| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version |
| Index |
Mean Current Yield (at bid) |
Mean YTW |
Mean Average Trading Value |
Mean Mod Dur (YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
4.13% |
4.08% |
35,841 |
10.61 |
2 |
+0.2625% |
1,017.2 |
| Fixed-Floater |
4.81% |
3.85% |
133,535 |
12.98 |
7 |
+0.2093% |
1,028.2 |
| Floater |
4.50% |
-20.77% |
68,450 |
6.52 |
5 |
+0.1108% |
1,029.3 |
| Op. Retract |
4.66% |
0.82% |
82,708 |
2.28 |
18 |
0.2364% |
1,026.5 |
| Split-Share |
5.02% |
3.58% |
178,784 |
3.58 |
9 |
0.1570% |
1,025.7 |
| Interest Bearing |
6.93% |
5.46% |
61,395 |
1.92 |
7 |
+0.0339% |
1,016.6 |
| Perpetual-Premium |
5.07% |
3.99% |
245,507 |
3.99 |
49 |
+0.0874% |
1,042.5 |
| Perpetual-Discount |
4.59% |
4.63% |
589,465 |
16.14 |
7 |
-0.1038% |
1,033.9 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| BSD.PR.A |
InterestBearing |
-1.9076% |
Dived to $9.77-99, but only an odd-lot of 35 shares traded at the bid – the official day’s low was $9.89. I commented on this issue on November 3: it’s not such a bad issue that it should be trading to yield 6.58% at the bid! I suspect that a lot of this volatility is caused by holders of matched units selling everything so that, essentially, a speculator has to be found to buy the capital units and a preferred security investor has to be found for the prefs … but I have nothing to back up this speculation except logic, and we all know how dangerous that is! |
| STW.PR.A |
InterestBearing |
+1.1000% |
Continues to bounce, as it has for the last three days … see above. This time it did it on volume of 48,552 shares, closing at $10.11-23, 1×30. |
| FCN.PR.A |
InterestBearing |
+1.1000% |
This one was discussed on November 1, so I’ll try not to repeat myself. Closed at $10.11-35, 10×10, on volume of 20,720 shares. I suspect it’s a little expensive there, due to the structure of FCN. On the positive side, there is an asset coverage test of 1.4:1 … less than that and the capital units don’t get any distributions. On the negative side, the Capital Unit holders can retract every March and the prefs are then callable at par (if they would then comprise more than 40% of Total Assets – the manager has no obligation to maintain a matched number of shares. The NAV (applicable to Capital Units) on November 6 was $20.59 according to the manager and FCN.UN closed at $18.92-19 today, according to the TSX. I suspect that buying a basket of trusts, on a leveraged basis, at an 8%+ discount, cashable in 5-months, will strike some as being an attractive speculation … and there fore that there will be a LOT of redemptions next March! |
| GWO.PR.E |
OpRet |
+1.3031% |
Nice to get away from all these Income-Trust-Split-Corps! Some small-time late buying by Scotia and HSBC (totalling 1505 shares!) took the price upupUP and it closed at $27.21-29, 5×4. Rather expensive there, if you ask me, with a Pre-Tax YTW of 2.04% based on a call 2009-4-30. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| WN.PR.D |
PerpetualPremium |
43,750 |
Scotia crossed 40,000 at $26.30, which was the closing bid. Pre-tax YTW of 4.52% based on a call 2014-10-31. Not a lot when bank perpetuals are being issued to yield 4.70%. |
| WN.PR.C |
PerpetualPremium |
31,400 |
Scotia crossed 30,400 @26.30. YTW 4.51% based on a call 2014-7-31. Yeah, these look kind of expensive too. |
| NA.PR.L |
PerpetualPremium |
25,640 |
Closed at $25.73-77, 24×3. The pre-tax bid-YTW here is 4.41%, based on a 2014-6-14 call. These are Pfd-1(low)s, compared to Weston’s Pfd-2(low). |
| RY.PR.C |
PerpetualPremium |
25,600 |
Not a lot of action, really, seeing as how the issue’s not even a week old. |
| WFS.PR.A |
SplitShare |
59,000 |
Nice to see a split share make the volume table on merit, even after accounting for the lower price! This is a perennially attractive issue, now yielding 3.91% to its maturity 2011-6-30. |
There were twelve other index-included issues trading over 10,000 shares today.
This entry was posted on Tuesday, November 7th, 2006 at 10:32 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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