CIT Group is getting a $2.33-billion TARP infusion. A lot of people who bought protection at 2500+bp are not going to be very happy.
Holy smokes! On continued heavy volume – that I remain convinced is tax-loss selling, perhaps with a bit of year-end window-dressing thrown in, PerpetualDiscounts were up today! That breaks a seven day losing streak. Not only that, but the behaviour of BNA.PR.C … well, it’s in the tables twice. Be sure to be sitting down when examining!
| 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 | 8.51% | 8.65% | 143,353 | 11.99 | 7 | +1.0254% | 621.4 |
| Floater | 9.53% | 9.62% | 97,072 | 9.90 | 2 | -1.2773% | 341.0 |
| Op. Retract | 5.57% | 6.15% | 171,350 | 3.92 | 14 | +0.4712% | 979.1 |
| Split-Share | 6.65% | 12.23% | 97,751 | 3.93 | 15 | +0.2852% | 928.4 |
| Interest Bearing | 10.11% | 20.95% | 59,643 | 2.62 | 3 | -0.0146% | 734.7 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 8.25% | 8.38% | 251,885 | 11.06 | 71 | +0.3453% | 675.5 |
| Fixed-Reset | 6.09% | 5.21% | 1,122,538 | 14.61 | 18 | -0.4274% | 993.6 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| CM.PR.K | Ratchet | -5.9524% | |
| NA.PR.M | PerpetualDiscount | -4.8808% | Now with a pre-tax bid-YTW of 9.14% based on a bid of 16.76 and a limitMaturity. Closing quote 16.76-18, 6×3. Day’s range of 16.56-18.39. |
| BSD.PR.A | InterestBearing (for now!) | -3.9894% | Asset coverage of 0.7+:1 as of December 19, according to Brookfield Funds. Now with a (dubious) pre-tax bid-YTW of 28.90% based on a bid of 3.61 and a (dubious) hardMaturity 2015-3-31 at 10.00. Closing quote of 3.61-76, 5×4. Day’s range of 3.62-20. |
| NA.PR.L | PerpetualDiscount | -3.6958% | Now with a pre-tax bid-YTW of 9.14% based on a bid of 13.55 and a limitMaturity. Closing quote 13.55-00, 2×7. Day’s range of 13.55-00. |
| CU.PR.A | PerpetualDiscount | -3.3503% | Now with a pre-tax bid-YTW of 7.73% based on a bid of 19.04 and a limitMaturity. Closing quote 19.04-74, 8×3. Day’s range of 19.01-80. |
| ALB.PR.A | SplitShare | -3.1314% | Asset coverage of 1.1+:1 as of December 18, according to Scotia Managed Companies. Now with a pre-tax bid-YTW of 18.68% based on a bid of 18.87 and a hardMaturity 2011-2-28 at 25.00. Closing quote of 18.87-22, 40×1. Day’s range of 18.57-50. |
| BCE.PR.S | FixFloat | -3.0116% | |
| BCE.PR.Z | FixFloat | +3.0756% | |
| LBS.PR.A | SplitShare | +3.2637% | Asset coverage of 1.3-:1 as of December 18 according to Brompton Group. Now with a pre-tax bid-YTW of 11.22% based on a bid of 7.91 and a hardMaturity 2013-11-29 at 10.00. Closing quote of 7.91-29, 70×8. Day’s range of 7.81-50. |
| BNS.PR.N | PerpetualDiscount | +3.2914% | Now with a pre-tax bid-YTW of 7.77% based on a bid of 17.26 and a limitMaturity. Closing quote OF 17.26-27, 45×6 . Day’s range of 16.61-17.74. |
| CM.PR.J | PerpetualDiscount | +3.3003% | Now with a pre-tax bid-YTW of 8.33% based on a bid of 13.53 and a limitMaturity. Closing quote 13.53-57, 1×1. Day’s range of 12.66-13.75. |
| GWO.PR.G | PerpetualDiscount | +3.4667% | Now with a pre-tax bid-YTW of 8.45% based on a bid of 15.52 and a limitMaturity. Closing quote 15.52-68, 1×1. Day’s range of 14.85-53. |
| POW.PR.A | PerpetualDiscount | +3.9591% | Now with a pre-tax bid-YTW of 8.64% based on a bid of 16.28 and a limitMaturity. Closing quote 16.28-79, 5×6. Day’s range of 14.87-16.96 (!). |
| BCE.PR.C | FixFloat | +4.8606% | |
| MFC.PR.C | PerpetualDiscount | +5.1491% | Now with a pre-tax bid-YTW of 7.32% based on a bid of 15.52 and a limitMaturity. Closing quote 15.52-84, 2×3. Day’s range of 14.54-15.84. |
| POW.PR.B | PerpetualDiscount | +5.3163% | Now with a pre-tax bid-YTW of 8.59% based on a bid of 15.65 and a limitMaturity. Closing quote 15.65-84, 10×1. Day’s range of 14.99-98. |
| PWF.PR.G | PerpetualDiscount | +5.8824% | Now with a pre-tax bid-YTW of 8.39% based on a bid of 18.00 and a limitMaturity. Closing quote 18.00-19.65 (!) 3×1. Day’s range of 17.00-18.25. |
| PWF.PR.F | PerpetualDiscount | +7.1672% | Now with a pre-tax bid-YTW of 8.56% based on a bid of 15.70 and a limitMaturity. Closing quote 15.70-90, 12×5. Day’s range of 14.60-16.00. |
| BCE.PR.Y | Ratchet | +8.0196% | |
| BNA.PR.C | SplitShare | +11.6247% | Asset coverage of 1.7+:1 based on BAM.A at 18.05 and 2.4 BAM.A per preferred. Now with a pre-tax bid-YTW of 21.09% based on a bid of 7.97 and a hardMaturity 2019-1-10 at 25.00. Closing quote of 7.97-22, 9×9. Day’s range of 7.12-97. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| BNA.PR.C | SplitShare | 176,607 | Scotia crossed 150,000 at 7.75. See above. |
| BAM.PR.H | OpRet | 126,054 | TD crossed 100,000 at 19.50. Now with a pre-tax bid-YTW of 14.04% based on a bid of 19.75 and a softMaturity 2012-3-30 at 25.00. |
| BMO.PR.J | PerpetualDiscount | 121,417 | Anonymous bought 11,600 from Odlum Brown at 13.75. Now with a pre-tax bid-YTW of 8.47% based on a bid of 13.51 and a limitMaturity. |
| BNS.PR.K | PerpetualDiscount | 115,930 | Scotia crossed 64,900 at 16.05. Now with a pre-tax bid-YTW of 7.81% based on a bid of 15.70 and a limitMaturity. |
| RY.PR.I | FixedReset | 115,647 | Scotia crossed 42,200 at 21.10. |
There were ninety-six other index-included $25-pv-equivalent issues trading over 10,000 shares today.