As far as I can tell, the market has decided that there is a faint possibility that not every financial institution in Canada will go bankrupt in 2008. But we’ll see what tomorrow brings.
Best day for PerpetualDiscounts since 2006-6-30 at latest, which is the earliest date for which I have convenient daily return figures. How ’bout them SunLifes, eh?
| 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 | 8.15% | 8.19% | 137,589 | 12.55 | 7 | +2.9854% | 655.3 |
| Floater | 7.36% | 7.41% | 94,465 | 12.04 | 2 | +7.0109% | 442.6 |
| Op. Retract | 5.44% | 5.27% | 169,660 | 3.95 | 14 | +0.8548% | 1,004.6 |
| Split-Share | 6.42% | 11.07% | 93,532 | 3.95 | 15 | +1.4025% | 968.6 |
| Interest Bearing | 9.40% | 17.50% | 58,851 | 2.76 | 3 | +3.1991% | 798.9 |
| Perpetual-Premium | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
| Perpetual-Discount | 7.48% | 7.58% | 248,661 | 11.90 | 71 | +4.9072% | 747.3 |
| Fixed-Reset | 5.96% | 4.97% | 1,013,355 | 14.95 | 18 | +0.5626% | 1,015.2 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| RY.PR.B | PerpetualDiscount | +6.0366% | Now with a pre-tax bid-YTW of 6.87% based on a bid of 17.39 and a limitMaturity. Closing quote 17.39-73. Day’s range of 17.00-75. |
| BNS.PR.K | PerpetualDiscount | +6.0699% | Now with a pre-tax bid-YTW of 7.09% based on a bid of 17.30 and a limitMaturity. Closing quote 17.30-58, 5×7. Day’s range of 16.55-01. |
| CM.PR.I | PerpetualDiscount | +6.1786% | Now with a pre-tax bid-YTW of 7.45% based on a bid of 15.81 and a limitMaturity. Closing quote 15.81-46, 1×1. Day’s range of 14.98-16.31. |
| DF.PR.A | SplitShare | +6.2963% | Asset coverage of 1.3+:1 as of December 15 according to the company. Now with a pre-tax bid-YTW of 8.33% based on a bid of 8.61 and a hardMaturity 2014-12-1 at 10.00. Closing quote of 8.61-98, 2×5. Day’s range of 8.49-60. |
| BAM.PR.J | OpRet | +6.3401% | Now with a pre-tax bid-YTW of 13.32% based on a bid of 14.76 and a softMaturity 2018-3-30. Closing quote of 14.76-15.80, 6×1. Day’s range of 14.00-15.80. |
| HSB.PR.C | PerpetualDiscount | +6.4309% | Now with a pre-tax bid-YTW of 7.78% based on a bid of 16.55 and a limitMaturity. Closing quote 16.55-00, 13×3. Day’s range of 16.00-85. |
| BNS.PR.J | PerpetualDiscount | +6.4928% | Now with a pre-tax bid-YTW of 6.99% based on a bid of 19.19 and a limitMaturity. Closing quote 19.19-54, 5×1. Day’s range of 19.00-55. |
| RY.PR.W | PerpetualDiscount | +6.5242% | Now with a pre-tax bid-YTW of 6.57% based on a bid of 18.94 and a limitMaturity. Closing quote 18.94-99, 1×2. Day’s range of 18.00-19.00. |
| BAM.PR.B | Floater | +6.6313% | |
| MFC.PR.B | PerpetualDiscount | +6.6667% | Now with a pre-tax bid-YTW of 6.87% based on a bid of 17.12 and a limitMaturity. Closing quote 17.12-75, 3×8. Day’s range of 16.60-17.75. |
| IAG.PR.A | PerpetualDiscount | +6.8563% | Now with a pre-tax bid-YTW of 7.92% based on a bid of 14.65 and a limitMaturity. Closing quote 14.65-15.65 (!). Day’s range of 13.80-15.29. |
| RY.PR.F | PerpetualDiscount | +7.3472% | Now with a pre-tax bid-YTW of 6.85% based on a bid of 16.51 and a limitMaturity. Closing quote 16.51-77, 3×10. Day’s range of 16.40-79. |
| BAM.PR.K | Floater | +7.3658% | |
| BAM.PR.M | PerpetualDiscount | +7.6923% | Now with a pre-tax bid-YTW of 12.30% based on a bid of 9.80 and a limitMaturity. Closing quote 9.80-14, 12×3. Day’s range of 9.20-10.22. |
| PWF.PR.L | PerpetualDiscount | +8.0235% | Now with a pre-tax bid-YTW of 7.88% based on a bid of 16.56 and a limitMaturity. Closing quote 16.56-25, 5×10. Day’s range of 16.00-49. |
| RY.PR.E | PerpetualDiscount | +8.2245% | Now with a pre-tax bid-YTW of 6.90% based on a bid of 16.58 and a limitMaturity. Closing quote 16.58-76, 3×19. Day’s range of 15.60-16.70. |
| BAM.PR.N | PerpetualDiscount | +8.5271% | Now with a pre-tax bid-YTW of 12.30% based on a bid of 9.80 and a limitMaturity. Closing quote 9.80-39, 1×3. Day’s range of 9.25-10.41. |
| SLF.PR.D | PerpetualDiscount | +8.6181% | Now with a pre-tax bid-YTW of 8.62% based on a bid of 14.62 and a limitMaturity. Closing quote 14.62-85, 2×5. Day’s range of 13.99-80. |
| ELF.PR.F | PerpetualDiscount | +8.6708% | Now with a pre-tax bid-YTW of 8.83% based on a bid of 15.10 and a limitMaturity. Closing quote 15.10-69, 10×15. Day’s range of 14.51-00. |
| GWO.PR.G | PerpetualDiscount | +8.9881% | Now with a pre-tax bid-YTW of 7.57% based on a bid of 17.34 and a limitMaturity. Closing quote 17.34-97, 5×1. Day’s range of 16.13-18.40 (!). |
| SLF.PR.A | PerpetualDiscount | +9.8940% | Now with a pre-tax bid-YTW of 7.71% based on a bid of 15.55 and a limitMaturity. Closing quote 15.55-09, 1×5. Day’s range of 14.31-15.75. |
| SLF.PR.C | PerpetualDiscount | +10.2206% | Now with a pre-tax bid-YTW of 7.49% based on a bid of 14.99 and a limitMaturity. Closing quote 14.99-39, 5×5. Day’s range of 14.20-15.53. |
| MFC.PR.C | PerpetualDiscount | +10.3034% | Now with a pre-tax bid-YTW of 6.5154% based on a bid of 17.45 and a limitMaturity. Closing quote 17.45-98, 2×13. Day’s range of 16.25-17.99. |
| SLF.PR.B | PerpetualDiscount | +11.4466% | Now with a pre-tax bid-YTW of 7.63% based on a bid of 15.87 and a limitMaturity. Closing quote 15.87-00, 4×5. Day’s range of 14.53-15.87. |
| SLF.PR.E | PerpetualDiscount | +13.1835% | Now with a pre-tax bid-YTW of 7.52% based on a bid of 15.11 and a limitMaturity. Closing quote 15.11-39, 1×4. Day’s range of 14.00-15.11. |
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| SLF.PR.E | PerpetualDiscount | 50,525 | Nesbitt crossed 40,000 at 14.90. Now with a pre-tax bid-YTW of 7.52% based on a bid of 15.11 and a limitMaturity. |
| BCE.PR.I | FixFloat | 45,922 | RBC crossed 10,700 at 13.50, then another 10,000 at the same price. |
| CM.PR.H | PerpetualDiscount | 45,738 | Now with a pre-tax bid-YTW of 7.55% based on a bid of 15.94 and a limitMaturity. |
| BNA.PR.C | SplitShare | 42,400 | Now with a pre-tax bid-YTW of 19.81% based on a bid of 8.61 and a hardMaturity 2019-1-10 at 25.00. |
| BMO.PR.J | PerpetualDiscount | 34,046 | Now with a pre-tax bid-YTW of 7.45% based on a bid of 15.36 and a limitMaturity. |
There were twenty-seven other index-included $25-pv-equivalent issues trading over 10,000 shares today.