Well … today was fairly busy, so there’s not much commentary! Just to keep my faithful readers entertained, however, I have uploaded the PerpetualPremium index … look at CU.PR.A and CU.PR.B! A fine company and a solid credit … but should these issues really be trading 60+bp through Power Financial? There will be a small prize awarded to anybody who can give me a satisfactory explanation of this phenomenon.
| 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 |
4.92% |
4.91% |
206,688 |
15.62 |
2 |
0.0000% |
1,045.0 |
| Fixed-Floater |
4.86% |
4.82% |
87,410 |
15.81 |
8 |
+0.0991% |
1,046.3 |
| Floater |
4.50% |
4.52% |
63,713 |
16.30 |
3 |
+0.3319% |
1,044.9 |
| Op. Retract |
4.88% |
3.62% |
76,433 |
3.60 |
16 |
+0.1751% |
1,028.8 |
| Split-Share |
5.18% |
5.05% |
87,676 |
4.19 |
15 |
-0.1341% |
1,040.7 |
| Interest Bearing |
6.27% |
6.43% |
61,799 |
3.57 |
4 |
-0.0746% |
1,055.9 |
| Perpetual-Premium |
5.81% |
5.43% |
80,650 |
5.41 |
11 |
+0.2095% |
1,013,9 |
| Perpetual-Discount |
5.58% |
5.58% |
335,875 |
14.32 |
55 |
-0.0698% |
911.8 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| ELF.PR.G |
PerpetualDiscount |
-2.1053% |
Now with a pre-tax bid-YTW of 6.15% based on a bid of 19.53 and a limitMaturity. |
| NA.PR.L |
PerpetualDiscount |
-1.6471% |
Now with a pre-tax bid-YTW of 5.83% based on a bid of 20.90 and a limitMaturity. |
| LBS.PR.A |
SplitShare |
-1.3659% |
Asset coverage of just under 2.5:1 according to Brompton Group. Now with a pre-tax bid-YTW of 5.13% based on a bid of 10.11 and a hardMaturity 2013-11-29 at 10.00. |
| BNS.PR.J |
PerpetualDiscount |
-1.0761% |
Now with a pre-tax bid-YTW of 5.23% based on a bid of 24.82 and a limitMaturity. |
| BNA.PR.C |
SplitShare |
-1.0067% |
Asset coverage of just over 3.8:1 as of July 31, according to the company. Now with a pre-tax bid-YTW of 6.71% based on a bid of 20.65 and a hardMaturity 2019-1-10 at 25.00. |
| ASC.PR.A |
SplitShare |
-1.0000% |
Asset coverage of just under 2.3:1 as of November 2, according to AIC. Now with a pre-tax bid-YTW of 5.22% based on a bid of 23.10 and a limitMaturity. |
| CM.PR.A |
OpRet |
+1.2926% |
Now with a pre-tax bid-YTW of 1.14% based on a bid of 25.86 and a call 2007-12-5 at 25.75. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BMO.PR.J |
PerpetualDiscount |
237,040 |
Now with a pre-tax bid-YTW of 5.40% based on a bid of 20.90 and a limitMaturity. |
| GWO.PR.G |
PerpetualDiscount |
107,260 |
Scotia crossed 85,100 at 23.60. Now with a pre-tax bid-YTW of 5.60% based on a bid of 23.50 and a limitMaturity. |
| RY.PR.W |
PerpetualDiscount |
104,800 |
Nesbitt crossed 100,000 at 22.51. Now with a pre-tax bid-YTW of 5.45% based on a bid of 22.50 and a limitMaturity. |
| PWF.PR.F |
PerpetualDiscount |
86,120 |
Now with a pre-tax bid-YTW of 5.69% based on a bid of 23.20 and a limitMaturity. |
| GWO.PR.X |
OpRet |
51,723 |
Scotia crossed 50,000 at 26.65. Now with a pre-tax bid-YTW of 3.57% based on a bid of 26.65 and a call 2009-10-30 at 26.00. |
There were thirty-three other index-included $25.00-equivalent issues trading over 10,000 shares today.
This entry was posted on Monday, November 5th, 2007 at 10:11 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed.
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[…] I pointed out yesterday just how laughably overpriced these things are, and what happens? Now with a pre-tax bid-YTW of 4.21% based on a bid of 26.16 and a call 2008-7-1 at 26.00. […]