| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ELF.PR.F |
PerpetualPremium (for now!) |
-2.5948% |
New low of 24.75 today – closed at 24.40-10, 1×8. Now with a pre-tax bid-YTW of 5.51% based on a bid of 24.40 and a limitMaturity. |
| RY.PR.C |
PerpetualDiscount |
-2.4702% |
New low of 22.30 today – closed at 22.11-30, 10×20. Now with a pre-tax bid-YTW of 5.25% based on a bid of 22.11 and a limitMaturity. |
| SLF.PR.A |
PerpetualDiscount |
-2.3266% |
Now with a pre-tax bid-YTW of 5.25% based on a bid of 22.67 and a limitMaturity. |
| SLF.PR.E |
PerpetualDiscount |
-2.2676% |
New low of 21.60 today – closed at 21.55-60, 10×12. Now with a pre-tax bid-YTW of 5.22% based on a bid of 21.55 and a limitMaturity. |
| NA.PR.K |
PerpetualPremium |
-2.2264% |
Unwinding some of yesterday’s ill-gotten gains. Now with a pre-tax bid-YTW of 5.15% based on a bid of 25.91 and a call 2012-6-14 at 25.00. |
| RY.PR.F |
PerpetualDiscount |
-2.2022% |
New low of 21.60 today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 21.76 and a limitMaturity. |
| RY.PR.B |
PerpetualDiscount |
-1.9397% |
New low of 22.75 today. Closed at 22.75-89, 25×3. Now with a pre-tax bid-YTW of 5.21% based on a bid of 22.75 and a limitMaturity. |
| SLF.PR.B |
PerpetualDiscount |
-1.6309% |
New low of 22.85 today. Now with a pre-tax bid-YTW of 5.24% based on a bid of 22.92 and a limitMaturity. |
| FTU.PR.A |
SplitShare |
-1.5640% |
Now with a pre-tax bid-YTW of 5.16% based on a bid of 10.07 and a hardMaturity 2012-12-1 at $10.00. |
| BNS.PR.M |
PerpetualDiscount |
-1.5281% |
New low of 21.92 today – closed at 21.91-10, 10×14. Now with a pre-tax bid-YTW of 5.23% based on a bid of 21.91 and a limitMaturity. |
| RY.PR.A |
PerpetualDiscount |
-1.5206% |
Now with a pre-tax bid-YTW of 5.09% based on a bid of 22.02 and a limitMaturity. |
| POW.PR.D |
PerpetualDiscount |
-1.4433% |
New low of 23.90 today – closed at 23.90-29, 9×2. Now with a pre-tax bid-YTW of 5.31% based on a bid of 23.90 and a limitMaturity. |
| BAM.PR.N |
PerpetualDiscount |
-1.3964% |
New low of 21.90 today – closed at 21.89-00, 10×10. Now with a pre-tax bid-YTW of 5.50% based on a bid of 21.89 and a limitMaturity. |
| W.PR.H |
PerpetualDiscount |
-1.3861% |
Now with a pre-tax bid-YTW of 5.52% based on a bid of 24.90 and a limitMaturity. |
| RY.PR.G |
PerpetualDiscount |
-1.3833% |
New low of 22.10 today – closed at 22.10-26, 9×26. Now with a pre-tax bid-YTW of 5.16% based on a bid of 22.10 and a limitMaturity. |
| NA.PR.L |
PerpetualDiscount |
-1.3485% |
New low of 23.23 today. Now with a pre-tax bid-YTW of 5.23% based on a bid of 23.41 and a limitMaturity. |
| BMO.PR.J |
PerpetualDiscount |
-1.3122% |
New low of 21.80 today – closed at 21.81-00, 2×13. Now with a pre-tax bid-YTW of 5.20% based on a bid of 21.81 and a limitMaturity. |
| PWF.PR.F |
PerpetualPremium (for now!) |
-1.2048% |
New low of 24.45 today. Now with a pre-tax bid-YTW of 5.40% based on a bid of 24.60 and a limitMaturity. |
| CM.PR.J |
PerpetualDiscount |
-1.1722% |
New low of 21.91 today – closed at 21.92-00, 6×51. Now with a pre-tax bid-YTW of 5.20% based on a bid of 21.92 and a limitMaturity. |
| SLF.PR.D |
PerpetualDiscount |
-1.1034% |
New low of 21.50 today – closed at 21.51-80, 7×5. Now with a pre-tax bid-YTW of 5.19% based on a bid of 21.51 and a limitMaturity. |
| BNS.PR.K |
PerpetualDiscount |
-1.0616% |
New low of 23.30 today. Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.30 and a limitMaturity |
| RY.PR.W |
PerpetualPremium (for now!) |
-1.0200% |
New low of 23.50 today … closed at 24.26-41, 3×23. Now with a pre-tax bid-YTW of 5.09% based on a bid of 24.26 and a limitMaturity. |
| BCE.PR.I |
FixFloat |
+1.0256% |
Exchange/Reset date is 2011-8-1 (Exchanges with series ‘AJ’, not issued); until then, pays 4.65% of par. Closed at 19.70-90, 6×2. |
| TCA.PR.Y |
PerpetualPremium |
+1.3592% |
National Bank bought most of the 5,515 shares traded today. Now with a pre-tax bid-YTW of 4.97% based on a bid of 52.20 and a call 2014-4-4 at 50.00 |
| BCE.PR.R |
FixFloat |
+1.3613% |
Exchange/Reset date is 2010-12-1 (Exchanges with series ‘Q’, not issued); until then, pays 4.54% of par. New low of 19.05 today. Closed at 19.36-85, 5×1. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.H |
PerpetualPremium |
109,767 |
Desjardins crossed two lots of 50,000 each at 25.11. Now with a pre-tax bid-YTW of 5.22% based on a bid of 25.10 and a limitMaturity. |
| CM.PR.C |
PerpetualPremium |
101,780 |
Will be redeemed for $26.00 on July 31. RBC bought 89,700 from Nesbitt, all but 1,400 at 26.20, in nine tranches in the last ten minutes of the day. |
| BAM.PR.K |
Floater |
100,275 |
TD crossed 98,100 at 24.86. |
| NA.PR.K |
PerpetualPremium |
31,712 |
See “Major Price Changes”, above. |
| BMO.PR.J |
PerpetualDiscount |
25,900 |
See “Major Price Changes”, above. |
There were thirty-one other $25-equivalent index-included issues trading over 10,000 shares today.
It seems odd that the yield on perpetual premiums continues to be higher than the yield on perpetual discount issues, at least in this environment. Is it in fact odd?
It seems odd to me! Operating Retractibles continue to trade at considerably lower yields than perpetuals, indicating that the market greatly prefers shorter-term instruments; but there is no valuation at all being given to higher chances of a call.
[…] I have uploaded a graph comparing the yield curves as of the June 12 trough in the PerpetualDiscount index; the September 19 peak, and today. Note that the graph shown plots AFTER-TAX SPOT YIELDS: […]