June 11, 2008

The post BIS Quarterly Review Deprecates ABX Benchmark for SubPrime has been updated to make it a little less cryptic.

Wouldn’t you know it! Just when I’m idiotically busy, Accrued Interest comes up with two good posts:How are Bonds Quoted? (great primer material) and LIBOR our only hope? No … there is another! which introduces ICAP, sponsored by ICAP PLC the “world’s biggest inter-dealer broker”. So no summaries for you, guys, I’m too busy. I hope to have escaped the current crush in about a week.

It was clobbering time again in the preferred share market, with Sunlife issues being hit particularly hard, just as they were on June 9. I confess that I don’t know what has been causing this … there doesn’t appear to be any news of note and the common stock isn’t doing anything too alarming.

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 4.14% 3.86% 51,724 0.08 1 +0.1182% 1,114.1
Fixed-Floater 4.91% 4.65% 61,047 16.08 7 +0.3801% 1,020.5
Floater 4.04% 4.04% 66,206 17.37 2 +1.3532% 946.6
Op. Retract 4.84% 2.30% 86,355 2.64 15 -0.0331% 1,057.4
Split-Share 5.29% 5.57% 70,859 4.18 15 -0.3525% 1,050.7
Interest Bearing 6.08% 6.03% 47,157 3.79 3 +0.0002% 1,120.1
Perpetual-Premium 5.86% 4.62% 396,056 8.80 13 -0.0144% 1,023.3
Perpetual-Discount 5.76% 5.82% 223,813 14.15 59 -0.3716% 910.5
Major Price Changes
Issue Index Change Notes
SLF.PR.C PerpetualDiscount -3.7468% Now with a pre-tax bid-YTW of 5.87% based on a bid of 19.01 and a limitMaturity.
SLF.PR.B PerpetualDiscount -2.7475% Now with a pre-tax bid-YTW of 5.87% based on a bid of 20.53 and a limitMaturity.
BNA.PR.B SplitShare -2.5653% Asset coverage of just under 3.6:1 as of May 30, according to the company. Now with a pre-tax bid-YTW of 8.17% based on a bid of 20.51 and a hardMaturity 2016-3-25 at 25.00. Compare with BNA.PR.A (5.86% to 2010-9-30) and BNA.PR.C (6.81% to 2019-1-10).
SLF.PR.A PerpetualDiscount -2.4102% Now with a pre-tax bid-YTW of 5.77% based on a bid of 20.65 and a limitMaturity.
CM.PR.J PerpetualDiscount -1.7653% Now with a pre-tax bid-YTW of 6.04% based on a bid of 18.92 and a limitMaturity.
SLF.PR.D PerpetualDiscount -2.0619% Now with a pre-tax bid-YTW of 5.88% based on a bid of 19.00 and a limitMaturity.
HSB.PR.C PerpetualDiscount -1.9867% Went ex-dividend today … looks like the price over-compensated! Now with a pre-tax bid-YTW of 5.97% based on a bid of 21.45 and a limitMaturity.
RY.PR.A PerpetualDiscount -1.6288% Now with a pre-tax bid-YTW of 5.64% based on a bid of 19.93 and a limitMaturity.
CM.PR.H PerpetualDiscount -1.6569% Now with a pre-tax bid-YTW of 6.04% based on a bid of 20.18 and a limitMaturity.
GWO.PR.I PerpetualDiscount -1.5984% Now with a pre-tax bid-YTW of 5.73% based on a bid of 19.70 and a limitMaturity.
PWF.PR.L PerpetualDiscount -1.3605% Now with a pre-tax bid-YTW of 5.93% based on a bid of 21.75 and a limitMaturity.
CU.PR.B PerpetualPremium -1.1811% Now with a pre-tax bid-YTW of 5.98% based on a bid of 25.10 and a call 2012-7-1 at 25.00.
BMO.PR.K PerpetualDiscount -1.0435% Now with a pre-tax bid-YTW of 5.82% based on a bid of 22.76 and a limitMaturity.
SLF.PR.E PerpetualDiscount -1.0127% Now with a pre-tax bid-YTW of 5.77% based on a bid of 19.55 and a limitMaturity.
BCE.PR.R FixFloat +1.0941%  
IAG.PR.A PerpetualDiscount +1.1219% Now with a pre-tax bid-YTW of 5.82% based on a bid of 19.83 and a limitMaturity.
BCE.PR.C FixFloat +1.1379%  
BAM.PR.B Floater +2.8199% Went ex-dividend today, but the price went up anyway!
Volume Highlights
Issue Index Volume Notes
NTL.PR.G Scraps (Would be Ratchet, but there are credit concerns) 176,800  
NTL.PR.F Scraps (Would be Ratchet, but there are credit concerns) 142,942 CIBC crossed 100,000 at 11.00.
TD.PR.O PerpetualDiscount 113,135 Nesbitt crossed 50,000 at 22.36; National Bank crossed 50,000 at 22.30. Now with a pre-tax bid-YTW of 5.51% based on a bid of 22.32 and a limitMaturity.
RY.PR.F PerpetualDiscount 56,890 Now with a pre-tax bid-YTW of 5.63% based on a bid of 19.96 and a limitMaturity.
RY.PR.B PerpetualDiscount 49,200 Now with a pre-tax bid-YTW of 5.65% based on a bid of 21.01 and a limitMaturity.
TD.PR.R PerpetualPremium 46,300 Now with a pre-tax bid-YTW of 5.70% based on a bid of 25.13 and a limitMaturity.
BNS.PR.O PerpetualPremium 42,507 “Anonymous” bought 40,000 from RBC in five tranches, all at 25.10 … not necessarily the same “anonymous”. Now with a pre-tax bid-YTW of 5.65% based on a bid of 25.10 and a limitMaturity.

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

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