| 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 |
4.23% |
4.13% |
32,051 |
16.87 |
2 |
-0.1961% |
1,019.3 |
| Fixed-Floater |
4.81% |
3.88% |
107,918 |
8.98 |
7 |
-0.0933% |
1,028.2 |
| Floater |
4.48% |
-21.11% |
63,591 |
6.58 |
5 |
+0.1580% |
1,034.3 |
| Op. Retract |
4.66% |
0.98% |
80,778 |
2.25 |
18 |
+0.0209% |
1,028.6 |
| Split-Share |
4.97% |
3.14% |
148,136 |
3.32 |
9 |
+0.0298% |
1,034.7 |
| Interest Bearing |
6.92% |
5.87% |
66,915 |
3.87 |
7 |
+0.1651% |
1,018.6 |
| Perpetual-Premium |
5.06% |
3.81% |
211,330 |
4.13 |
49 |
+0.0852% |
1,045.0 |
| Perpetual-Discount |
4.61% |
4.63% |
1,059,606 |
15.09 |
9 |
+0.3749% |
1,040.7 |
| Major Price Changes |
| Issue |
Index |
Change |
Notes |
| CM.PR.R |
OpRet |
-1.8048% |
Ha! Yesterday I said “This issue simply looks expensive”, and look what happens! I swing a pretty big stick around here, eh? Either that or I’m simply spouting the obvious. The pre-tax bid-YTW is now 2.68%, based on a price of $26.66 and a call at $25.75 2008-05-30. |
| BC.PR.C |
FixedFloater |
-1.2360% |
Despite this drop, it remains the issue in the FixedFloater index with the lowest bid-YTW, based on a price of $25.57 and a call 2011-8-31 at $25.00. |
| RY.PR.A |
PerpetualDiscount |
+1.0200% |
Impressive performance with impressive volume of 90,550 shares! Pre-tax bid-YTW now relatively low in the PerpetualDiscount index (only MFC.PR.C is lower) at 4.50% based on a price of $24.76 and a limitMaturity. |
| BSD.PR.A |
InterestBearing |
+1.0204% |
On no trading! This one has been bouncing around a lot lately. |
| ACO.PR.A |
OpRet |
+2.0321% |
It seems like only yesterday I was calling this thing expensive, but it was Wednesday. Shows how big a stick I swing around here. Still, with the pre-tax YTW now 0.65% based on a bid of $28.62 and a call 2008-12-31 at $26.00 (the buyers appear to be hoping it makes it to the day-before-retraction, so it will have earned a princely 2.64%), I’m sure the oblivious ingrates will get their come-uppance soon. In the medium term? Eventually? Please? |
| PAY.PR.A |
Scraps |
+2.28% |
I wrote about this one recently: the credit looks OK but I kept my mouth shut about valuation. Today’s massive gain was only a reversal of interim movement, because it closed with the same bid as the post mentioned: $25.57, for a pre-tax bid YTW of 4.06% based on a maturity 2008-7-31 at par. |
| Volume Highlights |
| Issue |
Index |
Volume |
Notes |
| BAM.PR.M |
PerpetualDiscount |
338,043 |
Recent new issue, and a nice move on the day, closing at 24.75-88 for a pre-tax bid-YTW of 4.82% |
| SLF.PR.D |
PerpetualDiscount |
187,657 |
Is everybody else as tired of the constant references to the clearance sale as I am? The blow-out sale was October 25; in the month since then it has returned 2.18%, with the help of an intervening dividend. The only index-included issues to have done better between October 25 & November 24 are: GWO.PR.H (PerpetualPremium), BAM.PR.B (huh? – Floater), POW.PR.D (PerpetualPremium), HSB.PR.D (PerpetualPremium), HPF.PR.B (Not in the indices, but I posted about it lately … it’s doing well just to spite me), LBS.PR.A (SplitShare) and … wait for it … the grand champion, ACO.PR.A, discussed above (OpRet). Still and all, SLF.PR.D’s performance has been quite good. Pre-tax bid-YTW is now 4.57%, based on a bid of $24.27 and a limitMaturity. |
| RY.PR.A |
PerpetualDiscount |
90,550 |
Pre-tax bid-YTW of 4.50% based on a bid of $24.76 and a limit maturity. |
| RY.PR.B |
PerpetualPremium |
59,350 |
Pre-tax Bid YTW of 4.37% based on a call at par 2015-9-23 and a bid of $25.65. Is the call protection really worth 13bp of yield? Nesbitt processed an internal cross of 55,000 shares at $25.61. I think it’s a shade expensive here, but what do I know? |
| CM.PR.I |
PerpetualDiscount |
53,481 |
Recent new issue, now has a pre-tax bid-YTW of 4.73% based on a bid of $24.96. |
There were twelve other index-included issues trading over 10,000 shares today.
This entry was posted on Friday, November 24th, 2006 at 11:02 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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[…] Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00. […]
[…] Losing some of Friday’s move, but still with a pre-tax YTW of only 1.57% based on a bid of $28.10 and a call 2008-12-31 at $26.00. […]