Whoosh! The Weekend Bank Rescues had an effect all right! I think Assiduous Reader Annette has it right: Banksgiving Moneyday.
Accrued Interest provides some interesting colour on financial spreads while Across the Curve counsels caution on Corporates.
Readers of a helpful bent are encourage to air their view on BAM credit quality, where some concern is being expressed regarding the recent hammering of BAM’s issues. Like it? Don’t like it? Feel free to call me stupid, as long as you explain why.
The Performers table is limited to those with an absolute change of 5% or greater, bid/bid. Sorry, folks …
| 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 | 5.38% | 5.63% | 77,834 | 14.71 | 6 | +1.9115% | 959.7 |
| Floater | 6.32% | 6.38% | 48,537 | 13.36 | 2 | -5.4458% | 573.1 |
| Op. Retract | 5.40% | 6.28% | 127,931 | 3.84 | 14 | +1.8597% | 978.3 |
| Split-Share | 6.30% | 10.55% | 59,090 | 4.01 | 12 | +11.2845% | 922.7 |
| Interest Bearing | 7.37% | 11.24% | 48,813 | 3.48 | 3 | +8.1449% | 944.3 |
| Perpetual-Premium | 6.65% | 6.71% | 52,538 | 12.89 | 1 | +2.0824% | 933.8 |
| Perpetual-Discount | 6.76% | 6.83% | 177,078 | 12.81 | 70 | +4.1447% | 798.6 |
| Fixed-Reset | 5.24% | 5.07% | 989,979 | 15.27 | 10 | +1.9108% | 1,093.3 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| BNA.PR.B | SplitShare | -10.4682 | 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 25.16 and 2.4 BAM.A held per preferred. Now with a pre-tax bid-YTW of 11.66% based on a bid of 17.02 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (16.67% to 2010-9-30) and BNA.PR.C (12.61% to 2019-1-10). Closing quote 17.02-20.99, 7×4. Day’s range of 20.00-20.04. |
| BAM.PR.B | Floater | -7.7476% | |
| BNA.PR.A | SplitShare | +5.0000% | See BNA.PR.B, above |
| LFE.PR.A | SplitShare | +5.0617% | Asset coverage of just under 2.2:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 9.85% based on a bid of 8.51 and a hardMaturity 2012-12-1 at 10.00. |
| FTN.PR.A | SplitShare | +5.3218% | Asset coverage of 2.2+:1 as of September 30 according to the company. Now with a pre-tax bid-YTW of 8.15% based on a bid of 8.51 and a hardMaturity 2015-12-1 at 10.00 |
| BMO.PR.J | PerpetualDiscount | +5.4545% | Now with a pre-tax bid-YTW of 6.59% based on a bid of 17.40 and a limitMaturity. Closing quote 17.40-75, 25×34; day’s range 17.01-98. |
| CM.PR.E | PerpetualDiscount | +5.6111% | Now with a pre-tax bid-YTW of 7.41% based on a bid of 19.01 and a limitMaturity. Closing Quote 19.01-20, 2×25. Day’s range 19.20-50 |
| BCE.PR.I | FixFloat | +5.7214% | |
| FIG.PR.A | InterestBearing | +6.2323% | Asset coverage of 1.4+:1 as of October 9, according to Faircourt. Now with a pre-tax bid-YTW of 12.27% (interest + capital gains) based on a bid of 7.50 and a hardMaturity 2014-12-31 at 10.00. Closing quote 7.50-99, 10×2. Day’s range, 7.30-00. |
| BNS.PR.Q | FixedReset | +6.6193% | |
| ELF.PR.F | PerpetualDiscount | +6.7333% | Now with a pre-tax bid-YTW of 8.35% based on a bid of 16.01 and a limitMaturity. Closing Quote 16.01-50, 2×6. Day’s range 16.45-99 |
| PWF.PR.I | PerpetualDiscount | +6.7928% | Now with a pre-tax bid-YTW of 6.83% based on a bid of 22.01 and a limitMaturity. Closing Quote 22.01-00, 5×9. Day’s range 22.40-00. |
| CU.PR.A | PerpetualDiscount | +6.8075% | Now with a pre-tax bid-YTW of 6.47% based on a bid of 22.75 and a limitMaturity. Closing Quote 22.75-50, 5×2. Day’s range 21.63-23.75 |
| SLF.PR.D | PerpetualDiscount | +6.8556% | Now with a pre-tax bid-YTW of 6.94% based on a bid of 16.21 and a limitMaturity. Closing Quote 16.21-69, 1×2. Day’s range 16.25-68. |
| CU.PR.B | PerpetualDiscount | +6.8577% | Now with a pre-tax bid-YTW of 6.70% based on a bid of 22.75 and a limitMaturity. Closing Quote 22.75-50, 2×7. Day’s range 23.00-24.00 |
| FBS.PR.B | SplitShare | +6.9330% | Asset coverage of 1.3:1 as of October 9 according to TD Securities. Now with a pre-tax bid-YTW of 8.22% based on a bid of 9.10 and a hardMaturity 2011-12-15 at 10.00. Closing quote 9.10-9.39, 6×20; day’s range 9.10-50 |
| BNA.PR.C | SplitShare | +7.2222% | See BNA.PR.B, above |
| BNS.PR.O | PerpetualDiscount | +7.2647% | Now with a pre-tax bid-YTW of 6.39% based on a bid of 22.00 and a limitMaturity. Closing Quote 22.00-50, 1×12. Day’s range 22.05-23.60. |
| BAM.PR.N | PerpetualDiscount | +7.3409% | Now with a pre-tax bid-YTW of 9.16% based on a bid of 13.16 and a limitMaturity. Closing Quote 13.16-68, 6×6. Day’s range 13.22-90. |
| RY.PR.H | PerpetualDiscount | +7.4074% | Now with a pre-tax bid-YTW of 6.61% based on a bid of 21.75 and a limitMaturity. Closing Quote 21.75-22.80, 30×10. Day’s range 21.79-23.00 |
| TD.PR.P | PerpetualDiscount | +7.4463% | Now with a pre-tax bid-YTW of 6.13% based on a bid of 21.50 and a limitMaturity. Closing Quote 21.50-75, 8×1. Day’s range 21.50-60 |
| BNS.PR.L | PerpetualDiscount | +7.5224% | Now with a pre-tax bid-YTW of 6.27% based on a bid of 18.01 and a limitMaturity. Closing Quote 18.01-25, 3×8. Day’s range 17.44-01 |
| CM.PR.J | PerpetualDiscount | +7.5642% | Now with a pre-tax bid-YTW of 7.30% based on a bid of 15.00 and a limitMaturity. Closing Quote 15.50-80, 10×6. Day’s range 15.34-75. |
| TD.PR.Q | PerpetualDiscount | +7.6998% | Now with a pre-tax bid-YTW of 6.36% based on a bid of 22.10 and a limitMaturity. Closing Quote 22.10-88, 10×4. Day’s range 22.20-90 |
| ELF.PR.G | PerpetualDiscount | +7.9286% | Now with a pre-tax bid-YTW of 7.93% based on a bid of 15.11 and a limitMaturity. Closing Quote 15.11-87, 1×2. Day’s range 14.99-00/ |
| NA.PR.N | FixedReset | +8.0660% | |
| CM.PR.H | PerpetualDiscount | +8.1171% | Now with a pre-tax bid-YTW of 7.43% based on a bid of 16.25 and a limitMaturity. Closing Quote 16.25-44, 6×5. Day’s range 16.25-90. |
| HSB.PR.C | PerpetualDiscount | +8.5681% | Now with a pre-tax bid-YTW of 6.97% based on a bid of 18.50 and a limitMaturity. Closing Quote 18.50-32, 2×12. Day’s range 17.76-77 |
| NA.PR.M | PerpetualDiscount | +8.5930% | Now with a pre-tax bid-YTW of 6.52% based on a bid of 23.00 and a limitMaturity. Closing Quote 23.00-22. Day’s range 22.75-20 |
| CM.PR.I | PerpetualDiscount | +8.7333% | Now with a pre-tax bid-YTW of 7.25% based on a bid of 16.31 and a limitMaturity. Closing Quote 16.31-74, 5×2. Day’s range 15.80-17.00 |
| W.PR.H | PerpetualDiscount | +8.8183% | Now with a pre-tax bid-YTW of 7.49% based on a bid of 18.51 and a limitMaturity. Closing Quote 18.51-20.21, 1×6. Day’s range 17.71-19.00 |
| DFN.PR.A | SplitShare | +8.8391% | Asset coverage of just under 2.2:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 9.15% based on a bid of 8.25 and a hardMaturity 2014-12-1 at 10.00. Closinq quote of 8.25-97, 10×7. Day’s range of 8.15-50 |
| POW.PR.B | PerpetualDiscount | +9.7748% | Now with a pre-tax bid-YTW of 6.74% based on a bid of 19.99 and a limitMaturity. Closing Quote 19.99-00 (tight!) 10×4. Day’s range 18.75-20.60 (loose!) |
| CM.PR.P | PerpetualDiscount | +9.7765% | Now with a pre-tax bid-YTW of 7.04% based on a bid of 19.65 and a limitMaturity. Closing Quote 19.65-97 6×5. Day’s range 18.70-20.00 |
| GWO.PR.H | PerpetualDiscount | +10.3264% | Now with a pre-tax bid-YTW of 7.41% based on a bid of 16.56 and a limitMaturity. Closing Quote 16.56-99 7×6 Day’s range 16.50-17.75 |
| BAM.PR.J | OpRet | +15.9886% | Now with a pre-tax bid-YTW of 11.74% based on a bid of 16.25 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (10.87% to 2013-6-30), BAM.PR.I (11.95% to 2013-12-30) and BAM.PR.O (11.54% to 2013-12-30); and with the perpetuals at 8.76% and 9.16%. Closing quote of 16.25-84, 1×3. Day’s range of 16.25-00. |
| BSD.PR.A | InterestBearing | +16.5414% | Asset coverage of just under 1.3:1 as of October 3, according to Brookfield Funds. Now with a pre-tax bid-YTW of 11.18% (interest + cap gain) based on a bid of 7.75 and a hardMaturity 2015-3-31 at 10.00. Closing quote 7.75-98, 10×4. Day’s range 7.99-00. |
| FFN.PR.A | SplitShare | +16.8116% | Asset coverage of 1.8+:1 as of September 30, according to the company. Now with a pre-tax bid-YTW of 9.63% based on a bid of 8.06 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.06-24, 1×6. Day’s range of 7.61-50. |
| BAM.PR.M | PerpetualDiscount | +17.8235% | Now with a pre-tax bid-YTW of 8.76% based on a bid of 13.75 and a limitMaturity. Closing Quote 13.75-00 Day’s range 13.50-00 |
| WFS.PR.A | SplitShare | +19.0828% | Asset coverage of 1.5+:1 as of September 30 according to the company. Now with a pre-tax bid-YTW of 14.39% based on a bid of 8.05 and a hardMaturity 2011-6-30 at 10.00. Closing quote, 8.05-74, 25×13. Day’s range, 8.06-49. |
| LBS.PR.A | SplitShare | +23.2394% | Asset coverage of just under 2.0:1 as of October 2, according to Brompton Group. Now with a pre-tax bid-YTW of 8.35% based on a bid of 8.75 and a hardMaturity 2013-11-29 at 10.00. Closing quote 8.75-87, 38×1. Day’s range, 8.75-99. |
| SBC.PR.A | SplitShare | +39.5462% | Asset coverage of just under 1.7:1 as of October 9 according to Brompton Group. Now with a pre-tax bid-YTW of 9.45% based on a bid of 8.61 and a hardMaturity 2012-11-30. Closing quote 8.61-9.24 (?), 10x??? (contradictory data). Day’s range 8.10-60. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNS.PR.L | PerpetualDiscount | 115,940 | Now with a pre-tax bid-YTW of 6.27% based on a bid of 18.01 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | 62,070 | Now with a pre-tax bid-YTW of 6.21% based on a bid of 19.41 and a limitMaturity. |
| TD.PR.O | PerpetualDiscount | 60,100 | Now with a pre-tax bid-YTW of 6.16% based on a bid of 19.76 and a limitMaturity. |
| CM.PR.A | OpRet | 46,300 | Now with a pre-tax bid-YTW of 5.50% based on a bid of 24.85 and a softMaturity 2011-7-30 at 25.00. |
| TD.PR.N | OpRet | 29,380 | Now with a pre-tax bid-YTW of 5.14% based on a bid of 24.36 and a softMaturity 2014-1-30. |
There were twenty-seven other index-included $25-pv-equivalent issues trading over 10,000 shares today.