Canadian stocks fell, sending the main index to the lowest in three years, as commodity producers slid on concern their profits will be hurt by a global recession.
…
The S&P/TSX fell 5.3 percent to 10,230.43 in Toronto and earlier slid 11 percent for its biggest intraday drop since the “Black Monday” crash of Oct. 19, 1987. Canada’s main index is trading at the lowest level since October 2005, having fallen 32 percent from its June 18 record. All 10 industry groups in the S&P/TSX retreated today as 13 stocks out of 244 rose in Toronto.
Preferred Shares were not immune, with the TXPR down 1.71% compared to the TSX’s 5.30%. PerpetualDiscounts had their worst single day since I started doing these indices 2006-6-30 … the second worst day was a loss of a mere 2.183%. They closed with a weighted-mean average pre-tax bid-YTW of 6.56%, equivalent to 9.18% interest at the standard 1.4x factor. Long corporates closed with a yield of about 6.7%, so the spread is now about 248bp. The recent peak in PerpetualDiscount yield was 6.63% on July 16.
Volume wasn’t particularly heavy today, but there were quite a few SplitShare preferreds trading well above average volumes. Bid-Ask spreads were enormous, and the market is very, very sloppy.
We will see what tomorrow brings!
| 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 | 4.90% | 5.03% | 79,903 | 15.48 | 6 | -1.0852% | 1,050.6 |
| Floater | 5.60% | 5.64% | 49,408 | 14.47 | 2 | -3.4386% | 719.3 |
| Op. Retract | 5.18% | 5.62% | 124,524 | 3.68 | 14 | -1.1827% | 1,013.4 |
| Split-Share | 6.04% | 9.07% | 57,254 | 4.04 | 12 | -3.2975% | 932.4 |
| Interest Bearing | 6.76% | 8.99% | 43,738 | 3.68 | 3 | -4.6180% | 1,022.1 |
| Perpetual-Premium | 6.44% | 6.48% | 55,467 | 13.20 | 1 | -1.6613% | 964.0 |
| Perpetual-Discount | 6.49% | 6.56% | 178,147 | 13.15 | 70 | -2.6004% | 827.5 |
| Fixed-Reset | 5.24% | 5.10% | 1,109,234 | 15.21 | 10 | -0.9498% | 1,089.4 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.B | SplitShare | -12.5397% | Asset coverage of 3.2+:1 as of August 31 according to the company. Coverage now of 2.4+:1 based on BAM.A at 25.27 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 12.13% (!) based on a bid of 16.53 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (10.75% to 2010-9-30) and BNA.PR.C (12.27% to 2019-1-10). As with much else today, this one looks worse than it is … the closing quote was 16.53-17.49, 2×1, but the day’s low was 17.00 … which was still way worse than the previous 52-week low of 18.75. The underlying security of this split share, BAM.A, actually outperformed other equities today, down a mere 3.40%. |
| NA.PR.N | FixedReset | -9.9600% | One of the Toronto Stock Exchange’s favourite quotes, 22.51-25.09. Low for the day was 25.00. |
| GWO.PR.G | PerpetualDiscount | -7.9126% | Now with a pre-tax bid-YTW of 6.92% based on a bid of 18.97 and a limitMaturity. |
| BSD.PR.A | InterestBearing | -7.5342% | Asset coverage of just under 1.3:1 as of October 3, according to Brookfield Funds. The asset coverage implies no more distributions to capital units. Now with a pre-tax bid-YTW of 10.24% based on a bid of 8.10 and a hardMaturity 2015-3-31 at 10.00. |
| BNA.PR.C | SplitShare | -7.1332% | See BNA.PR.B, above |
| CIU.PR.A | PerpetualDiscount | -6.7708% | Now with a pre-tax bid-YTW of 6.52% based on a bid of 17.90 and a limitMaturity. |
| WFS.PR.A | SplitShare | -6.2718% | Asset coverage of 1.5+:1 as of September 30, according to Mulvihill. Now with a pre-tax bid-YTW of 14.16% based on a bid of 8.07 and a hardMaturity 2011-6-30. Below $9, some might find even the regular monthly retraction to be attractive. |
| MFC.PR.C | PerpetualDiscount | -6.0477% | Now with a pre-tax bid-YTW of 6.43% based on a bid of 17.71 and a limitMaturity. |
| W.PR.J | PerpetualDiscount | -5.9512% | Now with a pre-tax bid-YTW of 7.31% based on a bid of 19.28 and a limitMaturity. |
| BAM.PR.N | PerpetualDiscount | -5.7980% | Now with a pre-tax bid-YTW of 8.31% based on a bid of 14.46 and a limitMaturity. |
| CM.PR.E | PerpetualDiscount | -4.9744% | Now with a pre-tax bid-YTW of 7.59% based on a bid of 18.53 and a limitMaturity. |
| PWF.PR.I | PerpetualDiscount | -4.9469% | Now with a pre-tax bid-YTW of 6.58% based on a bid of 23.25 and a limitMaturity. |
| TD.PR.N | OpRet | -4.8573% | Now with a pre-tax bid-YTW of 5.39% based on a bid of 24.05 and a softMaturity 2014-1-30 … but don’t get your hopes up! The closing quote was 24.05-25.49, 7×20, and the low for the day was 25.50. |
| BAM.PR.M | PerpetualDiscount | -4.8387% | Now with a pre-tax bid-YTW of 8.14% based on a bid of 14.75 and a limitMaturity. |
| CM.PR.H | PerpetualDiscount | -4.6226% | Now with a pre-tax bid-YTW of 7.39% based on a bid of 16.30 and a limitMaturity. |
| ELF.PR.G | PerpetualDiscount | -4.5714% | Now with a pre-tax bid-YTW of 7.96% based on a bid of 15.03 and a limitMaturity. |
| PWF.PR.H | PerpetualDiscount | -4.3197% | Now with a pre-tax bid-YTW of 6.62% based on a bid of 22.15 and a limitMaturity. |
| BAM.PR.K | Floater | -4.2969% | |
| NA.PR.M | PerpetualDiscount | -4.2289% | Now with a pre-tax bid-YTW of 6.61% based on a bid of 23.10 and a limitMaturity. |
| FIG.PR.A | InterestBearing | -4.1451% | Asset coverage of 1.6+:1 as of October 3, according to Faircourt. Now with a pre-tax bid-YTW of 7.88% based on a bid of 9.25 and a hardMaturity 2014-12-31 at 10.00. |
| NA.PR.L | PerpetualDiscount | -4.0795% | Now with a pre-tax bid-YTW of 7.69% based on a bid of 18.80 and a limitMaturity. |
| LFE.PR.A | SplitShare | -4.0795% | Asset coverage of 2.2+:1 as of September 15 according to the company. Now with a pre-tax bid-YTW of 7.69% based on a bid of 9.17 and a hardMaturity 2012-12-1 at 10.00 |
| BNS.PR.M | PerpetualDiscount | -3.9256% | Now with a pre-tax bid-YTW of 6.07% based on a bid of 18.60 and a limitMaturity. |
| PWF.PR.L | PerpetualDiscount | -3.8710% | Now with a pre-tax bid-YTW of 6.73% based on a bid of 19.37 and a limitMaturity. |
| GWO.PR.I | PerpetualDiscount | -3.8101% | Now with a pre-tax bid-YTW of 6.92% based on a bid of 16.41 and a limitMaturity. |
| CM.PR.G | PerpetualDiscount | -3.6979% | Now with a pre-tax bid-YTW of 7.33% based on a bid of 18.49 and a limitMaturity. |
| ELF.PR.F | PerpetualDiscount | -3.4562% | Now with a pre-tax bid-YTW of 7.96% based on a bid of 16.76 and a limitMaturity. |
| BNS.PR.J | PerpetualDiscount | -3.2953% | Now with a pre-tax bid-YTW of 5.96% based on a bid of 22.01 and a limitMaturity. |
| DFN.PR.A | SplitShare | -3.2330% | Asset coverage of just under 2.2:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 8.09% based on a bid of 8.68 and a hardMaturity 2014-12-1 at 10.00. |
| BMO.PR.K | PerpetualDiscount | -3.1175% | Now with a pre-tax bid-YTW of 6.61% based on a bid of 20.20 and a limitMaturity. |
| PWF.PR.F | PerpetualDiscount | -3.0923% | Now with a pre-tax bid-YTW of 6.29% based on a bid of 21.31 and a limitMaturity. |
| BNS.PR.L | PerpetualDiscount | -3.0769% | Now with a pre-tax bid-YTW of 5.97% based on a bid of 18.90 and a limitMaturity. |
| NA.PR.K | PerpetualDiscount | -3.0108% | Now with a pre-tax bid-YTW of 6.60% based on a bid of 22.55 and a limitMaturity. |
| HSB.PR.D | PerpetualDiscount | -2.8871% | Now with a pre-tax bid-YTW of 6.82% based on a bid of 18.50 and a limitMaturity. |
| TD.PR.Q | PerpetualDiscount | -2.8807% | Now with a pre-tax bid-YTW of 6.03% based on a bid of 23.25 and a limitMaturity. |
| BAM.PR.H | OpRet | -2.8807% | Now with a pre-tax bid-YTW of 7.71% based on a bid of 23.60 and a softMaturity 2012-3-30 at 25.00. Compare with BAM.PR.I (7.45% to 2013-12-30), BAM.PR.J (9.43% to 2018-3-30) and BAM.PR.O (9.35% to 2013-6-30); and with the perpetuals at 8.14% and 8.31%. |
| CM.PR.I | PerpetualDiscount | -2.8655% | Now with a pre-tax bid-YTW of 7.10% based on a bid of 16.61 and a limitMaturity. |
| TD.PR.O | PerpetualDiscount | -2.8629% | Now with a pre-tax bid-YTW of 6.31% based on a bid of 19.27 and a limitMaturity. |
| POW.PR.A | PerpetualDiscount | -2.7715% | Now with a pre-tax bid-YTW of 6.58% based on a bid of 21.40 and a limitMaturity. |
| TCA.PR.X | PerpetualDiscount | -2.6661% | Now with a pre-tax bid-YTW of 6.17% based on a bid of 45.27 and a limitMaturity. |
| STW.PR.A | InterestBearing | -2.6236% | Asset coverage of just under 1.7:1 as of September 25, according to Middlefield. Now with a pre-tax bid-YTW of 9.00% (mostly as interest) based on a bid of 9.65 and a hardMaturity 2009-12-31. |
| SLF.PR.C | PerpetualDiscount | -2.6111% | Now with a pre-tax bid-YTW of 6.40% based on a bid of 17.53 and a limitMaturity. |
| RY.PR.W | PerpetualDiscount | -2.6091% | Now with a pre-tax bid-YTW of 6.42% based on a bid of 19.41 and a limitMaturity. |
| BAM.PR.B | Floater | -2.5974% | |
| FBS.PR.B | SplitShare | -2.5946% | Asset coverage of 1.5+:1 as of October 2, according to TD Securities. Now with a pre-tax bid-YTW of 8.51% based on a bid of 9.01 and a hardMaturity 2011-12-15 at 10.00. |
| BNS.PR.N | PerpetualDiscount | -2.5232% | Now with a pre-tax bid-YTW of 5.97% based on a bid of 22.02 and a limitMaturity. |
| FFN.PR.A | SplitShare | -2.5200% | Asset coverage of 1.8+:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 8.49% based on a bid of 8.51 and a hardMaturity 2014-12-1 at 10.00. |
| POW.PR.C | PerpetualDiscount | -2.4537% | Now with a pre-tax bid-YTW of 6.93% based on a bid of 21.07 and a limitMaturity. |
| POW.PR.B | PerpetualDiscount | -2.3642% | Now with a pre-tax bid-YTW of 6.94% based on a bid of 19.41 and a limitMaturity. |
| BMO.PR.L | PerpetualDiscount | -2.3555% | Now with a pre-tax bid-YTW of 6.46% based on a bid of 22.80 and a limitMaturity. |
| BCE.PR.C | FixFloat | -2.3355% | |
| BCE.PR.Y | Ratchet | -2.2869% | |
| BNS.PR.O | PerpetualDiscount | -2.2727% | Now with a pre-tax bid-YTW of 5.92% based on a bid of 23.65 and a limitMaturity. |
| CU.PR.A | PerpetualDiscount | -2.2718% | Now with a pre-tax bid-YTW of 6.09% based on a bid of 24.09 and a limitMaturity. |
| CM.PR.R | OpRet | -2.2346% | Now with a pre-tax bid-YTW of 5.53% based on a bid of 24.50 and a softMaturity 2013-4-29 at 25.00. |
| BNS.PR.K | PerpetualDiscount | -2.1905% | Now with a pre-tax bid-YTW of 5.86% based on a bid of 20.54 and a limitMaturity. |
| ENB.PR.A | PerpetualDiscount | -2.1702% | Now with a pre-tax bid-YTW of 6.05% based on a bid of 22.99 and a limitMaturity. |
| RY.PR.H | PerpetualDiscount | -2.1413% | Now with a pre-tax bid-YTW of 6.28% based on a bid of 22.85 and a limitMaturity. |
| CM.PR.J | PerpetualDiscount | -2.1407% | Now with a pre-tax bid-YTW of 7.06% based on a bid of 16.00 and a limitMaturity. |
| MFC.PR.B | PerpetualDiscount | -2.1399% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 18.75 and a limitMaturity. |
| BCE.PR.G | FixFloat | -2.1304% | |
| SLF.PR.E | PerpetualDiscount | -2.1217% | Now with a pre-tax bid-YTW of 6.48% based on a bid of 17.53 and a limitMaturity. |
| SLF.PR.A | PerpetualDiscount | -2.0931% | Now with a pre-tax bid-YTW of 6.41% based on a bid of 18.71 and a limitMaturity. |
| CU.PR.B | PerpetualDiscount | -2.0808% | Now with a pre-tax bid-YTW of 6.33% based on a bid of 24.00 and a limitMaturity. |
| BAM.PR.J | OpRet | -2.0725% | See BAM.PR.I, above |
| SLF.PR.B | PerpetualDiscount | -2.0608% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 19.01 and a limitMaturity. |
| PWF.PR.K | PerpetualDiscount | -2.0192% | Now with a pre-tax bid-YTW of 6.52% based on a bid of 19.41 and a limitMaturity. |
| BNS.PR.R | FixedReset | -2.0161% | |
| PWF.PR.G | PerpetualDiscount | -1.9925% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 23.61 and a limitMaturity. |
| BNA.PR.A | SplitShare | -1.9027% | See BNA.PR.B, above. |
| RY.PR.E | PerpetualDiscount | -1.8681% | Now with a pre-tax bid-YTW of 6.41% based on a bid of 17.86 and a limitMaturity. |
| RY.PR.G | PerpetualDiscount | -1.8428% | Now with a pre-tax bid-YTW of 6.32% based on a bid of 18.11 and a limitMaturity. |
| RY.PR.A | PerpetualDiscount | -1.7709% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 17.75 and a limitMaturity. |
| PWF.PR.E | PerpetualDiscount | -1.7460% | Now with a pre-tax bid-YTW of 6.21% based on a bid of 22.51 and a limitMaturity. |
| RY.PR.B | PerpetualDiscount | -1.7223% | Now with a pre-tax bid-YTW of 6.35% based on a bid of 18.83 and a limitMaturity. |
| CM.PR.D | PerpetualDiscount | -1.7199% | Now with a pre-tax bid-YTW of 7.22% based on a bid of 20.00 and a limitMaturity. |
| TCA.PR.Y | PerpetualDiscount | -1.7186% | Now with a pre-tax bid-YTW of 6.10% based on a bid of 45.75 and a limitMaturity. |
| BMO.PR.J | PerpetualDiscount | -1.6835% | Now with a pre-tax bid-YTW of 6.53% based on a bid of 17.52 and a limitMaturity. |
| CL.PR.B | PerpetualPremium (for now!) | -1.6613% | Now with a pre-tax bid-YTW of 6.48% based on a bid of 24.27 and a limitMaturity. |
| RY.PR.F | PerpetualDiscount | -1.6611% | Now with a pre-tax bid-YTW of 6.37% based on a bid of 17.76 and a limitMaturity. |
| LBS.PR.A | SplitShare | -1.6575% | Asset coverage of just under 2.0:1 as of October 2, according to Brompton Group. Now with a pre-tax bid-YTW of 7.91% based on a bid of 8.90 and a hardMaturity 2013-11-29. The capital units are at a premium, making a monthly retraction a speculative proposition, but the annual retraction is at the end of November. |
| TD.PR.R | PerpetualDiscount | -1.6488% | Now with a pre-tax bid-YTW of 5.96% based on a bid of 23.51 and a limitMaturity. |
| GWO.PR.H | PerpetualDiscount | -1.6393% | Now with a pre-tax bid-YTW of 6.80% based on a bid of 18.00 and a limitMaturity. |
| RY.PR.C | PerpetualDiscount | -1.5781% | Now with a pre-tax bid-YTW of 6.25% based on a bid of 18.71 and a limitMaturity. |
| TD.PR.A | FixedReset | -1.5385% | |
| HSB.PR.C | PerpetualDiscount | -1.4337% | Now with a pre-tax bid-YTW of 6.69% based on a bid of 19.25 and a limitMaturity. |
| BAM.PR.O | OpRet | -1.4085% | See BAM.PR.H, above. |
| BAM.PR.I | OpRet | -1.1603% | See BAM.PR.H, above. |
| FTN.PR.A | SplitShare | -1.1099% | Asset coverage of 2.2+:1 as of September 30 according to the company. Now with a pre-tax bid-YTW of 7.30% based on a bid of 8.91 and a hardMaturity 2014-12-1 at 10.00. The capital unit closed at 9.30, and the Special Annual Concurrent Retraction is this month … so it might be worth checking out this possibility. |
| RY.PR.D | PerpetualDiscount | -1.0923% | Now with a pre-tax bid-YTW of 6.32% based on a bid of 18.11 and a limitMaturity. |
| BCE.PR.Z | FixFloat | -1.0748% | |
| BCE.PR.R | FixFloat | -1.0638% | |
| PWF.PR.J | OpRet | -1.0580% | Now with a pre-tax bid-YTW of 4.69% based on a bid of 25.25 and a softMaturity 2013-7-30 at 25.00. |
| TD.PR.P | PerpetualDiscount | +1.1669% | Now with a pre-tax bid-YTW of 5.96% based on a bid of 22.05 and a limitMaturity. |
| TD.PR.Y | FixedReset | +1.4633% | |
| IAG.PR.A | PerpetualDiscount | +1.4916% | Now with a pre-tax bid-YTW of 6.83% based on a bid of 17.01 and a limitMaturity. |
| TD.PR.S | FixedReset | +3.225% | |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| GWO.PR.F | PerpetualDiscount | 61,741 | National Bank crossed 10,000 at 25.00, then bought 15,000 from anonymous at the same price. Now with a pre-tax bid-YTW of 6.00% based on a bid of 24.76 and a limitMaturity. |
| SLF.PR.E | PerpetualDiscount | 56,975 | Nesbitt crossed 50,000 at 17.75. Now with a pre-tax bid-YTW of 6.48% based on a bid of 17.53 and a limitMaturity. |
| BNS.PR.P | FixedReset | 47,740 | Nesbitt crossed 42,300 at 24.70 |
| MFC.PR.A | OpRet | 32,570 | CIBC crossed 25,000 at 25.00. Now with a pre-tax bid-YTW of 4.31% based on a bid of 24.76 and a softMaturity 2015-12-18 at 25.00. |
| BNS.PR.L | PerpetualDiscount | 30,200 | Anonymous crossed 10,000 at 19.00 … unless it was two different anonymice. Now with a pre-tax bid-YTW of 5.97% based on a bid of 18.90 and a limitMaturity. |
There were fifteen other index-included $25-pv-equivalent issues trading over 10,000 shares today