June 20, 2008

Stop presses! Sit down! Have some smelling salts! The PerpetualDiscount index was actually up today (up almost 42bp, in fact), ending a string of twelve consecutive losses from June 4 to June 19, inclusive. Those twelve consecutive losses took the PerpetualDiscount index down 5.80%.

Average pre-tax bid-YTW for PerpetualDiscounts is now 6.07%, interest-equivalent 8.50%, long corporates .. oh, call it 6.17% and 30-year Canadas at 4.15%.

Work out the spreads and update the graphs yourselves, ya bums! What am I, your maid?

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
Index Mean Current Yield (at bid) Mean YTW Mean Average Trading Value Mean Mod Dur (YTW) Issues Day’s Perf. Index Value
Ratchet 4.20% 4.22% 51,358 17.00 1 -0.0393% 1,114.6
Fixed-Floater 5.06% 4.85% 62,750 15.82 7 -0.8252% 990.6
Floater 4.04% 4.04% 69,487 17.35 2 -0.4349% 947.8
Op. Retract 4.84% 2.43% 86,636 2.44 15 +0.8648% 1,057.4
Split-Share 5.31% 5.67% 68,606 4.15 15 +0.0429% 1,048.6
Interest Bearing 6.11% 3.77% 48,125 2.01 3 -0.2333% 1,121.5
Perpetual-Premium 5.96% 4.61% 360,772 10.27 13 -0.0252% 1,007.0
Perpetual-Discount 6.00% 6.07% 223,135 13.78 59 +0.4181% 875.6
Major Price Changes
Issue Index Change Notes
BCE.PR.I FixFloat -3.7199%  
BCE.PRA FixFloat -2.0481%  
POW.PR.A PerpetualDiscount -1.6822% Now with a pre-tax bid-YTW of 6.31% based on a bid of 22.21 and a limitMaturity.
BCE.PR.Z FixFloat -1.5625% Now with a pre-tax bid-YTW of 4.97% based on a bid of 22.05 and a limitMaturity.
POW.PR.D PerpetualDiscount -1.4500% Now with a pre-tax bid-YTW of 6.15% based on a bid of 20.39 and a limitMaturity.
POW.PR.B PerpetualDiscount -1.1845% Now with a pre-tax bid-YTW of 6.18% based on a bid of 21.69 and a limitMaturity.
POW.PR.C PerpetualDiscount -1.1059% Now with a pre-tax bid-YTW of 6.24% based on a bid of 23.25 and a limitMaturity.
PWF.PR.H PerpetualPremium (for now!) -1.0962% Now with a pre-tax bid-YTW of 5.99% based on a bid of 24.36 and a limitMaturity.
PWF.PR.F PerpetualDiscount +1.0693% Now with a pre-tax bid-YTW of 6.15% based on a bid of 21.74 and a limitMaturity.
CM.PR.P PerpetualDiscount +1.1364% Now with a pre-tax bid-YTW of 6.27% based on a bid of 22.25 and a limitMaturity.
HSB.PR.C PerpetualDiscount +1.1423% Now with a pre-tax bid-YTW of 6.03% based on a bid of 21.25 and a limitMaturity.
HSB.PR.D PerpetualDiscount +1.1702% Now with a pre-tax bid-YTW of 6.06% based on a bid of 20.75 and a limitMaturity.
SLF.PR.D PerpetualDiscount +1.2168% Now with a pre-tax bid-YTW of 6.11% based on a bid of 18.30 and a limitMaturity.
BNS.PR.J PerpetualDiscount +1.2603% Now with a pre-tax bid-YTW of 5.68% based on a bid of 23.30 and a limitMaturity.
SLF.PR.E PerpetualDiscount +1.3263% Now with a pre-tax bid-YTW of 5.92% based on a bid of 19.10 and a limitMaturity.
CM.PR.J PerpetualDiscount +1.3966% Now with a pre-tax bid-YTW of 6.31% based on a bid of 18.15 and a limitMaturity.
MFC.PR.B PerpetualDiscount +1.4000% Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.28 and a limitMaturity.
BAM.PR.J OpRet +1.4724% Now with a pre-tax bid-YTW of 5.52% based on a bid of 24.81 and a softMaturity 2018-3-30 at 25.00. Compare with BAM.PR.H (4.07% to 2008-10-30), BAM.PR.I (5.12% to 2013-12-30) and the new issue (5.02% to 2013-6-29).
RY.PR.B PerpetualDiscount +1.6427% Now with a pre-tax bid-YTW of 6.01% based on a bid of 19.80 and a limitMaturity.
GWO.PR.G PerpetualDiscount +1.8388% Now with a pre-tax bid-YTW of 6.04% based on a bid of 21.60 and a limitMaturity.
BNS.PR.N PerpetualDiscount +2.2263% Now with a pre-tax bid-YTW of 5.93% based on a bid of 22.50 and a limitMaturity.
BCE.PR.C FixFloat +2.2727%  
BMO.PR.H PerpetualDiscount +2.7273% Now with a pre-tax bid-YTW of 5.90% based on a bid of 22.60 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
MFC.PR.B PerpetualDiscount 273,166 Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.28 and a limitMaturity.
TD.PR.P PerpetualDiscount 208,374 Now with a pre-tax bid-YTW of 5.82% based on a bid of 22.91 and a limitMaturity.
MFC.PR.C PerpetualDiscount 207,052 Now with a pre-tax bid-YTW of 5.72% based on a bid of 19.80 and a limitMaturity.
BNS.PR.K PerpetualDiscount 205,100 Now with a pre-tax bid-YTW of 5.79% based on a bid of 21.10 and a limitMaturity.
GWO.PR.F PerpetualPremium 100,853 Now with a pre-tax bid-YTW of 5.48% based on a bid of 25.40 and a call 2012-10-30 at 25.00.

There were twenty-two other index-included $25-pv-equivalent issues trading over 10,000 shares today.

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