July 28, 2008

The PerpetualDiscount winning streak ended today – the index was down less than a beep, but it was down! Volume continues fairly light.

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 N/A N/A N/A N/A 0 N/A N/A
Fixed-Floater 4.68% 4.39% 66,304 16.33 6 +0.0289% 1,085.8
Floater 4.16% 4.18% 58,107 17.03 3 +0.8953% 887.9
Op. Retract 4.99% 4.59% 131,811 3.41 17 -0.0994% 1,040.7
Split-Share 5.38% 6.16% 61,773 4.49 14 -0.1275% 1,028.2
Interest Bearing 6.14% 6.02% 41,127 3.67 3 -0.1669% 1,120.7
Perpetual-Premium 6.15% 6.17% 70,163 10.65 4 -0.0544% 981.4
Perpetual-Discount 6.32% 6.38% 226,376 13.38 67 -0.0063% 840.0
Major Price Changes
Issue Index Change Notes
POW.PR.B PerpetualDiscount -2.0843% Now with a pre-tax bid-YTW of 6.39% based on a bid of 21.14 and a limitMaturity.
BAM.PR.I OpRet -1.9786% Now with a pre-tax bid-YTW of 6.73% based on a bid of 23.78 and a softMaturity 2013-12-30 at 25.00. Compare with BAM.PR.H (6.49% to 2012-3-30), BAM.PR.J (7.00% to 2018-3-30) and BAM.PR.O (6.60% TO 2013-6-30) … and consider the rather odd report in the comments to July 25!
CM.PR.D PerpetualDiscount -1.9608% Now with a pre-tax bid-YTW of 7.07% based on a bid of 20.50 and a limitMaturity.
MFC.PR.B PerpetualDiscount -1.9500% Now with a pre-tax bid-YTW of 6.02% based on a bid of 19.61 and a limitMaturity.
PWF.PR.E PerpetualDiscount -1.5561% Now with a pre-tax bid-YTW of 6.44% based on a bid of 21.51 and a limitMaturity.
GWO.PR.F PerpetualDiscount -1.4028% Now with a pre-tax bid-YTW of 6.06% based on a bid of 24.60 and a limitMaturity.
BNA.PR.C SplitShare -1.3476% Asset coverage of 3.2+:1 as of June 30, according to the company. Now with a pre-tax bid-YTW of 8.92% based on a bid of 17.57 and a hardMaturity 2019-1-10 at 25.00. Compare with BNA.PR.A (6.11% to 2010-9-30) and BNA.PR.B (8.55% to 2016-3-25).
ENB.PR.A PerpetualDiscount -1.0846% Now with a pre-tax bid-YTW of 6.13% based on a bid of 22.80 and a limitMaturity.
BAM.PR.K Floater +1.0101%  
PWF.PR.G PerpetualDiscount +1.1804% Now with a pre-tax bid-YTW of 6.17% based on a bid of 24.00 and a limitMaturity.
BAM.PR.B Floater +1.6757%  
IAG.PR.A PerpetualDiscount +2.1148% Now with a pre-tax bid-YTW of 6.90% based on a bid of 16.90 and a limitMaturity.
BNS.PR.J PerpetualDiscount +2.5105% Now with a pre-tax bid-YTW of 5.97% based on a bid of 22.05 and a limitMaturity.
Volume Highlights
Issue Index Volume Notes
ALB.PR.A SplitShare 131,314 CIBC crossed 128,600 at 24.26. Asset coverage of 1.6+:1 as of July 24, according to Scotia Managed Companies. Now with a pre-tax bid-YTW of 5.81% based on a bid of 24.26 and a hardMaturity 2011-2-28 at 25.00.
TD.PR.M OpRet 130,100 Nesbitt crossed 130,000 at 26.05. Now with a pre-tax bid-YTW of 3.85% based on a bid of 26.02 and a softMaturity 2013-10-30 at 25.00.
TD.PR.O PerpetualDiscount 39,011 National crossed 30,000 at 20.84. Now with a pre-tax bid-YTW of 5.86% based on a bid of 20.81 and a limitMaturity.
RY.PR.F PerpetualDiscount 35,489 Now with a pre-tax bid-YTW of 6.33% based on a bid of 17.61 and a limitMaturity.
TD.PR.Q PerpetualDiscount 29,360 CIBC crossed 25,000 at 23.95. Now with a pre-tax bid-YTW of 5.87% based on a bid of 23.97 and a limitMaturity.

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

3 Responses to “July 28, 2008”

  1. kaspu says:

    Welllllll…..
    If you like the volume in the bank prefs (I won’t say which, but it is across the board) you can all send me candy. I just can’t resist the over 6% yield any more.
    I prefer chocolate nougat.

  2. jiHymas says:

    So, given that PerpetualDiscounts first yielded 6%+ on June 17 (it seems so long ago!), that puts your ability to resist temptation at six weeks!

    I would have sent you candy, but you didn’t lift any of my offers. Cheapskate.

  3. […] are up every day month-to-date, totalling 1.38%. They have had only one down-day (July 28) since the trough on July 16 and are now up 6.62% since trough-date. Average dividend yield is now […]

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