November 24, 2006

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.

2 Responses to “November 24, 2006”

  1. […] 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. […]

  2. […] 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. […]

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