid of 19.25 and a limitMaturity. |
| HSB.PR.C | PerpetualDiscount | +1.3131% | Now with a pre-tax bid-YTW of 6.41% based on a bid of 20.06 and a limitMaturity. |
| GWO.PR.G | PerpetualDiscount | +1.6183% | Now with a pre-tax bid-YTW of 6.14% based on a bid of 21.35 and a limitMaturity. |
| BCE.PR.G | FixFloat | +1.9108% | |
| LFE.PR.A | SplitShare | +1.9629% | Asset coverage of 2.2+:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.12% based on a bid of 9.35 and a hardMaturity 2012-12-1 at 10.00 |
| W.PR.H | PerpetualDiscount | +2.0202% | Now with a pre-tax bid-YTW of 6.84% based on a bid of 20.20 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | +2.2770% | Now with a pre-tax bid-YTW of 6.38% based on a bid of 22.01 and a limitMaturity. |
| SBN.PR.A | SplitShare | +2.7397% | Asset coverage of 2.1+:1 as of September 18, according to Mulvihill. Now with a pre-tax bid-YTW of 7.38% based on a bid of 9.00 and a hardMaturity 2014-12-1 at 10.00. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.E | PerpetualDiscount | 84,132 | Desjardins crossed 75,000 at 18.35. Now with a pre-tax bid-YTW of 6.22% based on a bid of 18.24 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | 73,500 | Nesbitt crossed 13,000 at 20.30, TD crossed 60,000 at 20.10. Now with a pre-tax bid-YTW of 7.02% based on a bid of 20.01 and a limitMaturity. |
| BNS.PR.M | PerpetualDiscount | 69,400 | Nesbitt crossed 50,000 at 19.75. Now with a pre-tax bid-YTW of 5.81% based on a bid of 19.73 and a limitMaturity. |
| CM.PR.D | PerpetualDiscount | 58,784 | TD crossed 49,800 at 20.75. Now with a pre-tax bid-YTW of 6.98% based on a bid of 20.66 and a limitMaturity. |
| BNS.PR.R | FixedReset | 57,820 | RBC bought 10,000 and 25,000, both lots at 24.85, both from anonymous. |
There were seventeen other index-included $25-pv-equivalent issues trading over 10,000 shares today.